Mass Quote message – FIX 4.2 – FIX Dictionary

FIX 4.2 : Mass Quote message

Description

The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

A QuoteSet specifies the first level of repeating tags for the Mass Quote message. It represents a group of related quotes and can, for example, represent an option class.

Each QuoteSet contains an optional repeating group of QuoteEntries which can represent an option series.

It is possible the number of Quote Entries for a Quote Set (option class) could exceed one's physical or practical message size. It may be necessary to fragment a message across multiple quote messages. Message size limits must be mutually agreed to with one's counterparties.

The grouping of quotes is as follows:

NoQuoteSets - specifies the number of sets of quotes contained in the message
    QuoteSetID - Is a unique ID given to the quote set
    Information regarding the security to which all of the quotes belong
    TotQuoteEntries - defines the number of quotes for the quote set across all messages
    NoQuoteEntries - defines the number of quotes contained within this message for this quote set
        QuoteEntryID - Is a unique ID given to a specific quote entry
        Information regarding the specific quote (bid/ask size and price)

If there are too many Quote Entries for a Quote Set to fit into one physical message, then the quotes can be continued in another Mass Quote message by repeating all of the QuoteSet information and then specifying the number of Quote Entries (related symbols) in the continued message. The TotQuoteEntries <304> is provided to optionally indicate to the counterparty the total number of Quote Entries for a Quote Set in multiple quote messages. This permits, but does not require, a receiving application to react in a stateful manner where it can determine if it has received all quotes for a Quote Set before carrying out some action. However, the overall approach to fragmentation is to permit each Mass Quote message to be processed in a stateless manner as it is received. Each Mass Quote message should contain enough information to have the Quote Entries applied to a market without requiring the next message if fragmentation has occurred. Also, a continued message should not require any information from the previous message.

Maximum message size for fragmentation purposes can be determined by using the optional MaxMessageSize <383> field in the Logon <A> message or by mutual agreement between counterparties.

Requesting Acknowledgement for Mass Quotes

Applications can optionally support acknowledgement of quotes using the QuoteResponseLevel <301> tag. The QuoteResponseLevel <301> is used to specify the level of acknowledgement requested from the counterparty. A QuoteResponseLevel <301> of 0 indicates that no acknowledgement is requested. A ResponseLevel <301> of 1 requests acknowledgement of invalid or erroneous quotes. A QuoteResponseLevel <301> of 2 requests acknowledgement of each Mass Quote message.

See Appendix H: Mass Quote Message Scenarios

Notes on usage for Options Markets:

It is assumed that for many options markets, the Mass Quote message will be used to generate quotes in high volumes in an unsolicited manner. This means that multiple quotes will be sent to the counterparty (an exchange) without acknowledgement. The Mass Quote message can be used to send quotes for multiple classes, each with multiple series.

Example: Multiple Option Series for a single Option Class (No Fragmentation)

QuoteID=XXX
QuoteReqID=YYY
NoQuoteSets=1
    QuoteSetID=1
    Symbol=AA
    TotQuoteEntries=2
    NoQuoteEntries=2
    Other quote set fields
    QuoteEntryID=1
        MaturyMonthYear=199901
        StrikePrice=25.00
        PutOrCall=1
        BixPx=5.00
        OfferPx=5.25
        BidSize=10
        OfferSize=10
    QuoteEntryID=2
        MaturyMonthYear=199901
        StrikePrice=30.00
        PutOrCall=1
        BixPx=3.00
        OfferPx=3.25
        BidSize=10
        OfferSize=10

Example: Multiple Option Series for a single Option Class (Fragmentation)

First Message:

QuoteID=XXX
QuoteReqID=YYY
NoQuoteSets=1
    QuoteSetID=1
    Symbol=AA
    TotQuoteEntries=3
    NoQuoteEntries=2
    Other quote set fields
    QuoteEntryID=1
        MaturyMonthYear=199901
        StrikePrice=25.00
        PutOrCall=1
        BixPx=5.00
        OfferPx=5.25
        BidSize=10
        OfferSize=10
    QuoteEntryID=2
        MaturyMonthYear=199901
        StrikePrice=30.00
        PutOrCall=1
        BixPx=3.00
        OfferPx=3.25
        BidSize=10
        OfferSize=10

Second Message:

QuoteID=XXX
QuoteReqID=YYY
NoQuoteSets=1
    QuoteSetID=1
    Symbol=AA
    Other quote set fields
    TotQuoteEntries=3
    NoQuoteEntries=1
    QuoteEntryID=3
        MaturyMonthYear=199901
        StrikePrice=35.00
        PutOrCall=1
        BixPx=2.00
        OfferPx=2.25
        BidSize=10
        OfferSize=10

Structure

Tag			Field Name	Req'd	Comments
<MessageHeader>				Y	MsgType <35> = i
131			QuoteReqID	N	Required when quote is in response to a Quote Request <R> message
117			QuoteID	Y
301			QuoteResponseLevel	N	Level of Response requested from receiver of quote messages.
293			DefBidSize	N	Default Bid Size for quote contained within this quote message - if not explicitly provided.
294			DefOfferSize	N	Default Offer Size for quotes contained within this quote message - if not explicitly provided.
296			NoQuoteSets	Y	The number of sets of quotes in the message
=>	302		QuoteSetID	Y	Sequential number for the Quote Set. For a given QuoteID <117> - assumed to start at 1. Must be the first field in the repeating group.
=>	311		UnderlyingSymbol	Y
=>	312		UnderlyingSymbolSfx	N
=>	309		UnderlyingSecurityID	N
=>	305		UnderlyingIDSource	N
=>	310		UnderlyingSecurityType	N
=>	313		UnderlyingMaturityMonthYear	N	Required if UnderlyingMaturityDay <314> is specified.
=>	314		UnderlyingMaturityDay	N
=>	315		UnderlyingPutOrCall	N
=>	316		UnderlyingStrikePrice	N
=>	317		UnderlyingOptAttribute	N
=>	436		UnderlyingContractMultiplier	N	For Fixed Income, Convertible Bonds, Derivatives, etc.
=>	435		UnderlyingCouponRate	N	For Fixed Income.
=>	308		UnderlyingSecurityExchange	N
=>	306		UnderlyingIssuer	N
=>	362		EncodedUnderlyingIssuerLen	N	Must be set if EncodedUnderlyingIssuer <363> field is specified and must immediately precede it.
=>	363		EncodedUnderlyingIssuer	N	Encoded (non-ASCII characters) representation of the UnderlyingIssuer <306> field in the encoded format specified via the MessageEncoding <347> field.
=>	307		UnderlyingSecurityDesc	N
=>	364		EncodedUnderlyingSecurityDescLen	N	Must be set if EncodedUnderlyingSecurityDesc <365> field is specified and must immediately precede it.
=>	365		EncodedUnderlyingSecurityDesc	N	Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc <307> field in the encoded format specified via the MessageEncoding <347> field.
=>	367		QuoteSetValidUntilTime	N
=>	304		TotQuoteEntries	Y	Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries <295> in each message that has repeating quotes that are part of the same quote set.
=>	295		NoQuoteEntries	Y	The number of quotes for this Symbol <55> (QuoteSet) that follow in this message. Nested Repeating Group follows
=>	=>	299	QuoteEntryID	Y	Uniquely identifies the quote as part of a QuoteSet. Must be used if NoQuoteEntries <295> is used
=>	=>	55	Symbol	N
=>	=>	65	SymbolSfx	N
=>	=>	48	SecurityID	N
=>	=>	22	IDSource	N
=>	=>	167	SecurityType	N	Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.
=>	=>	200	MaturityMonthYear	N	Specifies the month and year of maturity. Required if MaturityDay <205> is specified.
=>	=>	205	MaturityDay	N	Can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.
=>	=>	201	PutOrCall	N	For Options.
=>	=>	202	StrikePrice	N	For Options.
=>	=>	206	OptAttribute	N	For Options.
=>	=>	231	ContractMultiplier	N	For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
=>	=>	223	CouponRate	N	For Fixed Income.
=>	=>	207	SecurityExchange	N	Can be used to identify the security.
=>	=>	106	Issuer	N
=>	=>	348	EncodedIssuerLen	N	Must be set if EncodedIssuer <349> field is specified and must immediately precede it.
=>	=>	349	EncodedIssuer	N	Encoded (non-ASCII characters) representation of the Issuer <106> field in the encoded format specified via the MessageEncoding <347> field.
=>	=>	107	SecurityDesc	N
=>	=>	350	EncodedSecurityDescLen	N	Must be set if EncodedSecurityDesc <351> field is specified and must immediately precede it.
=>	=>	351	EncodedSecurityDesc	N	Encoded (non-ASCII characters) representation of the SecurityDesc <107> field in the encoded format specified via the MessageEncoding <347> field.
=>	=>	132	BidPx	N	If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.
=>	=>	133	OfferPx	N	If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.
=>	=>	134	BidSize	N
=>	=>	135	OfferSize	N
=>	=>	62	ValidUntilTime	N
=>	=>	188	BidSpotRate	N	May be applicable for F/X quotes
=>	=>	190	OfferSpotRate	N	May be applicable for F/X quotes
=>	=>	189	BidForwardPoints	N	May be applicable for F/X quotes
=>	=>	191	OfferForwardPoints	N	May be applicable for F/X quotes
=>	=>	60	TransactTime	N
=>	=>	336	TradingSessionID	N
=>	=>	64	FutSettDate	N	Can be used with forex quotes to specify a specific 'value date'
=>	=>	40	OrdType	N	Can be used to specify the type of order the quote is for
=>	=>	193	FutSettDate2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.
=>	=>	192	OrderQty2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.
=>	=>	15	Currency	N	Can be used to specify the currency of the quoted price.
<MessageTrailer>				Y