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Quantitative Finance · Glossary

What is Mass quote?

Definition 19.2 Market Making and High-Frequency Trading · Chapter 19 — Automated Options Market Making

A mass quote is a single message in which a market maker sends or replaces bids and offers in many option series at once, which the exchange processes as a unit, so that a market maker can update thousands of quotes after a move in the underlying without sending thousands of separate orders.

The market maker’s loss to an informed sweep after a 1% move in the stock (left axis, thousand dollars) and the customer fills it loses on an ordinary day while its quotes are pulled (right axis), against the exchange’s count threshold; 170 series quoted ten contracts each; the sweep hits one series every five microseconds; ordinary orders of one to twelve legs, 8 235 fills a day without protection. Without protection the sweep takes $79 370. Data: hf_options.protection_table.
Figure 19.1. The market maker’s loss to an informed sweep after a 1% move in the stock (left axis, thousand dollars) and the customer fills it loses on an ordinary day while its quotes are pulled (right axis), against the exchange’s count threshold; 170 series quoted ten contracts each; the sweep hits one series every five microseconds; ordinary orders of one to twelve legs, 8 235 fills a day without protection. Without protection the sweep takes $79 370. Data: hf_options.protection_table.
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