FIX accomodation for RFCQ quotes in a single message


#1

When a market data model accommodates all the quotes provided by dealers to a single message (an example is BondVision BV_RFCQ_DEPTH market class), is there a way to model this in FIX?
In fact, if I understand correctly, in FIX model each dealer quote comes in in a single message, directly from the dealer to the buy-side.
Is there any way to model the central platform (in my case BondVision) aggregating all the dealer quotes to a single message?
Thanks in advance


#2

I would have thought MassQuote should be suitably flexible:

QuotEntryGrp inside QuotSetGrp inside MassQuote

In this case

  • the mass quote matches the message
  • a QuotSetGrp matches a single dealer’s quotes (it’s UnderlyingInstrument’s UndlyInstrumentParties probably can contain the information on the Dealer)
  • a QuotEntryGrp matches a single quote from that dealer

Whether your counter party can handle this is something you’ll probably have to discuss


#3

Thanks for your reply, Philip.
I can’t find a tag for the dealer code into the QuoteEntryGrp nor one for the QuoteID (I cannot use QuoteEntryID, which is internal to the entry set)
Do you have suggestions?
I would use a user defined tag for both, but I always try to avoid user defined if there is a way.


#4

MassQuote message is one option. Keep in mind this message has multiple levels of repeating group nesting because it was originally designed to convey quotes of option series for a given underlying instrument.

Another option to consider is simply the MarketData messages setting the MDEntryType to either “bid” or "offer.


#5

Thanks, Lisa but I already use MarketData messages for inventory quotes, so I have to dismiss this option.


#6

Hi Anna, I’m not sure why you would need to dismiss it as an option when you can use MDFeedType to distinguish the type of market data feed. You can have one feed for your inventory quotes and another feed for your consolidated dealers quotes.


#7

Fine, I’ll have to further explore this option.
I see that MDFeedType is generic enough to be used to distinguish between an Inventory book and a Quote book requested with an RFCQ.
Thanks


#8

I would like to emphasize what @ltaikit said about different market data feeds. Especially the market data messages have been designed to be highly generic and using them for one purpose should not exclude them from being used for other kinds of market data information. The FIX message type (field MsgType(35)) is only a template for different business scenarios, just like the ExecutionReport(35=8) is for trading. It is used to give feedback on a long list of order events, e.g. order added to the book, order cancelled, order filled,… You just need to find the key field(s) that help you to distinguish scenarios.


#9

Thanks everyone, it was really helpful


#10

Hi Anna.
If your question relates to MTS BondVision specifically then you may want to reach out to your contact there as they offer a FIX 5.0 interface directly.
Depending on your project, it may save you the time and effort of converting between SDP and FIX (or at least offer some ideas about suitable implementations given their market model).
Chris


#11

Hi Chris, thanks for your suggestion. I am aware of the FIX 5.0 protocol, but in my understanding they provide only orders staging. Am I wrong?


#12

To avoid confusion between the FIX standard and the MTB BondVision product: FIX 5.0 as a standard protocol supports everything supported by prior FIX versions and much more.


#13

I agree. The BondVision FIX protocol only covers staging orders, while the implementation we are creating covers pre-trade, trade (RFCQ and Inventory Orders) and static data from the Buy Side point of view.