Quote <S> message – FIX 4.3 – FIX Dictionary

FIX 4.3 : Quote <S> message

Description

The Quote <S> message is used as the response to a Quote Request <R> message in both indicative, tradeable, and restricted tradeable quoting markets.

In tradeable and restricted tradeable quoting models, the market maker sends quotes into a market as opposed to sending quotes directly to a counterparty.

The Quote <S> message can be used to send unsolicited quotes in both indicative, tradeable, and restricted tradeable quoting markets.

The Quote <S> message contains a quote for a single product.

If the issuer of the quote requires a response (e.g. notification that the Quote <S> message has been accepted) then the QuoteResponseLevel <301> field should be populated on the Quote <S> message - the response would be made using the Quote Status Report <AI> message

The quote should not be used in tradeable and restricted tradeable quoting markets, such as electronic trading systems, to broadcast quotes to market participants. The recommended approach to reporting market state changes that result from quotes received by a market is to use the market data messages.

Quotes supplied as the result of a Quote Request <R> message will specify the appropriate QuoteReqID <131>, unsolicited quotes can be identified by the absence of a QuoteReqID <131>.

If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:

The forex Symbol <55> is defined in "EBS" (Electronic Banking System) format: "CCY1/CCY2".
- Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
- e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
- CCY1 and CCY2 are ISO currency codes
The value of the Currency <15> field represents the denomination of the quantity fields (e.g. JPY represents quantity of JPY).
See VOLUME 7 - PRODUCT: FOREIGN EXCHANGE

Orders can be generated based on Quotes. Quoted orders include the QuoteID <117> and are OrdType <40>='Previously Quoted'

The time in force for a quote is determined by agreement between counterparties.

A quote can be canceled either using the Quote Cancel <Z> message or by sending a Quote <S> message with bid and offer prices and sizes all set to zero (BidPx <132>, OfferPx <133>, BidSize <134>, OfferSize <135>)

Example: Quote <S> for Single Security

QuoteID=XXX
QuoteReqID=YYY
Symbol=AA
MaturyMonthYear=199901
StrikePrice=25.00
CFICode="OCXXXS"
BixPx=5.00
OfferPx=5.25
BidSize=10
OfferSize=10

Structure

Tag	Field Name	Req'd	Comments
<MessageHeader>		Y	MsgType <35> = S
131	QuoteReqID	N	Required when quote is in response to a Quote Request <R> message
117	QuoteID	Y
537	QuoteType	N	Quote <S> Type If not specified, the default is an indicative quote
301	QuoteResponseLevel	N	Level of Response requested from receiver of Quote <S> messages.
Component Block - <Parties>		N	Insert here the set of "<Parties>" (firm identification) fields
1	Account	N
581	AccountType	N	Type of account associated with the order (Origin)
336	TradingSessionID	N
625	TradingSessionSubID	N
Component Block - <Instrument>		Y	Insert here the set of "<Instrument>" (symbology) fields
132	BidPx	N	If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.
133	OfferPx	N	If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.
645	MktBidPx	N	Can be used by markets that require showing the current best bid and offer
646	MktOfferPx	N	Can be used by markets that require showing the current best bid and offer
647	MinBidSize	N	Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
134	BidSize	N	Specifies the bid size. If MinBidSize <647> is specified, BidSize <134> is interpreted to contain the maximum bid size.
648	MinOfferSize	N	Specifies the minimum offer size. If MinOfferSize <648> is specified, OfferSize <135> is interpreted to contain the maximum offer size.
135	OfferSize	N	Specified the offer size. If MinOfferSize <648> is specified, OfferSize <135> is interpreted to contain the maximum offer size.
62	ValidUntilTime	N	The time when the quote will expire
188	BidSpotRate	N	May be applicable for F/X quotes
190	OfferSpotRate	N	May be applicable for F/X quotes
189	BidForwardPoints	N	May be applicable for F/X quotes
191	OfferForwardPoints	N	May be applicable for F/X quotes
631	MidPx	N
632	BidYield	N
633	MidYield	N
634	OfferYield	N
60	TransactTime	N
63	SettlmntTyp	N
64	FutSettDate	N	Can be used with forex quotes to specify a specific 'value date'
40	OrdType	N	Can be used to specify the type of order the quote is for
193	FutSettDate2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.
192	OrderQty2	N	Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.
642	BidForwardPoints2	N	Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
643	OfferForwardPoints2	N	Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
15	Currency	N	Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
656	SettlCurrBidFxRate	N	Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this Quote <S> message
657	SettlCurrOfferFxRate	N	Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this Quote <S> message
156	SettlCurrFxRateCalc	N	Can be used when the quote is provided in a currency other than the instruments trading currency.
12	Commission	N	Can be used to show the counterparty the commission associated with the transaction.
13	CommType	N	Can be used to show the counterparty the commission associated with the transaction.
582	CustOrderCapacity	N	For Futures Exchanges
100	ExDestination	N	Used when routing quotes to multiple markets
58	Text	N
354	EncodedTextLen	N	Must be set if EncodedText <355> field is specified and must immediately precede it.
355	EncodedText	N	Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.
<MessageTrailer>		Y