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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.

If a repeating group in this message is not structured correctly, a Business Level Reject (tag 35=j) message will be sent with tag 58=Malformed Message <First Tag description (tag number) > Not First Tag of Repeating Group.

Tag

Name

FIX Type

Enumeration

Req

Description

Standard Header - Client System to CME Globex




35MsgTypeString(2)i=Mass QuoteYHeader tag identifying message type.

131

QuoteReqID

String(23)


N

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.

117

QuoteID

String(10)


Y

Client system generated identifier of the message. Must be unique per mass quote message per trading session.

9771

MMAccount

String(12)


Y*

Account number of Mass Quoting firm.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

'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.

1031CustOrderHandlingInstString(1)

A = Phone simple
B = Phone complex
C = FCM-provided screen
D = Other-provided screen
E = Client-provided platform controlled by FCM
F = Client-provided platform direct to exchange
G = FCM API or FIX
H = Algo Engine
J = Price at Execution (price added at initial order entry, trading, middle office or time of give-up)
W = Desk – Electronic
X = Desk – Pit
Y = Client – Electronic
Z = Client - Pit

NDefines source of original order.

204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

The type of business conducted.

Note

  • If the order is sent by a customer of a clearing firm, then tag 204 = 0 (Customer)
  • If the order is sent by a proprietary trader within a clearing firm, then tag 204 = 1 (Firm)
7928SelfMatchPreventionIDString(12)
N

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.

9702

CtiCode

Char(1)

1=CTI 1

2=CTI 2

3-CTI 3

4=CTI 4

Y*

Customer Type Indicator (CTI)

For electronic trading CTI codes are defined as:

  • CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
  • CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
  • CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
  • CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

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.

1731AvgPxGroupIDString(20)
N

Used to identify account numbers or orders for grouping trades together for average price calculations.

If incoming value is greater than max length, iLink will return the right-most twenty bytes.
1598ClearingTradePriceTypeString(1)0 – Trade Clearing at Execution Price
1 – Trade Clearing at Alternate Clearing Price
NIndicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).
819AvgPXIndicatorString(3)0 – No Average Pricing (Default)
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID
3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID
N

Indicates if the resulting trade is to be average priced.

This tag is also used to indicate type of average price grouping.
5149MemoString(75)
N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

→302

QuoteSetID

String(3)


Y

Sequential number for the quote set. For a given QuoteID, assumed to start at '1'. Must be the first tag in the repeating group.

→307

UnderlyingSecurityDesc

String(20)


N

Instrument identifier for underlying futures contract (e.g. ESH0).

→304

TotQuoteEntries

Int(3)


Y

Total quote entries.
Must have the same value as tag 295-NoQuoteEntries.

→295

NoQuoteEntries

Int(3)


Y

The number of quotes for the quote set.

→→299

QuoteEntryID

String(10)


Y

Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group.

→→55

Symbol

String(6)


Y*

This tag contains the Group Code of the instrument.

→→107

SecurityDesc

String(20)


Y*

Instrument identifier.
Option Example: ESU8 C2425

→→167

SecurityType

String(3)

FUT=Future
OPT=Option

Y*

Indicates instrument is future or option.

→→48

SecurityID

Int(12)


N

Identifier of the instrument defined in tag 107-SecurityDesc.

→→22

SecurityIDSource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

→→60

TransactTime

UTCTimestamp(21)


N

UTC format YYYYMMDD-HH:MM:SS.sss
e.g. 20091216-19:21:41.109

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

→→132

BidPx

Price(20)


N

Quoted bid price.
Tag 132-BidPx cannot be submitted without the tag 134-BidSize.

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.

→→134

BidSize

Int(9)


N

Quoted bid size.
Tag 134-BidSize cannot be submitted without the tag 132-BidPx.
A value of '0' sent in this tag cancels quotes on this side for the given instrument.

→→133

OfferPx

Price(20)


N

Quoted offer price.
Ta 133-OfferPx cannot be submitted without the tag 135-OfferSize.

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..

→→135

OfferSize

Int(9)


N

Quoted offer size. 
Tag 135-OfferSize cannot be submitted without the tag 133-OfferPx.
A value of '0' sent in this tag cancels quotes on this side for the given instrument.

Standard Message Trailer





End of message.

Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally

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