When staging orders from a buy-side Order Management System into Fixed Income and FX RFQ platforms, there are two mechanisms to assist in integration between these systems
- Must Use/Cannot Use counterparty restriction lists (new order messages). This ensures compliance restrictions in the OMS are honoured in the RFQ platform
- Competing Dealer Quotes (execution report messages). This ensures quote data flows back to the OMS to inform Best Execution/TCA processes
I’m pleased to see that FIX.4.4 EP22 added the (Un)Acceptable party roles to standardise the restriction lists
But I’m surprised to see that there is still no standardisation for the Competing Dealer Quotes. If we were only talking about a handful of venues or a niche market then bilaterally agreed custom tags would be appropriate but there’s trillions of dollars per day flowing through at least 200 FI and FX platforms.
Does anyone know why this area lacks standardisation?
Sources:
FX Trading: New venues (alignment-systems.com)
Fixed Income Trading: New venues ( How many Fixed Income trading venues are there? ) (alignment-systems.com)
‘Resurgence’ in fixed income in 2023 drove e-trading in December - The DESK - The leading source of information for bond traders (fi-desk.com)
Hey @dominicgifford!
Maybe one to be discussed in the next https://www.fixtrading.org/groups/fixedincomebp/ ?
I did see vendors offering their own integrations from OMS to staging and OMS to EMS and making $$$ from them. Some of the OMS vendors were quite aggressive in wanting payment for what they termed “proprietary development”.
I agree this is a topic that is ripe for standardisation and being part of the FIX family of standards.
Happy to help if I can be of use.
John
It would be good to know what is the business requirements before attempting to standardize a solution.
This sounds to be some kind of ability for the trading venue platform to inform the OMS (once the RFQ process is completed) that of the initial group of dealers selected to participate in the RFQ but didn’t get traded, what their quoted prices/quantity were. Am I close?
Hi Lisa
Yes it’s to capture any parties involved whether they quoted or not, any status or info about the quote e.g. declined to quote, timed out, covered etc. plus the quantity and rates.
I say rates plural because depending on the asset type and price type, there may be multiple per party e.g. trading FI on spread or trading an FX swap.
Does that help?
Thanks for confirming my initial hunch on this. Regarding the rates, wouldn’t it be that the price/rate is actually a single type for a given RFQ interaction for the security? I would think an RFQ for an FI on spread would only carry information about that spread and not be mixed with an RFQ for an FX swap, or is this something else?
Thanks John
I think raising it with industry stakeholders is a good idea and I am happy to weigh in on that if needed.
Do you know how I do that?
No, sorry, what I mean is the requirement spans multiple asset types
e.g. for FI traded on spread some platforms return the quoted yield spread in relation to the benchmark instrument as well as the quote expressed in % of par
Similarly, when sending quote data for FX swap transactions, some FX platforms will provide the quoted spot price, forward points, all-in rate etc for each dealer.
Therefore each dealer could be sending zero or more prices with each price having a type almost like having a repeating group of tags 31 and 423 but for quotes
Ah, that’s clearer 
Most of what I’ve seen are single price types rather than multiple price type expression for the given trade like your FI example. This is doable - I envision a second level nesting within a repeating group to carry all this information.
If you belong to a FIX member firm, then I would suggest that you reach out to the FIX program office and maybe the place to start, as John pointed out, is the FI business practices group (or whatever it is called). Unfortunately those groups tend to run on London time at meeting times that are inconvenient for US for me to join.
Hi @dominicgifford,
Let’s have a chat when you have a moment and I can explain - too much typing to fit it here!
Not sure if you have my contact details - if not, ask Jim W and he can share!
John
There is no standardisation to provide competing quotes provided by the responder. As you have mentioned, most of the venue use custom tag for this and have defined them in the FIX custom list as well for reference.
It will be good to have standardisation as this is pretty standard workflow for venues to provide competiting dealers name, rank & quotes.