Mass Quote Acknowledgement (MsgType = b, FIXML = MassQuotAck)

Mass Quote Acknowledgement (b) is used as the application level response to a Mass Quote (i) message. The Mass Quote Acknowledgement (b) contains a field for reporting the reason in the event that the entire quote is rejected ( QuoteRejectReason (300) ). The Mass Quote Acknowledgement (b) 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 (i) 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 (i) message is specified using the QuoteResponseLevel (301) field.

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = b
131 QuoteReqID @ReqID N Required when acknowledgment is in response to a Quote Request (R) message
117 QuoteID @QID N Required when acknowledgment is in response to a Quote (S) message
297 QuoteStatus @Stat Y Status of the mass quote acknowledgement (b) .
300 QuoteRejectReason @RejRsn N Reason quote was rejected.
301 QuoteResponseLevel @RspLvl N Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
537 QuoteType @Typ N Type of Quote
<Parties> N
1 Account @Acct N
660 AcctIDSource @AcctIDSrc N
581 AccountType @AcctTyp N Type of account associated with the order (Origin)
58 Text @Txt N
354 EncodedTextLen @EncTxtLen C
355 EncodedText @EncTxt C
296 NoQuoteSets QuotSetAck C The number of sets of quotes in the message
=> 302 QuoteSetID @SetID C First field in repeating group. Required if NoQuoteSets (296) > 0
=> <Underlying Instrument> C Required if NoQuoteSets (296) > 0
=> 304 TotNoQuoteEntries @TotNoQuotEntries C Total number of quotes for the QuoteSet across all messages. Should be the sum of all NoQuoteEntries (295) in each message that has repeating quotes that are part of the same QuoteSet. Required if NoQuoteEntries (295) > 0
=> 295 NoQuoteEntries QuotEntryAck C The number of quotes for this Symbol (QuoteSet) that follow in this message.
=> => 299 QuoteEntryID @EntryID C Uniquely identifies the quote as part of a QuoteSet. First field in repeating group. Required if NoQuoteEntries (295) > 0.
=> => <Instrument> N
=> => 555 NoLegs Leg N Used for multileg instruments
=> => => <Instrument Leg> C Used for multileg instruments
=> => 132 BidPx @BidPx C If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx (132) , OfferPx (133) or both must be specified.
=> => 133 OfferPx @OfrPx C If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx (132) , OfferPx (133) or both must be specified.
=> => 134 BidSize @BidSz N
=> => 135 OfferSize @OfrSz N
=> => 62 ValidUntilTime @ValidUntilTm N
=> => 188 BidSpotRate @BidSpotRt N May be applicable for F/X quotes
=> => 190 OfferSpotRate @OfrSpotRt N May be applicable for F/X quotes
=> => 189 BidForwardPoints @BidFwdPnts N May be applicable for F/X quotes
=> => 191 OfferForwardPoints @OfrFwdPnts N May be applicable for F/X quotes
=> => 631 MidPx @MidPx N
=> => 632 BidYield @BidYld N
=> => 633 MidYield @MidYld N
=> => 634 OfferYield @OfrYld N
=> => 60 TransactTime @TxnTm N
=> => 336 TradingSessionID @SesID N
=> => 625 TradingSessionSubID @SesSub N
=> => 64 SettlDate @SettlDt N Can be used with forex quotes to specify a specific "value date"
=> => 40 OrdType @OrdTyp N Can be used to specify the type of order the quote is for
=> => 193 SettDate2 @SettlDt2 N Can be used with OrdType (40) = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
=> => 192 OrderQty2 @Qty2 N Can be used with OrdType (40) = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
=> => 642 BidForwardPoints2 @BidFwdPnts2 N Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
=> => 643 OfferForwardPoints2 @OfrFwdPnts2 N Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
=> => 15 Currency @Ccy N Can be used to specify the currency of the quoted price.
=> => 368 QuoteEntryRejectReason @EntryRejRsn N Reason Quote Entry was rejected.
<Standard Message Trailer> Y