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iLink 2.X customers who wish to initiate trading for an instrument can submit an iLink 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 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 Quote Request message. An accepted quote request is acknowledged with an iLink 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 Mass Quote message or an iLink New Order message to populate the book.

Additionally, creation of a UDS with the iLink 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.X 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.