Mass Quote message – FIX 4.3 – FIX Dictionary

FIX 4.3 : 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 fields 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> field. 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 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 or Fixed Income Markets:

It is assumed that for many options or fixed income 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
        CFICode="OCXXXS"
        BixPx=5.00
        OfferPx=5.25
        BidSize=10
        OfferSize=10
    QuoteEntryID=2
        MaturyMonthYear=199901
        StrikePrice=30.00
        CFICode="OCXXXS"
        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 
        CFICode="OCXXXX"
        BixPx=5.00 
        OfferPx=5.25 
        BidSize=10 
        OfferSize=10 
    QuoteEntryID=2 
        MaturyMonthYear=199901 
        StrikePrice=30.00 
        CFICode="OCXXXX"
        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 
    CFICode="OCXXXS"
    BixPx=2.00 
    OfferPx=2.25 
    BidSize=10 
    OfferSize=10

Example: Multiple Quotes for Fixed Income publishing

QuoteID=XXX
NoQuoteSets=1 
  QuoteSetID=1 
  TotQuoteEntries=3 
  NoQuoteEntries=3 
  Other quote set fields 
  QuoteEntryID=1 
    Symbol=DE10003453 
    SecurityID=DE10003453 
    SecurityIDSource=4 
    BixPx=105 
    BidYield=.043 
    OfferPx=102.3 
    OfferYield=.0525 
    BidSize=10 
    OfferSize=10 
  QuoteEntryID=2 
    Symbol=NL0000102606 
    SecurityID=NL0000102606 
    SecurityIDSource=4 
    MidPx=105 
    MidYield=4.3 
  QuoteEntryID=3 
    Symbol=FR0100059601 
    SecurityID=FR0100059601 
    SecurityIDSource=4 
    BidYield=.048 
    OfferYield=.057 
    BidSize=5 
    OfferSize=5

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
537			QuoteType	N	Type of Quote Default is Indicative if not specified
301			QuoteResponseLevel	N	Level of Response requested from receiver of Quote messages.
Component Block - <Parties>				N	Insert here the set of "<Parties>" (firm identification) fields
1			Account	N
581			AccountType	N	Type of account associated with the order (Origin)
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.
=>	Component Block - <UnderlyingInstrument>			N	Insert here the set of "<UnderlyingInstrument>" (underlying symbology) fields
=>	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> (instrument) (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
=>	=>	Component Block - <Instrument>		N	Insert here the set of "<Instrument>" (symbology) fields
=>	=>	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
=>	=>	631	MidPx	N
=>	=>	632	BidYield	N
=>	=>	633	MidYield	N
=>	=>	634	OfferYield	N
=>	=>	60	TransactTime	N
=>	=>	336	TradingSessionID	N
=>	=>	625	TradingSessionSubID	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.
=>	=>	642	BidForwardPoints2	N	Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
=>	=>	643	OfferForwardPoints2	N	Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
=>	=>	15	Currency	N	Can be used to specify the currency of the quoted price.
<MessageTrailer>				Y