FIX.4.2 Message

MassQuote [type 'i']

The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series.


Added  FIX.4.2

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Field or ComponentField NameReq'dCommentsDepr.
ComponentStandardHeader

MsgType = i (lowercase)

 
131QuoteReqID 

Required when quote is in response to a Quote Request message

 
117QuoteID 
301QuoteResponseLevel 

Level of Response requested from receiver of quote messages.

 
293DefBidSize 

Default Bid Size for quote contained within this quote message – if not explicitly provided.

 
294DefOfferSize 

Default Offer Size for quotes contained within this quote message – if not explicitly provided.

 
Repeating Group 296NoQuoteSets

The number of sets of quotes in the message

 
302QuoteSetID

Sequential number for the Quote Set. For a given QuoteID – assumed to start at 1.

Must be the first field in the repeating group.

 
311UnderlyingSymbol 
312UnderlyingSymbolSfx  
309UnderlyingSecurityID  
305UnderlyingIDSource  
310UnderlyingSecurityType  
313UnderlyingMaturityMonthYear 

Required if UnderlyingMaturityDay is specified.

 
314UnderlyingMaturityDay  
315UnderlyingPutOrCall  
316UnderlyingStrikePrice  
317UnderlyingOptAttribute  
436UnderlyingContractMultiplier 

For Fixed Income, Convertible Bonds, Derivatives, etc.

 
435UnderlyingCouponRate 

For Fixed Income.

 
308UnderlyingSecurityExchange  
306UnderlyingIssuer  
362EncodedUnderlyingIssuerLen 

Must be set if EncodedUnderlyingIssuer field is specified and must immediately precede it.

 
363EncodedUnderlyingIssuer 

Encoded (non-ASCII characters) representation of the UnderlyingIssuer field in the encoded format specified via the MessageEncoding field.

 
307UnderlyingSecurityDesc  
364EncodedUnderlyingSecurityDescLen 

Must be set if EncodedUnderlyingSecurityDesc field is specified and must immediately precede it.

 
365EncodedUnderlyingSecurityDesc 

Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc field in the encoded format specified via the MessageEncoding field.

 
367QuoteSetValidUntilTime  
304TotQuoteEntries

Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.

 
Repeating Group 295NoQuoteEntries

The number of quotes for this Symbol (QuoteSet) that follow in this message.

** Nested Repeating Group follows **

 
299QuoteEntryID

Uniquely identifies the quote as part of a QuoteSet.

Must be used if NoQuoteEntries is used

 
55Symbol  
65SymbolSfx  
48SecurityID  
22IDSource  
167SecurityType 

Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.

 
200MaturityMonthYear 

Specifiesthe month and year of maturity. Required if MaturityDay is specified.

 
205MaturityDay 

Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.

 
201PutOrCall 

For Options.

 
202StrikePrice 

For Options.

 
206OptAttribute 

For Options.

 
231ContractMultiplier 

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

 
223CouponRate 

For Fixed Income.

 
207SecurityExchange 

Can be used to identify the security.

 
106Issuer  
348EncodedIssuerLen 

Must be set if EncodedIssuer field is specified and must immediately precede it.

 
349EncodedIssuer 

Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.

 
107SecurityDesc  
350EncodedSecurityDescLen 

Must be set if EncodedSecurityDesc field is specified and must immediately precede it.

 
351EncodedSecurityDesc 

Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.

 
132BidPx 

If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.

 
133OfferPx 

If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.

 
134BidSize  
135OfferSize  
62ValidUntilTime  
188BidSpotRate 

May be applicable for F/X quotes

 
190OfferSpotRate 

May be applicable for F/X quotes

 
189BidForwardPoints 

May be applicable for F/X quotes

 
191OfferForwardPoints 

May be applicable for F/X quotes

 
60TransactTime  
336TradingSessionID  
64FutSettDate 

Can be used with forex quotes to specify a specific "value date"

 
40OrdType 

Can be used to specify the type of order the quote is for

 
193FutSettDate2 

Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.

 
192OrderQty2 

Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.

 
15Currency 

Can be used to specify the currency of the quoted price.

 
end Repeating Group
end Repeating Group
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