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.
Tag | FIX Name | Req | Valid Values | Description | |
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Standard Header - Client System to CME Globex |
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131 | QuoteReqID | N |
| String (23) | 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 | Y |
| String (10) | Client system generated identifier of the message. Must be unique per mass quote message per trading session. |
9771 | MMAccount | Y* |
| String (12) | Account number of Mass Quoting firm. |
1028 | ManualOrderIndicator | Y* | Y=manual | Boolean(1) | '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. |
1031 | CustOrderHandlingInst | N | A = Phone simple | String (1) | Defines source of original order. |
204 | CustomerOrFirm | Y* | 0=Customer | Int (1) | The type of business conducted determines the CtiCode/CustomerOrFirm combination. |
7928 | SelfMatchPreventionID | N | String (12) | 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 | Y* | 1=CTI 1 2=CTI 2 3-CTI 3 4=CTI 4 | Char (1) | 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. |
9773
| MMProtectionReset | N | Y=Reset | Char (1) | 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. |
296 | NoQuoteSets | Y |
| Int (3) | The number of quote sets in the message. |
→302 | QuoteSetID | Y |
| String (3) | 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 | N |
| String (20) | Instrument identifier for underlying futures contract (e.g. ESH0). |
→304 | TotQuoteEntries | Y |
| Int (3) | Total quote entries. |
→295 | NoQuoteEntries | Y |
| Int (3) | The number of quotes for the quote set. |
→→299 | QuoteEntryID | Y |
| String (10) | Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group. |
→→55 | Symbol | Y* |
| String (6) | This tag contains the instrument group code of the instrument. |
→→107 | SecurityDesc | Y* |
| String (20) | Instrument identifier. |
→→167 | SecurityType | Y* | FUT=Future | String (3) | Indicates instrument is future or option. |
→→48 | SecurityID | N |
| Int (12) | Identifier of the instrument defined in tag 107-SecurityDesc. |
→→22 | SecurityIDSource | N | 8=Exchange symbol | Char (1) | Identifies class or source of the tag 48-SecurityID value. |
→→60 | TransactTime | N |
| UTCTimestamp (210 | UTC format YYYYMMDD-HH:MM:SS.sss |
→→132 | BidPx | N |
| Price (20) | Quoted bid price. |
→→134 | BidSize | N |
| Int (9) | Quoted bid size. |
→→133 | OfferPx | N |
| Price (20) | Quoted offer price. |
→→135 | OfferSize | N |
| Int (9) | Quoted offer size. |
| Y |
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| End of message. |
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally