Mass Quote

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 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.

See Enabling 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.

Standard Trailer

Y

End of message.