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Quote Request <R> message – FIX 4.4 – FIX Dictionary

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FIX 4.4 : Quote Request <R> message

Structure | Related Messages

Description

In some markets it is the practice to request quotes from brokers prior to placement of an order. The Quote Request <R> message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

Quotes can be requested on specific securities, on specified stipulations when specific security is not known or forex rates. The Quote Request <R> message can be used to request quotes on single products or multiple products.

Securities quotes can be requested as either market quotes or for a specific quantity and side. If OrderQty <38> and Side <54> are absent, a market-style quote (bid x offer, size x size) will be returned.

In the tradeable and restricted tradeable quote models the Quote Request <R> may be preceded by the RFQ Request <AH> message described further below.

For tradeable quote requests it is possible to specify the time period in which the request is valid for and the time period which the resulting quote must be valid for.

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
  • Forex quotes can be requested as indicative or at a specific quantity level. If an indicative quote is requested (OrderQty <38> and Side <54> are absent), the broker has discretion to quote at either a specific trade level and side or to provide an indicative quote at the mid-point of the spread. The broker can also choose to respond to an indicative quote by sending multiple Quote <S> messages specifying various levels and sides.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = R
131 QuoteReqID Y
644 RFQReqID N

For tradeable quote model - used to indicate to which RFQ Request <AH> this Quote Request <R> is in response.

11 ClOrdID N

Required when QuoteType <537> is "Tradeable" and the OrdType <40> is 'Limit'.

528 OrderCapacity N
146 NoRelatedSym Y

Number of related symbols (instruments) in Request
=> 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
=> 140 PrevClosePx N

Useful for verifying security identification
=> 303 QuoteRequestType N

Indicates the type of Quote Request <R> (e.g. Manual vs. Automatic) being generated.

=> 537 QuoteType N

Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
=> 336 TradingSessionID N
=> 625 TradingSessionSubID N
=> 229 TradeOriginationDate N
=> 54 Side N

If OrdType <40> = 'Forex - Swap', should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.

For single instrument use.
=> 854 QtyType N
=> Component Block - <OrderQtyData> N

Required for single instrument quoting.

Required for Fixed Income if QuoteType <537> is "Tradeable".

=> 63 SettlType N
=> 64 SettlDate N

Can be used (e.g. with forex quotes) to specify the desired '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 desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.

=> 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
=> 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
=> => Component Block - <LegBenchmarkCurveData> N
=> 735 NoQuoteQualifiers N
=> => 695 QuoteQualifier N

Required if NoQuoteQualifiers <735> > 1

=> 692 QuotePriceType N

Initiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.

=> 40 OrdType N

Can be used to specify the type of order the quote request is for
=> 62 ValidUntilTime N

Used by the quote initiator to indicate the period of time the resulting Quote <S> must be valid until

=> 126 ExpireTime N

The time when Quote Request <R> will expire.

=> 60 TransactTime N

Time transaction was entered
=> Component Block - <SpreadOrBenchmarkCurveData> N

Insert here the set of "<SpreadOrBenchmarkCurveData>" (Fixed Income spread or benchmark curve) fields

=> 423 PriceType N
=> 44 Price N

Quoted or target price
=> 640 Price2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the Quoted or target price for the future portion of a F/X swap.

=> Component Block - <YieldData> N

Insert here the set of "<YieldData>" (yield-related) fields

=> Component Block - <Parties> 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

 

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