Authorized client systems can submit Mass Quotes (tag 35-MsgType=i) messages to generate bid/ask pairs and two-sided markets for multiple instruments for CME Group options.
The → symbol indicates a repeating tag.
|Standard Header - Client System to CME Globex|
|35||MsgType||String(2)||i=Mass Quote||Y||Header tag identifying message type.|
If a quote entry is in response to a Quote Request, this tag should contain the QuoteReqID of the corresponding Request for Quote (tag 35-MsgType=R) market data message.
Client system generated identifier of the message. Must be unique per mass quote message per trading session.
Account number of Mass Quoting firm.
'N' indicates the message was generated by automated trading logic.
Note: iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected.
This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.
A = Phone simple
|N||Defines source of original order.|
The type of business conducted.
Note: if quote is sent on behalf of a firm, this value should be '1' (Firm).
This tag is required when market participants elect to use the optional Self Match Prevention functionality.
Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex.
Customer Type Indicator (CTI)
For electronic trading CTI codes are defined as:
This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.
If you are unsure of which value to use, contact CME Group Market Regulation.
When Mass Quoting Protection is triggered, CME Globex will not accept any new quotes from the Mass Quote customer for the given product group until it receives a Mass Quote message with the tag 9773-MMPReset flag set to 'Y' to reset protection.
The number of quote sets in the message.
Sequential number for the quote set. For a given QuoteID, assumed to start at '1'. Must be the first tag in the repeating group.
Instrument identifier for underlying futures contract (e.g. ESH0).
Total quote entries.
The number of quotes for the quote set.
Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group.
This tag contains the Group Code of the instrument.
Indicates instrument is future or option.
Identifier of the instrument defined in tag 107-SecurityDesc.
Identifies class or source of the tag 48-SecurityID value.
UTC format YYYYMMDD-HH:MM:SS.sss
UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
Quoted bid price.
The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.
Quoted bid size.
Quoted offer price.
The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal..
Quoted offer size.
End of message.