|MQP Types (reference value)||Definition|
New Quote Fill (X)
Tallies when a quote’s bid or ask initially trades.
A bid-side quote initially trades as a partial fill and the X MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again but the X MQP tally remains at +1. The ask-side quote for the same strike initially trades and the X MQP tallies to +2.
The initial trade always tallies as a value of +1 regardless of whether it is a bid-side or ask-side quote.
If an instrument is re-quoted following a fill, either by quote modification or new quote submission, the X tally will increment again upon execution.
The X tally cannot exceed its threshold value in premium-quoted only markets. The X tally can exceed its threshold by a value of "1" in Triangulation markets in scenarios where the client has resting quotes in both the premium-quoted and vol-quoted instruments and, in turn, both instruments are part of the same Triangulation futures match event.
Tallies each time a quote’s bid or ask trades.
Example: An incoming sell order is matched with implied buy orders in the order book
A bid-side quote initially trades as a partial fill and the Y MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again and the Y MQP remains at +1. (The count is not incremented since the same aggressor is trading with implied orders.)
Traded Quantity (Z)
Traded quantity-based MQP. Tallies the number of lots traded.
A resting 20-lot bid-side quote fully trades so the Z MQP tallies to +20.
Traded quantity-based MQP. Tallies a net traded quantity from each trade.
A resting 20-lot ask fully trades and the Sides MQP tallies to -20; a resting 15-lot bid fully trades and the Sides MQP tallies to -5.
Traded delta-based MQP.
A 20-lot call bid-quote with a +0.15 delta fully trades. The D MQP tallies to +3 (or +20 lot * +0.15 delta).
Volatility Quoted Options Specifics: