Quote Update Message Fields
Request to enter or update one or more quotes. Quote Update message requests will be forwarded in their entirety to the matching engine instance as a single message and will be applied in a single transaction. The system will only accept Quote Update requests entered via a BOE Bulk Quoting port that are marked with the Capacity = M (Market Maker). A valid registered Market-Maker account value must be provided in the ClearingAccount field or the system will respond with the QuoteUpdateRejected message containing QuoteRejectReason = C (Invalid Clearing).
All options in a single Quote Update message must trade under a single risk root. Requests which include options trading under multiple risk roots will be rejected in their entirety.
A quote is unique per port, EFID, and side. You may quote multiple price levels of depth using either multiple EFIDs on a single port or with the same EFID on multiple ports.
Quote requests are one-sided. To delete a quote, send an update with a zero price and/or size.
Quotes may utilize simple options only; complex options quotes may not be submitted.
By default quotes are valid for a given trading date, which may span multiple calendar dates in the event of a holiday. Quotes may be cancelled at the end of a given trading segment rather than carried forward to the next segment by updating the Multi-Segment Holiday Day Order Handling Port attribute.
Quotes may be marked post only. Quotes that cross the NBBO or displayed Cboe book will be accepted if within a configurable buffer range through the NBBO or displayed Cboe book. The buffer is set to 5% with a minimum of $0.05 and a maximum of $1.00. If a quote would be displayed at a price that locks the NBBO, it will be accepted/slid or rejected based on the PostingInstruction on the quote. Quotes can be opted out of the price-sliding functionality by specifying N or R in the PostingInstruction field on the quote message.
On BZX Options only, quote prices at non-displayable increments are permitted. Prices will be adjusted to the most aggressive non-locking price. Quotes may work (but not display) to lock an away market. Once posted, quotes act as a Display Price Sliding order. C2 and EDGX quotes act as Price Adjust orders.
If a quote modification is rejected, the resting quote being modified is also cancelled.
Executions, unsolicited cancels, and unsolicited modification response messages from the exchange are different from those for orders. They are optimized for efficiency and contain some different data elements (e.g., QuoteUpdateID) than the respective messages for orders.
The PreventMatch field may not be specified on the Quote Update message and Match Trade Prevention is only available if defaulted at the port level. For Bulk Quoting ports, only Cancel Newest, Cancel Oldest, or Cancel Both are permitted. If a Bulk Quoting port is not configured with both a default MTP Modifier and Unique ID Level, Match Trade Prevention will be disabled.
Capacity may not be changed when modifying a quote. To change Capacity of a resting quote, you must first send a quote with zero price and size and then re-enter the quote with the desired Capacity.
Any Quote Update message with a QuoteCnt larger than '1' and a PostingInstruction = I (Book Only, IOC) will be rejected with a Quote Update Rejected message having a quote reject reason code of L (Invalid QuoteCnt).
The Quote Execution message will be the only Quote related message available over ODROP and FIXDROP.
Quote Update message requests sent without any changes to the currently resting quote (no change quotes) will result in a loss of priority and will be reported back with a QuoteResult value of L (Modified; loss of priority) in the Quote Update Acknowledgement message.
- Time priority will be maintained on a quote modification if there is a decrease in OrderQty with no other changes.
- A quote modification decreasing size and changes to any other attribute will lose priority.
- A quote modification with no change to any attribute will lose priority.