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High Performance Interface WG
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Re: New Program Trading message types for batching
Donald Mendelson / CME Group <>
20 Jan 2011 11:23AM ET There still is a distinction between orders and quotes in many markets. First, quoting is usually associated with a market maker role, and market makers are often obligated to enter two-sided quotes. Second, a market maker typically makes only one public quote per instrument and quotes are implicitly cancel/replaced by market maker / instrument / side combination.
The high frequency trading scenario is a little different. First, a trader may or may not have an official market maker role. Second, a trader may wish to enter numerous orders for the same instrument at different prices, based on a strategy or price laddering, as opposed to one quote for many instruments represented in MassQuote.
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> 2) Is a distinction between quotes and orders really necessary in the new protocol or does such a distinction just add needless complexity? I would guess that this distinction has no place in the new protocol...
Re: New Program Trading message types for batching
Donald Mendelson / CME Group 20 Jan 2011 11:23AM ET
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@FIXProtocol
