Imported from previous forum
After reading the negotiated trade model in volume 7 of the fix 4.4 spec, I was wondering if there is the concept of a Quote Response of type "new".
I was hoping to find a message that was analagous to a new order message, that would allow the respondent to immediately execute, reject, or counter.
A quote response of hit/lift or counter doesn’t quite work, because the response is to a public, out-of-band, quoting facility.
But, I don’t want to create extra steps by asking for a quote using the Quote Request Message.
Is there a message that would indicate this is the first response to a public quote?
> After reading the negotiated trade model in volume 7 of the fix 4.4 spec, I was wondering if there is the concept of a Quote Response of type “new”.
>
> I was hoping to find a message that was analagous to a new order message, that would allow the respondent to immediately execute, reject, or counter.
>
[…]
>
> But, I don’t want to create extra steps by asking for a quote using the Quote Request Message.
>
> Is there a message that would indicate this is the first response to a public quote?
I’m not sure I’m following what you need exactly, but I think this is what you want:
Initiator (buy side) sends:
Quote Request ®
QuoteType: Tradeable
Price: <as required>
OrdType: Limit
etc.
Respondant (sell side) can now send:
To accept the proposed trade:
Execution Report (8)
OrdStatus: New
Execution Report (8)
OrdStatus: Filled
OR To counter=offer:
Quote (S)
<propose an alternative price, etc>
OR To reject:
QuoteRequestReject (AG)
You can see this in the diagrams in volumne 7. They would be much easier to read if each of the workflows were described on a seperate diagram, rather than the current attempt at overlaying them.
A UML Activity diagram would be ideal.
Well, I hope that is relevant to what you were asking for.
Andrew, are you saying that the initiator can send a quote request to which the respondent can immediately reply with an execution report(without sending a quote)? I didn’t interpret that scenario from reading the specification. I would think that the only response to a quote request would be a quote or a quote request reject (ie, invalid security). If the respondent sent a quote, then the initiator would have to send a quote response before the respondent could send an execution report.
But this is what I’m looking for if that was indeed the intention of the quote request. I want to reduce the number of steps to receive a fill. Do you use this model?
quote request ->
<- execution report (fill)
where the quote request is analagous to a new order message that can be countered?
> > After reading the negotiated trade model in volume 7 of the fix 4.4 spec, I was wondering if there is the concept of a Quote Response of type “new”.
> >
> > I was hoping to find a message that was analagous to a new order message, that would allow the respondent to immediately execute, reject, or counter.
> >
> […]
> >
> > But, I don’t want to create extra steps by asking for a quote using the Quote Request Message.
> >
> > Is there a message that would indicate this is the first response to a public quote?
>
>
> I’m not sure I’m following what you need exactly, but I think this is what you want:
>
> Initiator (buy side) sends:
>
> Quote Request ®
> QuoteType: Tradeable
> Price: <as required>
> OrdType: Limit
> etc.
>
> Respondant (sell side) can now send:
>
> To accept the proposed trade:
> Execution Report (8)
> OrdStatus: New
> Execution Report (8)
> OrdStatus: Filled
>
> OR To counter=offer:
> Quote (S)
> <propose an alternative price, etc>
>
> OR To reject:
> QuoteRequestReject (AG)
>
> You can see this in the diagrams in volumne 7. They would be much easier to read if each of the workflows were described on a seperate diagram, rather than the current attempt at overlaying them.
>
> A UML Activity diagram would be ideal.
>
> Well, I hope that is relevant to what you were asking for.
>
>
>
> Andrew, are you saying that the initiator can >send a quote request to which the respondent can >immediately reply with an execution
>report(without sending a quote)?
Yes. The diagrams are exceedingly unclear because they have conflated all of the supported workflows into one confused picture.
Here’s my reasoning (page numbers are based on the 4.4 Spec June 2003 Errata).
Volume 7, pg 75 Figure 2:
Initiator sends Tradeable quote request.
Now… goto "B"
"B" is found on page 76 in Figure 3, Respondant has 3 choices:
Quote, Quote Status Report (to Reject) or an Execution Report to accept.
An open question for me is whether it makes sense to use Quote Request Reject (AG) rather than Quote Status Report (AI) for the Rejection. The diagram implies that you can’t use AG in this role, but that makes no sense to me.
These diagrams all really need to be split out into seperate workflows to make this stuff clear.
> But this is what I’m looking for if that was
> indeed the intention of the quote request. I
> want to reduce the number of steps to receive
> a fill. Do you use this model?
>
> quote request ->
> <- execution report (fill)
>
> where the quote request is analagous to a new >order message that can be countered?
That’s how I read the diagram, though I’d be inclined to send an Execution Report “New” before the Execution Report “Fill” for consistency with other workflows.
Thanks for your reply again.
From reading the diagram as you said, I would, too, believe that you can send a quote request message like a new order. I would also believe that the respondent can then immediately send an execution report without sending a quote. It also appears that all of the fields are there for you in a quote request message to populate a new order (ie, clordid, orderqty, etc).
It just seems like such a far stretch to use a quote request instead of a new order in my case. For one, how does the initiator cancel the quote request if they should decide to do so? (ie, analagous to an order cancel request)
I’d also like to see if anyone has used this model for these purposes. Do you use the model?
> > Andrew, are you saying that the initiator can >send a quote request to which the respondent can >immediately reply with an execution
> >report(without sending a quote)?
>
> Yes. The diagrams are exceedingly unclear because they have conflated all of the supported workflows into one confused picture.
>
> Here’s my reasoning (page numbers are based on the 4.4 Spec June 2003 Errata).
>
> Volume 7, pg 75 Figure 2:
>
> Initiator sends Tradeable quote request.
> Now… goto “B”
>
> “B” is found on page 76 in Figure 3, Respondant has 3 choices:
>
> Quote, Quote Status Report (to Reject) or an Execution Report to accept.
>
> An open question for me is whether it makes sense to use Quote Request Reject (AG) rather than Quote Status Report (AI) for the Rejection. The diagram implies that you can’t use AG in this role, but that makes no sense to me.
>
> These diagrams all really need to be split out into seperate workflows to make this stuff clear.
>
> > But this is what I’m looking for if that was
> > indeed the intention of the quote request. I
> > want to reduce the number of steps to receive
> > a fill. Do you use this model?
> >
> > quote request ->
> > <- execution report (fill)
> >
> > where the quote request is analagous to a new >order message that can be countered?
>
> That’s how I read the diagram, though I’d be inclined to send an Execution Report “New” before the Execution Report “Fill” for consistency with other workflows.
>
> Thanks for your reply again.
>
> It just seems like such a far stretch to use a
>quote request instead of a new order in my case.
I don’t think the intention is to replace New Order - Single by any means, so you should use that if it fits your model.
The questions I would try to answer to decide which to use would be:
-
do I want counter-offer? There is no provision to do this with New Order Single, so if you need it you want to use Tradable Quote Request.
-
when are the parties in the trade committed in your model?
There’s a continuum of commitment possibilities:
At the most committed end, the sell side is providing firm tradable prices to the buy side. When the buy side sends a "New Order Single" on that price they know that they will execute at that price (assuming no error occurs). Both sides are committed. The sell side commits to the published price and the buy side commits to execute at that price.
At the least committed end you have pure, Indicative RFQ. The buy side might have no pricing information at all. Therefore the buy side sends a Quote Request message. If the sell side chooses to Quote, then they are committing to a price for some period of time. The buy side still has the option of passing, until and unless they respond with a Quote Response to Hit/Lift. Both parties are only committed once several messages have been exchanged.
The scenario you are considering is in the middle. For it to make sense, one assumes that the buy side has access to some pricing information, but that this pricing information is not firm. (Indicative or subject pricing). The Buy Side sends a Tradable Quote Request. This means that the Buy Side is committed at this point (they MAY be executed at this price), but the Sell Side is not. The Sell Side may Execute, Reject or Counter-Offer at their discretion. It should be clear that the Bbuy Side is committed earlier than the Sell Side: they have to like the indicative price enough so that they are willing to trade at that level should the Sell Side agree to trade with them.
Naturally I can’t tell you which workflows make sense for you, but hopefully that should help you to decide.
>For one, how does the initiator cancel the quote
>request if they should decide to do so? (ie,
>analogous to an order cancel request)
If the buy side sends a Tradable Quote Request, then they are making a commitment. While its true that some systems offer the chance for the Buy Side to cancel at this stage, the Buy Side should have no expectation that it will necessarily work. Ultimately it will come down to a race condition: if the trader at the sell side is distracted when the Tradable Quote Request arrives, or if he takes a few seconds to think it over, the buy side might have time to cancel. The buy side cannot assume that their cancel request will work, because they’re committed to the price. If they don’t want this model, they should be trading Indicative Quote Requests instead.
There’s nothing I can see in Volume 7 of FIX 4.4 that suggests an Order Cancel Request is allowed in this scenario, but equally nothing indicates it is not. Since an Order Cancel Request (MsgType F) simply requires a ClOrdId to do the cancel, I would see no problem with allowing the Buy Side to send one to attempt to cancel a Tradable Quote Request. That’s up to you and your counter party to decide.
Will and Andrew,
As co-author of that section here’s the intended use of the flow. Keep in mind that as of right now I do not know anyone who is using this flow, whether in fixed income or any other asset class.
Will, the flow that you asked about is covered in the “My Bid/Offer” flow. In Vol. 7, FI section there is a short discussion also of a “My Bid/Offer” which uses the Quote Request message. The “My Bid/Offer” is intended to be similar to a New Order. What makes a Quote Request a “My Bid/Offer” is that it must have a ClOrdID, the initiator must provide a Price(basically the initiator’s bid or offer price and the OrdType would be set to Limit), and the par amount. It must also set QuoteType to be tradeable.
If the Respondent chooses to accept the Initator’s “my bid/offer” then he can immediately send the Execution Report to fill it. Otherwise he can counter it or pass on it.
The main difference between the "my bid/offer" Quote Request and a New Order - Single is that the "my bid/offer" Quote Request allows a negotiation dialog to happen electronically if the Respondent wishes to provide a counter-quote. A New Order - Single does not allow for this dialog to happen. The Respondent would reject the order if he does not wish to execute.
My take is that the Initiator should send the “my bid/offer” Quote Request only if he’s willing to be open to negotiation with the Respondent. Otherwise, use the New Order - Single.
Hope this helps.
Lisa T.
> Thanks for your reply again.
>
> From reading the diagram as you said, I would, too, believe that you can send a quote request message like a new order. I would also believe that the respondent can then immediately send an execution report without sending a quote. It also appears that all of the fields are there for you in a quote request message to populate a new order (ie, clordid, orderqty, etc).
>
> It just seems like such a far stretch to use a quote request instead of a new order in my case. For one, how does the initiator cancel the quote request if they should decide to do so? (ie, analagous to an order cancel request)
>
> I’d also like to see if anyone has used this model for these purposes. Do you use the model?
>
>
>
>
>
>
>
> > > Andrew, are you saying that the initiator can >send a quote request to which the respondent can >immediately reply with an execution
> > >report(without sending a quote)?
> >
> > Yes. The diagrams are exceedingly unclear because they have conflated all of the supported workflows into one confused picture.
> >
> > Here’s my reasoning (page numbers are based on the 4.4 Spec June 2003 Errata).
> >
> > Volume 7, pg 75 Figure 2:
> >
> > Initiator sends Tradeable quote request.
> > Now… goto “B”
> >
> > “B” is found on page 76 in Figure 3, Respondant has 3 choices:
> >
> > Quote, Quote Status Report (to Reject) or an Execution Report to accept.
> >
> > An open question for me is whether it makes sense to use Quote Request Reject (AG) rather than Quote Status Report (AI) for the Rejection. The diagram implies that you can’t use AG in this role, but that makes no sense to me.
> >
> > These diagrams all really need to be split out into seperate workflows to make this stuff clear.
> >
> > > But this is what I’m looking for if that was
> > > indeed the intention of the quote request. I
> > > want to reduce the number of steps to receive
> > > a fill. Do you use this model?
> > >
> > > quote request ->
> > > <- execution report (fill)
> > >
> > > where the quote request is analagous to a new >order message that can be countered?
> >
> > That’s how I read the diagram, though I’d be inclined to send an Execution Report “New” before the Execution Report “Fill” for consistency with other workflows.
> >
>