FIX 5.0 SP2 : MassQuoteAcknowledgement <b> message

Structure | Related Messages

Description

Mass Quote Acknowledgement is used as the application level response to a Mass Quote <S> message. The Mass Quote Acknowledgement contains a field for reporting the reason in the event that the entire quote is rejected (QuoteRejectReason <300>). The Mass Quote Acknowledgement also contains a field for each quote that is used in the event that the quote entry is rejected (QuoteEntryRejectReason <368>). The ability to reject an individual quote entry is important so that the majority of quotes can be successfully applied to the market instead of having to reject the entire Mass Quote for a minority of rejected quotes.

Derivative markets are characterized by high bandwidth consumption due to a change in an underlying security price causing multiple (often in the hundreds) of quotes to be recalculated and retransmitted to the market. For that reason the ability for market participants (and the market ) to be able to set the level of response requested to a Mass Quote message is specified using the QuoteResponseLevel <301> field.

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = b (lowercase)
131 QuoteReqID N Required when acknowledgment is in response to a Quote Request message
117 QuoteID N

Required when acknowledgment is in response to a Mass Quote, mass Quote Cancel or mass Quote Status Request message. Maps to:

- QuoteID(117) of a Mass Quote

- QuoteMsgID(1166) of Quote Cancel

- QuoteStatusReqID(649) of Quote Status Request

297 QuoteStatus Y Status of the mass quote acknowledgement.
300 QuoteRejectReason N Reason Quote was rejected.
301 QuoteResponseLevel N Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
537 QuoteType N Type of Quote
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)
58 Text N
354 EncodedTextLen N
355 EncodedText N
Component Block - <QuotSetAckGrp> N The number of sets of quotes in the message
298 QuoteCancelType N
Component Block - <TargetParties> N Should be populated if the Mass Quote Acknowledgement is acknowledging a mass quote cancellation by party.
Component Block - <StandardTrailer> Y

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