Appendix H: Mass Quote Message Scenarios – FIX 4.3 – FIX Dictionary

Unsolicited quote(s) no response requested

Mass Quote <i> is sent from first party to second party. The quote has the QuoteResponseLevel <301> set to 0 or omitted. The second party does not acknowledge the quote. If the quote is later hit, resulting in a trade, an Execution Report is sent to the first party.

First Party Second Party Mass Quote message <i> Options: One or more sets of quotes Set QuoteResponseLevel is set to 0 or omitted Interprets quotes applies them to a market Interprets Response Level – provides response accordingly No response is sent Execution Report <8> Quote Results in Trade

Unsolicited quote(s) negative response only requested

Mass Quote <i> is sent from first party to second party. The quote has the QuoteResponseLevel <301> set to 1. The second party only acknowledges the quote if there is an error. If an error is encountered by the second party while processing the quote a Mass Quote Acknowledgement<b> message is sent with the QuoteRejectReason <300> set to the error encountered.

First Party Second Party Mass Quote message <i> Options: One or more sets of quotes Set Response Level to 1 Interprets quotes applies them to a market Interprets Mass Quote Acknowledgement If error – then send revised quote Mass Quote Acknowledgement<b> If an error is encountered Mass Quote message <i> Interprets quotes applies them to a market

Unsolicited quote(s) full response requested

Mass Quote <i> is sent from first party to second party. The quote has the QuoteResponseLevel <301> set to 2. The second party acknowledges each quote.

First Party Second Party Mass Quote message <i> Options: One or more sets of quotes Set Response Level to 2 Interprets quotes applies them to a market Interpret Mass Quote Acknowledgement Mass Quote Acknowledgement<b>

Cancel All Quotes

The First Party asks the second party to cancel all quotes. A Quote Acknowledgement<b> is sent back to the first party by the second party after quotes are canceled.

First Party Second Party Quote Cancel message <Z> QuoteCancelType <298> ='4' (Cancel all quotes) Interprets Quote Cancel message and cancels quotes. Interpret Mass Quote Acknowledgement Mass Quote Acknowledgement<b>

Use of other Quote Messages in Mass Quoting

Once the Mass Quote message is submitted to a market and after the initial Mass Quote Acknowledgement - the Quote Entries are treated as separate quotes. Report of Quote Status should be done using the Quote Status Request and Quote messages. Fills are reported for each QuoteEntry using the Execution Report.

Reporting Quote Status back to Mass Quote Issuer

Markets should report the status of quotes back to the quote issuer when the state of one of the quotes in a Mass Quote changes. Quote Status Report messages should be issued for each change in state of a quote entry. The QuoteID <117> of the original Mass Quote message should be used as the QuoteID on the Quote Status Report. It is acceptable to append the QuoteSetID and QuoteEntryID to indicate the specific quote in the Mass Quote message refered to in the Quote Status Report if this information is maintained by the market. NOTE: The Quote Message should not be used to report trades. Only the Execution Report should be used to report fills against a tradeable or restricted tradeable quote.

Market maker or specialist Market Mass Quote message <i> Valid tradeable or restricted tradeable quote sent into market – either unsolicited or in reply to a Quote Request from the market. Accepts Mass Quote and applies to the market Accepts Quote and updates trading system based upon status reported by market Based upon market rules or based upon the QuoteResponseLevel requested by Quote Issuer the market will send Mass Quote Acknowledgement message back to the quote issuer to report quote status in the QuoteStatus field. Updates trading system with quote status Quote messages are sent back unsolicited as the quote state changes. The QuoteEntryID should be used as the QuoteID. Updates trading system with execution report If a trade (fill) occurs against a tradeable or restricted tradeable quote an Execution Report (ExecType=Trade) is sent to the quote issuer.

Querying for Mass Quote Status

If the issuer of a Mass Quote queries the current status of the quote the market should reply with a sequence of individual quote messages with status. This is recommended to eliminate the need for markets to store QuoteSetIds and QuoteEntryIds that were provided as part of the Mass Quote message. Also, as quote status is very dynamic data – sending quote status on securities as soon as it is available – instead of combining it into a single message – will provide more timely information to the quote issuer. The use of a Quote Status Request for a Mass Quote is provided as a method of recovery for market maker trading systems – due to the volume of information that can be generated and the short lived nature of quote status – this usage is not recommended for normal processing.

Market maker or specialist Market Quote Status Request <a> Contains the QuoteID <117> of a previously submitted Mass Quote. Accepts Quote Status Request Accepts Quote and updates trading system. Sends Quote messages with the QuoteStatus field, bid and ask prices and quantities for each quote belonging to the request issuer that meet the criteria in the request. If there is a current quote in the market – the Quote in response to a Quote Status Request should be sent with a QuoteStatus of "Query". The Quote message can also contain a QuoteStatus of "Quote Not Found" if no quote currently exists.