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Submit a [Mass Quote] to generate bid/ask pairs and two-sided markets for multiple instruments for CME Group options.

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Tag

FIX Name

Req

Valid Values

Format

Description

[Standard Header-Client to CME Globex]

 

 

 

 

Initiates an action.

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
N=automated

Boolean(1)

Indicates if the quote was sent manually or generated by automated trading logic.

¿204

CustomerOrFirm

Y*

0=Customer
1=Firm

Int (1)

This tag is used in conjunction with [tag 9702-CtiCode]. The type of business conducted determines the CtiCode/CustomerOrFirm combination. If you are unsure of which combination to use, contact the CME Regulatory Division at 312-341-7970 for further information.

¿9702

CtiCode

Y*

1 = Broker/trader trading for own account
2 = Broker/trader trading for clearing member firm's house account.
3 = Broker/trader trading for the account of another broker/trader present on the trading floor or controlled by such broker/trader.
4 = Broker/trader trading for any other customer's account or for the account of a broker/trader not present on the floor.

Char (1)

Customer Type Indicator.

This tag is used in conjunction with tag 204-CustomerOrFirm. The CtiCode/CustomerOrFirm combination is determined by the type of business being conducted. If you are unsure of which combination to use, contact the CME Regulatory Division at 312-341-7970 for further information.

9773

MMProtectionReset

N

Y=Reset
N=Do not reset

Char (1)

When MM Protection is triggered, CME Globex will not accept any new quotes from the Market Maker for the given product group until it receives a Mass Quote message with the MMProtectionReset flag set to 'Y' to reset protection.

See [Resetting Mass Quote Protection Monitoring Mode].

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

UnderlyingSecurityDescq

N

 

String (20)

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

¿304

TotQuoteEntries

Y

 

Int (3)

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

¿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.
Option Example:

¿¿167

SecurityType

Y*

FUT=Future
OPT=Option

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
e.g. 20091216-19:21:41.109

¿¿132

BidPx

N

 

Price (20)

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

¿¿134

BidSize

N

 

Int (9)

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

N

 

Price (20)

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

¿¿135

OfferSize

N

 

Int (9)

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

[EPICSANDBOX:Standard Trailer]

 

Y

 

 

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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