What are Mass Quotes

F

FroggerMan

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

http://www.youtube.com/watch?v=bwFvG-x-8Ic


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.
 
Quote from FroggerMan:

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

http://www.youtube.com/watch?v=bwFvG-x-8Ic


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.
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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.
 
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.
 
Quote from FroggerMan:

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.
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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.
 
Quote from FroggerMan:

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