Mass Quote <i> message – FIX 4.4 – FIX Dictionary

Structure | Related Messages

Description

The Mass Quote <i> 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 <i> 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
    TotNoQuoteEntries - 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 <i> message by repeating all of the QuoteSet information and then specifying the number of Quote Entries (related symbols) in the continued message. The TotNoQuoteEntries <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 <i> message to be processed in a stateless manner as it is received. Each Mass Quote <i> 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 <i> message.

See Appendix H: Mass Quote Message Scenarios

Notes on usage:

For many markets, the Mass Quote <i> 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 <i> 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 
    TotNoQuoteEntries=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 
    TotNoQuoteEntries=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 
    TotNoQuoteEntries=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 
    TotNoQuoteEntries=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

Related Messages

• Logon <A>

• Mass Quote Acknowledgement <b>

• Quote <S>