Description
The Quote message is used as the response to a Quote Request or a Quote Response 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 (i.e. notification that the quote message has been accepted) then the QuoteResponseLevel <301> field should be populated on the quote message - the response would be made using the QuoteStatusReport <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 QuoteRequest <R> message will specify the appropriate QuoteReqID <131>, unsolicited quotes can be identified by the absence of a QuoteReqID <131>.
See VOLUME 7 - PRODUCT: FOREIGN EXCHANGE and USER GROUP: EXCHANGES AND MARKETS sections for more detailed usage notes specific to Foreign Exchange and Exchanges/Marketplaces respectively.
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 QuoteCancel <Z> message or by sending a quote message with bid and offer prices and sizes all set to zero (BidPx <132>, OfferPx <133>, BidSize <134>, OfferSize <135>)
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y | MsgType = S | ||
| 131 | QuoteReqID | N | Required when quote is in response to a Quote Request message | |
| 117 | QuoteID | Y | ||
| 390 | BidID | N |
Unique identifier for the bid side of the quote. |
|
| 1867 | OfferID | N |
Unique identifier for the ask side of the quote. |
|
| 1751 | SecondaryQuoteID | N |
Can be used when modifying an existing quote. |
|
| 1166 | QuoteMsgID | N | Optionally used to supply a message identifier for a quote. | |
| 693 | QuoteRespID | N | Required when responding to the Quote Response message. The counterparty specified ID of the Quote Response message. | |
| 1080 | RefOrderID | N |
May be used to refer to a related quote. |
|
| 1081 | RefOrderIDSource | N |
Conditionally required if RefOrderID <1080> is specified. |
|
| 537 | QuoteType | N |
Quote Type If not specified, the default is an indicative quote |
|
| 2403 | QuoteModelType | N | ||
| 1171 | PrivateQuote | N | Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed. | |
| 2837 | SingleQuoteIndicator | N | ||
| Component Block - <QuotQualGrp> | N | |||
| 828 | TrdType | N | ||
| 2115 | NegotiationMethod | N | ||
| 301 | QuoteResponseLevel | N | Level of Response requested from receiver of quote messages. | |
| Component Block - <QuoteAttributeGrp> | N |
May be used by the quote provider to indicate pre-trade transparency waiver determination in the context of MiFID II. |
||
| Component Block - <ValueChecksGrp> | N | |||
| Component Block - <Parties> | N | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages" | ||
| 336 | TradingSessionID | N | ||
| 625 | TradingSessionSubID | N | ||
| Component Block - <Instrument> | Y | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" | ||
| Component Block - <FinancingDetails> | N | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages" | ||
| Component Block - <UndInstrmtGrp> | N | Number of underlyings | ||
| 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". For NDFs this is required. |
|
| 193 | SettlDate2 | N | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap. | |
| 192 | OrderQty2 | N | Can be used with OrdType = "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 | |
| 120 | SettlCurrency | N | Required for NDFs to specify the settlement currency (fixing currency). | |
| Component Block - <RateSource> | N | |||
| Component Block - <Stipulations> | N | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages" | ||
| 1 | Account | N | ||
| 660 | AcctIDSource | N | ||
| 581 | AccountType | N | Type of account associated with the order (Origin) | |
| 522 | OwnerType | N | ||
| 377 | SolicitedFlag | N | ||
| Component Block - <LegQuotGrp> | N | Required for multileg quotes | ||
| 132 | BidPx | N | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx 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, OfferPx 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 is specified, BidSize is interpreted to contain the maximum bid size. | |
| 1749 | TotalBidSize | N | ||
| 648 | MinOfferSize | N | Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size. | |
| 135 | OfferSize | N | Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size. | |
| 1750 | TotalOfferSize | N | ||
| 110 | MinQty | N | For use in private/directed quote negotiations. | |
| 1629 | ExposureDuration | N | ||
| 1916 | ExposureDurationUnit | N | ||
| 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 | |
| 1065 | BidSwapPoints | N | Bid swap points of an FX Swap quote. | |
| 1066 | OfferSwapPoints | N | ||
| 631 | MidPx | N | ||
| 632 | BidYield | N | ||
| 633 | MidYield | N | ||
| 634 | OfferYield | N | ||
| 60 | TransactTime | N | ||
| Component Block - <TrdRegTimestamps> | 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 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 message | |
| 156 | SettlCurrFxRateCalc | N | Can be used when the quote is provided in a currency other than the instruments trading currency. | |
| Component Block - <CommissionData> | 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 | |
| 1133 | ExDestinationIDSource | N | ||
| 775 | BookingType | N | ||
| 528 | OrderCapacity | N | ||
| 529 | OrderRestrictions | N | ||
| 1934 | RegulatoryReportType | N | ||
| 423 | PriceType | N | ||
| Component Block - <PriceQualifierGrp> | N | |||
| 2533 | BidSpread | N |
SpreadOrBenchmarkCurveData component may be used to specify the benchmark. |
|
| 2534 | OfferSpread | N |
SpreadOrBenchmarkCurveData component may be used to specify the benchmark. |
|
| Component Block - <SpreadOrBenchmarkCurveData> | N |
Spread <218> may be used for a mid-spread value. |
||
| Component Block - <RelativeValueGrp> | N | |||
| Component Block - <YieldData> | N | |||
| Component Block - <RoutingGrp> | N | |||
| 1937 | TradeContinuation | N |
May be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event. |
|
| 2374 | TradeContinuationText | N | ||
| 2372 | EncodedTradeContinuationTextLen | N |
Must be set if EncodedTradeContinuationText <2371> field is specified and must immediately precede it. |
|
| 2371 | EncodedTradeContinuationText | N |
Encoded (non-ASCII characters) representation of the TradeContinuationText <2374> field in the encoded format specified via the MessageEncoding <347> field. |
|
| 2362 | SelfMatchPreventionID | N | ||
| 1685 | ThrottleInst | N | ||
| 376 | ComplianceID | N | ||
| 2404 | ComplianceText | N | ||
| 2351 | EncodedComplianceTextLen | N |
Must be set if EncodedComplianceText <2352> field is specified and must immediately precede it. |
|
| 2352 | EncodedComplianceText | N |
Encoded (non-ASCII characters) representation of the ComplianceText <2404> field in the encoded format specified via the MessageEncoding <347> field. |
|
| 58 | Text | N | ||
| 354 | EncodedTextLen | N | Must be set if EncodedText field is specified and must immediately precede it. | |
| 355 | EncodedText | N | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field. | |
| 443 | StrikeTime | N |
Conditionally required when QuoteQualifier <695> = d (Deferred spot) is specified. |
|
| Component Block - <StandardTrailer> | Y | |||