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Only designated Market Makers are permissioned by their iLink 2.X session ID to submit Mass Quote messages for designated products at the Instrument Group level (i.e., E-mini S&P outright options). Mass Quote messages from other market participants are rejected.

Market Makers cannot submit quotes for futures via this options path.

Mass Quote messages are accepted only during the Continuous Trading market state. All resting quotes are cancelled during post-session processing.

Mass Quotes Processing Rules contain the following topics:

Quote Modification

  1. The Market Maker can modify their resting quotes by sending in another Mass Quote message with the same tag 107-SecurityDesc and tag 299-QuoteEntryID.
  2. Unique Quote IDs://
     
    • Tag 299-QuoteEntryID must be unique per session per day. This unique identifier is the responsibility of the customer and is not validated.
    • Tag 117-QuoteID must be unique per session per day.
    • Tag 302-QuoteSetID must be unique per message.
       
  3. CME Globex platform rejects incoming quotes if there is a resting quote from the same Market Maker with a different tag 299-QuoteEntryID.
  4. Incoming quotes replace resting quotes from the same Market Maker provided they have the same tag 299-QuoteEntryID.
  5. A modification of a quote entails changing either or both of the values associated with the price and quantity of one or more sides of a quote.
  6. If you modify price and quantity of a quote by setting both to '0', the quote is cancelled.
  7. Market Makers may perform the following types of modifications://
     
    • Modify both sides of an existing quote.
    • Modify one side of an existing quote and leave the opposite side unchanged.
    • Cancel one side of a resting quote and leave the opposite side unchanged.
    • Cancel one side of a resting quote and modify the opposite side.
    • Cancel both sides of a resting quote.//
       
  8. Modify only one side (bid or sell) of a resting quote by using the appropriate bid or offer quantity and price tags in a new Mass Quote Entry message.

The following scenario illustrates how original quote entries and subsequent modifications are maintained in the customer's order book. A Market Maker submits a quote message with three quote entries. See the quote message details below:

Quote
ID

Quote
Set
ID

Quote
Entry
ID

Instrument

Tag 132-BidPx

Tag 134-BidSize

Tag 133-OfferPx

Tag 135-OfferSize

Status of
Quote Entry

 

 

00001

ES Z6
C1115

50

100

51

100

Original quote entry

111

1

00002

ES Z6
C1130

34

100

36

100

Original quote entry

 

 

00003

ES Z6
C1150

14

100

16

100

Original quote entry


Later, the Market Maker submits another quote message containing modifications. See the quote modification details below:
Quote Modifications Submitted Within Quote Message 00002

Quote
ID

Quote
Set
ID

Quote Entry
ID

Instrument

Tag 132-BidPx

Tag 134-BidSize

Tag 133-
OfferPx

Tag 135-
OfferSize

Status of
Quote Entry

 

 

00001

ES Z6
C1115

50

100

 

 

Modification of bid side quantity for quote entry 00001
(submitted in quote message 0001/ quote set 1111);
original offer side is not affected.

112

1

00002

ES Z6
C1130

34

100

0

0

Cancellation of offer side of quote 00002
(submitted in quote message 0001/ quote set 1111).

 

 

00003

ES Z6
C1150

30

100

16

175

Modification of bid side price and offer side quantity
for quote entry 00003 (submitted in quote message 0001
/ set ID 1111).


Following the validation of quote modifications submitted in quote message 0002, the values in the customer's book for the instruments are:
Customer's Order Book Quantity and Price Values

Quote
Entry
ID

Instrument

Bid Price

Bid Qty

Offer price

Offer Qty

00001

ES Z6 C1115

50

250

51

100

00002

ES Z6 C1130

34

100

0

0

00003

ES Z6 C1150

30

100

16

175


Note: For description of Quantity and Price field validation scenarios, see the table, Reject Codes.

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