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 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.
|Component Block - <StandardHeader>
|MsgType = i (lowercase)
|Required when quote is in response to a Quote Request message
Type of Quote
Default is Indicative if not specified
|Level of Response requested from receiver of quote messages.
|Component Block - <Parties>
|Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
|Type of account associated with the order (Origin)
|Default Bid Size for quote contained within this quote message - if not explicitly provided.
|Default Offer Size for quotes contained within this quote message - if not explicitly provided.
|Component Block - <QuotSetGrp>
|The number of sets of quotes in the message
Must be set if EncodedComplianceText <2352> field is specified and must immediately precede it.
|Component Block - <StandardTrailer>