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iLink 2 customers who wish to initiate trading for an instrument can submit an iLink iLink 2 Quote Request message to trigger a market data Request for Quote (RFQ), to which authorized Mass Quote customers can respond with a quote or customers can submit a iLink 2 New Order message.

For more detailed information please refer to:   

The CME Globex platform may reject a Quote Request message and send a Business Level Reject (tag 35-MsgType=j) message.

Overview

CME Group customers who wish to trade an instrument for which the order book is blank or stale can request a quote to create or refresh the book using an iLink iLink 2 Quote Request message. An accepted quote request is acknowledged with an iLink iLink 2 Quote Acknowledgment message and disseminated to the market with the Request for Quote (tag 35-MsgType=R) message.

Once the Quote Request (tag 35-MsgType=R) message is disseminated, market participants can respond with an iLink iLink 2 Mass Quote message or an iLink iLink 2 New Order message to populate the book.

Additionally, creation of a UDS with the iLink iLink 2 Security Definition Request message will generate a market data Request for Quote  (tag 35-MsgType=R) message at instrument creation.

Customers who wish to request quotes must implement two CME iLink 2 messages from the FIX 4.2 specification:

  • Quote Request (tag 35-MsgType=R) message.
  • Quote Acknowledgment (tag 35-MsgType=b) message which notifies the customer of accept/reject of a Quote Request (tag 35-MsgType=R) message.
    • In the Quote Acknowledgment (tag 35-MsgType=b), the value in tag 131-QuoteReqID is returned with the same tag value from the Quote Request (tag 35-MsgType=R) message.
    • However, tag 9770-ExchangeQuoteReqID in the Quote Acknowledgment (tag 35-MsgType=b) contains the value broadcast to the market from tag 131-QuoteReqID in the Quote Request (tag 35-MsgType=R) message.

Customers who wish to receive RFQs must be able to process the market data Request for Quote (tab 35-MsgType=R) message.

The following table highlights the iLink Quote Request and MDP messages.

Function / Component

Quote Request Functionality

iLink


Quote Request (tag 35-MsgType=R) message

The Quote Request (tag 35-MsgType=R) message allows users to submit the following Quote Request types:

  • Standard two-sided quote
  • Quote Request for one side

Quote Acknowledgment (tag 35-MsgType=b) message

The Quote Acknowledgment message is sent to the customer to acknowledge the Quote Request message:

  • Tag 131-QuoteReqID contains the original value submitted by the client system.
  • Tag 9770-ExchangeQuoteReqID contains the CME Globex generated quote ID that is disseminated in market data.

Business Level Reject (tag 35-MsgType=j) message

Notifies client of business-level message reject.

MDP


Request for Quote (tag 35-MsgType=R) message

Allows the customer to match the Quote Request (tag 35-MsgType=R) message with the iLink Quote Request (tag 35-MsgType=R) message. Tag 131-QuoteReqID contains the value returned from the iLink Quote Acknowledgement (tag 35-MsgType=b) in tag 9770-ExchangeQuoteReqID.

Order Status Requests cannot be performed on Quote Requests.