Quote Update Acknowledgment Message Fields
Quote Update Acknowledgment messages are sent in response to Quote Update and Complex Quote Update messages. The effect of each requested update will be found in this response. The ordering between request and response is preserved.
For quotes which may remove liquidity or which may post and cause additional Matching Engine action to be taken, such as the early termination of an in progress auction, QuoteResult values of D or d will be returned. In these cases, executions, cancellations, or modifications (as needed) will immediately follow as additional messages. PITCH messaging behavior may also change (e.g. Delete+Add rather than standard Order Modified) for these cases to ensure correct sequencing of events.
In some cases, a new OrderID will be assigned for an existing quote. There are currently two situations where this occurs, but others may be added in the future:
- An order which has received a large number of quote updates over its life will be assigned a new OrderID if receiving an update which would cause a loss in priority.
- A quote update sent to modify the PostingInstruction will be assigned a new OrderID if there is an existing quote in that symbol on that port and for that EFID.
If using the OrderID in your system or to correlate with an OrderID on PITCH, always be prepared to receive an update on an Quote Update Acknowledgment message.
| Field | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| StartOfMessage | 0 | 2 | Binary | Must be 0xBA 0xBA. |
| MessageLength | 2 | 2 | Binary | Number of bytes for the message, including this field but not including the two bytes for the StartOfMessage field. |
| MessageType | 4 | 1 | Binary | 0x51 |
| MatchingUnit | 5 | 1 | Binary | Unsequenced application message. MatchingUnit will be set to 0.Unsequenced application message. MatchingUnit will be set to 0. |
| SequenceNumber | 6 | 4 | Binary | Unsequenced application message. SequenceNumber will be set to 0.This will be an unsequenced application message. The sequence number will be set to 0. |
| TransactionTime | 10 | 8 | DateTime | The time the event occurred in the Cboe Matching Engine (not the time the message was sent). |
| QuoteUpdateID | 18 | 16 | Text | Echoed back from the Quote Update or Complex Quote Update request. |
| QuoteRejectReason | 34 | 1 | Text |
|
| Reserved | 35 | 17 | Binary | Reserved for future expansion. Filled with 0. |
| QuoteCnt | 52 | 1 | Binary | Number of repeating groups included in this acknowledgment. Allowed values are 1-20. |
| Repeating Groups of … | ||||
| OrderID | 8 | Binary | Order ID assigned by the matching engine. Corresponds to order ID on PITCH. | |
| QuoteResult | 1 | Text |
| |
| SubLiquidityIndicator | 1 | Text |
| |
| Subreason | 1 | Text |
| |
| Reserved | 5 | Binary | Reserved for future expansion. Filled with 0. |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 53 00 | 83 bytes |
| MessageType | 51 | Quote Update Acknowledgment |
| MatchingUnit | 03 | Matching Unit 3 |
| SequenceNumber | 64 00 00 00 | Sequence number 100 |
| TransactionTime | E0 FA 20 F7 36 71 F8 11 | 1,294,909,373,757,324,000 |
| QuoteUpdateID | 41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 | ABC123 |
| QuoteRejectReason | 20 | <space> = Success |
| Reserved | 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 | |
| QuoteCnt | 02 | Two Quotes |
| OrderID | 05 10 1E B7 5E 39 2F 02 | 171WC1000005 (base 36) |
| QuoteResult | 64 | d = Modified, but may remove liquidity |
| SubLiquidityIndicator | 4E | N = Normal |
| Subreason | 20 | <space> = None |
| Reserved | 00 00 00 00 00 | |
| OrderID | 06 10 1E B7 5E 39 2F 02 | 171WC1000006 (base 36) |
| QuoteResult | 4C | L = Modified, loss of priority |
| SubLiquidityIndicator | 53 | S = NBBO Setter |
| Subreason | 20 | <space> = None |
| Reserved | 00 00 00 00 00 |