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.
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.
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.
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.
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.
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.