Fixed Income Multi-Dealer workflows - dealer 1 rejects, client trades with dealer 2

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1

Imported from previous forum

2

Hi Yuval,

Yes, that is my experience too. Thanks very much for your feedback, really appreciated.

Cheers, Tim

3

Hi Tim,

Dealers who rejects the quote request, are considered ‘out of the game’…

On the other hand, the execution venue may wish to convey the trade to ALL the participants (clients / dealers), in a market data message; i.e.: MarketDataSnapshotFullRefresh[35=W] having QuoteEntryID(299) identical to the QuoteID(117) of the negotiation channel.
So that even the dealers who rejected the quote request, receive the entire information about the trade.

Indeed it is not common for dealers to reject quote-requests, after all, quoting is their business.

I hope it helps,
Yuval

4

Considering the Best Practices for Fixed Income Instruments Cash Bonds, Volume 3, I was wondering how further dealer reject workflows would be modelled. For example, consider the following:

  1. Customer sends a request for quote.
  2. Venue forwards QuoteRequest to Dealer1 & Dealer2.
  3. Dealer1 sends Quote to venue (and customer).
  4. Dealer2 sends QuoteRequestReject.
  5. Customer lifts/hits Dealer1.

What does Dealer2 see?

Does Dealer2 see:
a) QuoteResponse with QuoteRespType [694] = EndTrade [7]
or
b) QuoteResponse with QuoteRespType [694] = DoneAway [5]
or
c) both
or
d) something else depending on the venue implementation.

Any thoughts or guidance would be fantastic. Tim

5

Many thanks Yuval, much appreciated. That makes sense to me.

In this case the Dealer (Dealer 2 in my example) who decides to reject the quote request will never be able to determine whether the ultimately client trades or not because they will never see the DoneAway message.

Do you know of any other way within the workflows that Dealer 2 could determine whether the client traded away assuming Dealer 2 sent the sent a reject message?

An observation - from a strategic information perspective it is almost worth dealers not rejecting quote requests in order for them to determine workflow outcomes.

Best regards, Tim

6

Hi Tim,

According to scenario QDM3 (page 18) Once a dealer rejects a quote request, the execution venue will confirm with QuoteResponse having QuoteRespType [694] = EndTrade [7] and the dialog ends / terminates.
This usually happenes before the negotiation ends with other dealers… (so QuoteRespType[694] = DoneAway[5] cannot be sent).

Note: Some execution venues may send a market data message containing the deal.
But if the negotiation ended without a trade (/ deal), then that dealer, will not recieve any further messages.

I hope this helps,
Yuval