Imported from previous forum
With EP159, the support for multi-dealer quote negotiation was introduced to the FIX protocol. As per my understanding, this workflow ends when the requestor (i.e. the RFQ submitter) trades against any of the quotes that were submitted as a response to the RFQ. It does not allow you to trade against multiple quotes.
Is there a standard mechanism in FIX to allow trading against multiple quotes in a single RFQ conversation? It is possible that due to size limitations of the quotes provided, the requestor may chose to trade with two or more quotes at two or more different prices.
My take is that if this functionality is to be facilitated by a venue, the Quote Response message published to the respondents of an RFQ notifying the quality of their quote (i.e. Tied, Cover, Tied Cover, Done Away) should be suppressed/discarded from the work flow. Is this thinking correct?
Hi Kulendra,
It seems that FIX protocol already supports such a scenario where a customer hits multiple quotes:
In such a case, all dealers that trade should receive an ExecutionReport[MsgType=8] having the quantity traded in LastQty(32) field, the Price(44) and optionaly the CoverPrice(1917).
Dealers that did not trade, should receive, when the negotiation dialog ends: QuoteResponse[MsgType=AJ] having an appropriate QuoteResponseType(694) [see note below] and optionally fields: Price(44) and CoverPrice(1917) [both are optional and independent]
Note: that the enumeration for QuoteResponseType(694) are well defined and serve well in such a case where multiple dealers trade.
I hope this helps,
Yuval
Hi Yuval
Thanks for the response.
Yes the dealers who do trade I am fine with. But with regards to the dealers who did not, how would you handle it in scenarios where the trades happen at multiple prices?
Like you said, the QuoteResponseType(694) is well defined, but is well defined for a single Cover Price right? So if we are to send the Quote Response message at the end of the dialog, which price would you compare it with?
I am also curious of the source, because I couldn't find that info in EP 159 :) Would be very grateful if you can send info about this as well.
Hi Kulendra,
According to the elaboration of 'Cover' in QuoteRespType(694): The Cover prices is defined as the best price not traded.
So assume that there were 5 dealers respondents to an RFQ quoting the following prices:
A) 101.00 - traded
B) 102.00 - traded
C) 103.00 - Not traded
D) 104.00 - Not traded
E) 105.00 - Not traded
The CoverPrice(1917)= 103.00
Each (non-trading) dealer should respectively receive in the QuoteRespType(694) field within the QuoteResponse[MsgType=AJ] message:
C) QuoteRespType(694) = Cover(4)
D) QuoteRespType(694) = Done away(5)
E) QuoteRespType(694) = Done away(5)
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And similarly for:
A) 101.00 - traded
B) 102.00 - traded
C) 102.00 => QuoteRespType(694) = Tied(9)
D) 104.00 => QuoteRespType(694) = Done away(5)
E) 105.00 => QuoteRespType(694) = Done away(5)
And the CoverPrice(1917) is: 102.00
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In the above scenarios if D had quoted the same price as C (either 102.00 or 103.00), (but both C & D did not trade), than both C and D should receive QuoteRespType(694) = TiedCover(10).
[And the CoverPrice(1917) is the price quoted by dealers C and D. ]
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The question may be: what is the Price(44) within the QuoteResponse(MsgType=AJ) in these scenarios? We leave this question for each venue to resolve according its own business structure.
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Also it is worth to mention that most venues do not support such scenarios were a customer may trade with more than a single dealer during the same multi-dealer RFQ dialog.
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Also worth to know that there are some venues and some products where there is no obligation to trade the best price. In such rare cases, the cover price may be better than the traded price. But again such cases are rare and the FIX protocol leaves some flexibilities for such cases.
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I'll be happy to assist further if you contact direct: yuval.cohen@etradingsoftware.com
I hope this helps,
Yuval