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 | QuoteReqID | N | Required when acknowledgment is in response to a Quote Request (R) message | |||
| 117 | QuoteID | QuoteID | N | Required when acknowledgment is in response to a Quote (S) message | |||
| 297 | QuoteStatus | QuoteStatus | Y | Status of the mass quote acknowledgement (b) . | |||
| 300 | QuoteRejectReason | QuoteRejReason | N | Reason quote was rejected. | |||
| 301 | QuoteResponseLevel | QuoteResponseLevel | N | Level of Response requested from receiver of quote (S) messages. Is echoed back to the counterparty. | |||
| 537 | QuoteType | QuoteType | N | Type of Quote | |||
| <Parties> | N | ||||||
| 1 | Account | Account | N | ||||
| 581 | AccountType | AccountType | N | Type of account associated with the order (Origin) | |||
| 58 | Text | Text | N | ||||
| 296 | NoQuoteSets | NoQuoteSets | N | The number of sets of quotes in the message | |||
| => | 302 | QuoteSetID | QuoteSetID | C | First field in repeating group. Required if NoQuoteSets (296) > 0 | ||
| => | <Underlying Instrument> | C | Required if NoQuoteSets (296) > 0 | ||||
| => | 304 | TotQuoteEntries | TotQuoteEntries | 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 | NoQuoteEntries | N | The number of quotes for this Symbol (55) (QuoteSet) that follow in this message. | ||
| => | => | 299 | QuoteEntryID | QuoteEntryID | C | Uniquely identifies the quote as part of a QuoteSet. First field in repeating group. Required if NoQuoteEntries (295) > 0. | |
| => | => | <Instrument> | N | ||||
| => | => | 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 | OfferPx | 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 | BidSize | N | ||
| => | => | 135 | OfferSize | OfferSize | N | ||
| => | => | 62 | ValidUntilTime | ValidUntilTime | N | ||
| => | => | 188 | BidSpotRate | BidSpotRate | N | May be applicable for F/X quotes | |
| => | => | 190 | OfferSpotRate | OfferSpotRate | N | May be applicable for F/X quotes | |
| => | => | 189 | BidForwardPoints | BidForwardPoints | N | May be applicable for F/X quotes | |
| => | => | 191 | OfferForwardPoints | OfferForwardPoints | N | May be applicable for F/X quotes | |
| => | => | 631 | MidPx | MidPx | N | ||
| => | => | 632 | BidYield | BidYield | N | ||
| => | => | 633 | MidYield | MidYield | N | ||
| => | => | 634 | OfferYield | OfferYield | N | ||
| => | => | 60 | TransactTime | TransactTime | N | ||
| => | => | 336 | TradingSessionID | TradingSessionID | N | ||
| => | => | 625 | TradingSessionSubID | TradingSessionSubID | N | ||
| => | => | 64 | FutSettDate | FutSettDate | N | Can be used with forex quotes to specify a specific "value date" | |
| => | => | 40 | OrdType | OrdType | N | Can be used to specify the type of order the quote is for | |
| => | => | 193 | FutSettDate2 | FutSettDate2 | 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 | OrderQty2 | 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 | BidForwardPoints2 | 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 | OfferForwardPoints2 | 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 | Currency | N | Can be used to specify the currency of the quoted price. | |
| => | => | 368 | QuoteEntryRejectReason | QuoteEntryRejReason | N | Reason Quote Entry was rejected. | |
| <Standard Message Trailer> | Y | ||||||
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