Viewing MQP Protections

To view and manage MQP configuration and settings, review the following instructions.

  • To view mass quote protections:
  1. From the Mass Quote Protection page, enter market participant and / or product search criteria.

  • Market Participant fields: Execution Firm, Trader ID, Sender Comp ID.
  • Product fields: Asset Class, Product Line, Product Group.

Note: Clicking Search without entered criteria searches all entitled mass quote details.

  1. Click Search; matching results appear.

From the results, the following protection values are available:

  • Fill % (F): During a given MQP exchange set evaluation period (one-second), the cumulative sum of the execution quantity of a quote, relative to its original quote quantity (traded quantity of the original total quantity).

Tallies each time a quote's bid or ask trades.

The Original Booked Quantity of the quote is retained for calculating the fill percentage for all partial trades during the MQP duration.

The following is treated as a new quote for calculations: (i) Modifications to quote quantity, (ii) percentage of trades as percentage the original quote are retained, (iii) modified quote.

Note: Percentage protection must be greater than or equal to 70 percent - Percentage = ∑( Traded Quantity in this Match Event / Original Booked Quantity of the quote )

  • Traded Quantity (Z): Traded quantity-based MQP. Tallies the number of lots traded.
  • Delta (D): Traded delta-based MQP set by customers in absolute terms.
  • Tallies the net delta (equivalent futures) from each trade within the exchange set evaluation time (one-second). The value is entered as a positive integer but is evaluated at the positive (Long Call, Short Put) and negative (Short Call, Long Put) integer equivalents (e.g. a delta threshold value set at '5' equates to +5 or -5). Positive deltas increment the counter and Negative Deltas decrement the counter.
  • Deltas are calculated every 15 seconds throughout the trading session.
  • Deltas are netted for option spread trades (e.g. an option spread trade with leg deltas of +0.30 and -0.40 nets to -0.10).
  • The D tally can exceed the threshold value by a resting quote's total delta minus (or plus) 1 delta.

If a customer's limits, for a given SenderCompID, are breached or a new quote exceeds a MQP threshold, resting quotes that match incoming quotes are canceled at the corresponding level (Product Group or Product Line) and subsequent quotes rejected until a customer submits a mass quote reset message (tag 9773-MMProtectionReset=Y).

Enforcement

Using specified values, enforcement is available at the Product Group, Line and / or Aggregate levels; for each type and reference value.

Quotes that exceed the value of the respective MQP reference value (limit), within the exchange set time interval will be rejected; causing cancellation of resting and rejection of new mass quotes.

Available Product Line, Group Code or Aggregate protection are activated by the following configuration:

Product Group - (No Product Line Protection)

  • Product Line checkbox: Not selected.
  • Product Line: Not entered.
  • Values: Entered at Product Group level

Product Line

  • Product Line checkbox: Selected.
  • Product Line: Not entered.
  • Product Group: Value entered

Aggregate

  • Product Line checkbox: Selected.
  • Product Line: Value entered.
  • Product Group: Value entered.

Additional details

For additional details refer to the Client Systems Wiki - Mass Quote Protections:

  • Mass Quote Overview Video
  • Time interval: Exchange-defined time interval during which MQPs are counted and enforced.
  • MQP Types: Reference values with examples.
  • Enforcement Levels: Protection types with examples.
  • Trigger: Scenarios and examples that trigger MQP.
  • Message Reset: Describes manual reset of MQP tally(s) to zero and subsequent Mass Quote message processing.
  • Product lines: Product lines currently available for MQP.