What are Mass Quotes

Discussion in 'Options' started by FroggerMan, Aug 27, 2012.

  1. While they did a good job of explaining it here the audio was poor so it was difficult to catch it all.


    From what I understand mass quoting updates your options pricing all at once when the underlying changes as opposed to having to update each quote individually. While this obviously reduces latency I am guessing that it also prevents you from trading with yourself when there are huge price swings in the market.
  2. 1245


    Bulk quote changes are only for member firms. The difference is that one message can change around 300 quotes( both sides of the market, the bid and offer). As a non member, each change requires a "cancel replace". Those same three hundred changes would require 600 messages from a non member. A market maker trading 100 underlying might make 25,000 to 50,000 quote updates every few seconds in a market with stocks moving around.
  3. That's pretty much what my understanding was. Just on a side note, from my understanding on the CME you can do a change as opposed to a cancel and then replace so you just need 1 message for every quote not 2.
  4. 1245


    Sorry, my reference was for Equity Options. I don't know the rules of futures exchanges or how access is allowed for options. Option City can do both options on futures and options on equities.
  5. quatron


    You can't do a cancel and then replace, it's a single message called CancelReplace which amends an order. What 1245 meant I guess is that you will need to send 2 CancelReplace messages, one for bid and one for ask.
  6. 1245


    Yes, that is what a customer order would require on equity option exchanges without bulk messaging. I don't know about the