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FIX 4.2 : Mass Quote <i> message

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 tags 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 <S> Entries for a Quote <S> Set (option class) could exceed one's physical or practical message size. It may be necessary to fragment a message across multiple Quote <S> 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 <S> Entries for a Quote <S> 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 <S> Entries (related symbols) in the continued message. The TotQuoteEntries <304> is provided to optionally indicate to the counterparty the total number of Quote <S> Entries for a Quote <S> Set in multiple Quote <S> 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 <S> 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 <S> 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 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 <i> Message Scenarios

Notes on usage for Options Markets:

It is assumed that for many options 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
    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 <S> messages.

293 DefBidSize N

Default Bid Size for quote contained within this Quote <S> message - if not explicitly provided.

294 DefOfferSize N

Default Offer Size for quotes contained within this Quote <S> 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 <S> 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

Specifiesthe 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  

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