Imported from previous forum
Hi,
We use the quote messages (Mass Quote / Mass Quote Acknowledgement / Quote Status) to communicate tradable quotes. When we designed the current system I read the Recommended Practices for Continuous Mass Quoting v1, and also a document called “FIX Protocol Gap Analysis - OMX Continuous Quoting Reqs 0.44” from OMX.
We use FIX 4.4, but have added one Quote Status values from the 5.0 SP2 specification: Canceled (17).
I’m looking into improving the current workflow and see that there are a few other new quote status values in the 5.0 SP2 specification: Unsolicited Quote Replenishment and Pending End Trade, both of which might be of interest. I cannot find any documents anywhere describing their intended usage, however. Does anyone have any pointers?
Also, the OrdStatus field has a value “Pending Cancel”. Why is there not a corresponding Quote Status value? Maybe the answer to that could be find in any document that gives background to the new fields in FIX 5.0 (SP1/2)?
Staffan