MassQuote <i> message – FIX 5.0 SP2 – FIX Dictionary
The Mass Quote <S> 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 <S> 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 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.