Mass Quote Submission for Pre-Registered / On-Demand Format

The purpose of this test is to verify that the client system can submit a Mass Quote and receive and process the Acknowledgement, Fill, Trade Correction, Trade Cancellation and Reject messages.

  • To select the test:
  1. Select a SenderComp from the drop-down and select ASSIGN if not already assigned.
  1. From the Test Suite tab, select the linked test.
  2. Use the Instrument(s) drop down menu to choose an instrument and channel and click SELECT.

Note:
If a test is not proceeding to the next step, clicking the Refresh button () below the test steps may resolve the issue.

Note: This test is used for both Pre-Registered and On-Demand formats. The above image shows the Pre-Registered version of the test.

Referential information is included for messages sent / received during the test.

  • To run the Mass Quote Submission test:
  1. Over an iLink connection, submit a two-sided Mass Quote (35=i) with at least 3 quotes from the same instrument group, each having a quantity (→134-BidSize, →135-OfferSize) greater than 10. The following will be simulated with this Mass Quote:
  • Partial fill (step 3)
  • Trade correction (stop 4)
  • Complete fill (step 5)
  • Trade cancellation (step 6)
  1. Receive and process Mass Quote Acknowledgment (35=b, 297=0,5).
  2. Receive and process Execution Report - Trade Outright (35=8, 39=1,2). (Partially Filled).
  3. Receive and process Execution Report - Trade Addendum Outright (Correction).
  4. Receive and process Execution Report - Trade Outright (35=8, 39=1,2). (Filled).
  5. Receive and Process Execution Report - Trade Addendum Outright [35=8, 39=H,G (Cancellation)].
  6. Submit a two-sided Mass Quote (35=i) for the instrument with at least 2 quotes from the same instrument group.

A market close will be simulated so an Acknowledgement Reject message will be returned from this Mass Quote.

  1. Receive and Process Mass Quote Acknowledgement - Reject [35=b, 297=0,5 (tag 297-QuoteStatus=5)] message.
  2. Submit a two-sided Mass Quote (35=i) for the instrument with at least 2 quotes from the same instrument group, each having a quantity (→134-BidSize, →135-OfferSize) greater than 10. The system will change the price of one quote to simulate a rejected quote.
  3. Receive and Process Mass Quote Acknowledgement.
  4. Receive and ProcessExecution Report - Trade Outright (35=8, 39=1,2). (Filled).