Imported from previous forum
Does anyone know why CME uses MassQuote for its market-making rather than NewOrderList? Any other insight on the differences between the two messages would be appreciated.
Thanks,
Robert
Market making can be done with quotes or orders. Quotes are much leaner than orders and are the preferred choice. MassQuote also allows to submits explicit pairs (bids and offers) whereas NewOrderList is simply a list of arbitrary orders and not intended for quoting with the exception of some special cases (see 1385 ContingencyType 5 and 6). NewOrderList was originally created for basket trading where you submit a number of orders to a broker followed by a ListExecute message to actually start working on the orders.
MassQuote also allows bulk modification and deletion of inidividual quotes. There is no “OrderListCancelRepace” message in FIX. There is debate whether to introduce a MassOrder message which would work similar to MassQuote in that it would only have very few additional attributes apart from price and qty.
Regards,
Hanno.
Does anyone know why CME uses MassQuote for its market-making rather than NewOrderList? Any other insight on the differences between the two messages would be appreciated.
Thanks,
Robert