FIX 5.0 SP1 : MassQuote <i> message

Structure | Related Messages

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 ones 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 ones counterparties.

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = i (lowercase)
131 QuoteReqID N Required when quote is in response to a Quote Request 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 defined in "Common Components of Application Messages"
1 Account N
660 AcctIDSource 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.
Component Block - <QuotSetGrp> Y The number of sets of quotes in the message
Component Block - <StandardTrailer> Y

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