Quote <S> message – FIX 4.4 – FIX Dictionary

FIX 4.4 : Quote <S> message

Description

The Quote <S> message is used as the response to a Quote Request <R> or a Quote Response <AJ> 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.

For Fixed Income in the indicative and tradeable quoting models, the quotes are typically sent directly to an interested counterparty as opposed to a market place. See Volume 7 - PRODUCT: FIXED INCOME for specific descriptions and usage details.

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

The Quote 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 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 Electronic Broking Services, Ltd. (see http://www.ebs.com) 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 <53> 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 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
693		QuoteRespID	N	Required when responding to the Quote Response <AJ> message. The counterparty specified ID of the Quote Response <AJ> message.
537		QuoteType	N	Quote <S> Type If not specified, the default is an indicative quote
735		NoQuoteQualifiers	N
=>	695	QuoteQualifier	N	Required if NoQuoteQualifiers <735> > 1
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
336		TradingSessionID	N
625		TradingSessionSubID	N
Component Block - <Instrument>			Y	Insert here the set of "<Instrument>" (symbology) fields
Component Block - <FinancingDetails>			N	Insert here the set of "<FinancingDetails>" fields
711		NoUnderlyings	N	Number of underlyings
=>	Component Block - <UnderlyingInstrument>		N	Must be provided if Number of underlyings > 0
54		Side	N	Required for Tradeable or Counter quotes of single instruments
Component Block - <OrderQtyData>			N	Required for Tradeable quotes or Counter quotes of single instruments
63		SettlType	N
64		SettlDate	N	Can be used with forex quotes to specify a specific 'value date'
193		SettlDate2	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.
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
Component Block - <Stipulations>			N	Insert here the set of "<Stipulations>" (repeating group of Fixed Income stipulations) fields
1		Account	N
660		AcctIDSource	N
581		AccountType	N	Type of account associated with the order (Origin)
555		NoLegs	N	Required for multileg quotes
=>	Component Block - <InstrumentLeg>		N	Required for multileg quotes For Swaps one leg is Buy and other leg is Sell
=>	687	LegQty	N
=>	690	LegSwapType	N
=>	587	LegSettlType	N
=>	588	LegSettlDate	N
=>	Component Block - <LegStipulations>		N
=>	Component Block - <NestedParties>		N
=>	686	LegPriceType	N	Code to represent type of price presented in LegBidPx <681> and LegOfferPx <684>. Required if LegBidPx <681> or LegOfferPx <684> is present.
=>	681	LegBidPx	N
=>	684	LegOfferPx	N
=>	Component Block - <LegBenchmarkCurveData>		N
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
40		OrdType	N	Can be used to specify the type of order the quote is for
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
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.
13		CommType	N	Can be used to show the counterparty the commission associated with the transaction.
12		Commission	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
528		OrderCapacity	N
423		PriceType	N
Component Block - <SpreadOrBenchmarkCurveData>			N
Component Block - <YieldData>			N
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