Imported from previous forum
We are now working on the implementation of Mass Quote for market making according to FIX-5.0_SP2_VOL-7 document. We are not clear on the definition of QuoteResponseLevel(301) in the Mass Quote (35=i) and Mass Quote Acknowledgement. Could anyone advise on following questions? Thanks.
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Does QuoteResponseLevel apply to full Mass Quote life cycle or just single request level? Say for example, we have submitted a MassQuote (35=i) with QuoteResponseLevel=2 and accepted by the exchange. In case of Unsolicited cancel made by the exchange, should the exchange sends MassQuoteAcknowledgement with proper QuoteStatus (297)? In contrast, we have submitted a MassQuote (35=i) with QuoteResponseLevel=0. Should the exchange suppresses MassQuoteAcknowledgement? (Please refer to P210 second paragraph. It seems that “No acks at all” and “Rejects only” are only applicable for solicited actions)
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In Mass Quote Cancel section (P.224), either Quote Status Report or Mass Quote Ack can be sent for acceptance of the request. With respect to unsolicited Mass Quote Cancel, can we use either Mass Quote Ack to represent cancelled quote information? (In the table on page 213, it seems that only Quote Status Report should be sent in case of Mass Quote removed from Market in unsolicited way).
The QuoteResponseLevel applies to the quotes listed in the request and the scope of the request, i.e. on what level of detail you want to be informed about the effect your request had. Your request implicitly adds, modifies or deletes a number of quotes (un)successfully. It is about these results, i.e. exactly one per quote which is provided a) not at all, b) only for failures, c) for every quote, or d) only the number of success vs failures.
The QuoteResponseLevel only applies to responses to a single MassQuote request and not to unsolicited changes/fills of the quotes. Both should probably always be reported to the quote submitter to keep him informed.
To your second question. QuoteStatusReport is only able to report back the status of a single quote. If you are able to convey the status of multiple quotes in a single message then the MassQuoteAck is what you would use for it instead of sending many QuoteStatusReports. It is a shortcut to allow the MassQuoteAck to be sent not only as a response to a MassQuote request but also as an unsolicited message. Please note that this does not apply to quote fills which (currently( have to be reported one by one with ExecutionReports. Only multiple fills of a single quote can be bundled into a single ER by means of the .
We are now working on the implementation of Mass Quote for market making according to FIX-5.0_SP2_VOL-7 document. We are not clear on the definition of QuoteResponseLevel(301) in the Mass Quote (35=i) and Mass Quote Acknowledgement. Could anyone advise on following questions? Thanks.
Does QuoteResponseLevel apply to full Mass Quote life cycle or just single request level? Say for example, we have submitted a MassQuote (35=i) with QuoteResponseLevel=2 and accepted by the exchange. In case of Unsolicited cancel made by the exchange, should the exchange sends MassQuoteAcknowledgement with proper QuoteStatus (297)? In contrast, we have submitted a MassQuote (35=i) with QuoteResponseLevel=0. Should the exchange suppresses MassQuoteAcknowledgement? (Please refer to P210 second paragraph. It seems that “No acks at all” and “Rejects only” are only applicable for solicited actions)
In Mass Quote Cancel section (P.224), either Quote Status Report or Mass Quote Ack can be sent for acceptance of the request. With respect to unsolicited Mass Quote Cancel, can we use either Mass Quote Ack to represent cancelled quote information? (In the table on page 213, it seems that only Quote Status Report should be sent in case of Mass Quote removed from Market in unsolicited way).