Mass quoting

Mass quoting refers to the functionality within a matching engine that enables the simultaneous submission of multiple order actions or updates in a single order message. This feature is particularly advantageous for trading participants, allowing them to efficiently place or modify orders across instruments that share related pricing.

The primary benefits of mass quoting include:

• Reduced latency: By submitting a single mass quote message, participants can decrease the latency associated with order entry or cancellation. A mass quote is typically smaller than a series of individual order messages, which helps minimize total serialization latency.
• Lower messaging costs: Many trading venues impose costs based on the number of messages sent. Utilizing mass quoting can lead to lower per-firm messaging rates or a favorable order message-to-trade ratio, helping participants avoid fines associated with exceeding mandated thresholds.
• Simplified state management: Mass quoting is often implemented as an atomic action, ensuring that no other participant’s order events can interrupt the order actions of the mass quote user. This prevents race conditions or other complexities that can arise from managing multiple in-flight orders.

Mass quoting is particularly valuable for options market makers, who typically handle a large volume of quotes relative to trades. These participants need to frequently update quotes across various instruments in response to price fluctuations in the underlying assets or their own aggressive trading strategies.

The specific implementation of mass quoting can vary by trading venue and matching engine. Differences may include whether participants can update orders on both the bid and ask sides simultaneously or across multiple instruments. Additionally, venues may impose limits on the number of orders that can be updated in a single mass quote and may have specific time restrictions during which mass quoting is permitted.

The term mass quote generally refers to simultaneous actions such as adding or modifying orders. In contrast, when the simultaneous action involves cancellations, the term mass cancel is used.