It’s clear that Quote Request should be sent when receiving an RFQ Inquiry, but when you are initiating an RFQ Inquiry via FIX how is this typically done? For sellside and for buyside? Is it using the Quote Request message or New Order List ?
I suspect there are many ways to do this. One implementation I worked on used multiple QuoteRequest messages sent out from the buy-side to several sell-sides. Each sell-side then responded (or not) with a Quote message with the QuoteReqID matching that of the QuoteRequest message along with the quote details, bid/offer prices, min quantities etc. If the buy-side decided to action a quote, they would then respond with a NewOrderSingle with OrdTyp=D (previously quoted) and QuoteID matching that on the Quote message to link everything up.
@rmazour The QuoteRequest(35=R) is initiated to receive quotes (Quote(35-S)) message back from the responder. When someone says “I’m going to send an RFQ …” that translate to sending the QuoteRequest(35=R) message in FIX.
If the initiator wants to action on a quote received, there are two says to “hit/lift” the quote: 1) via the QuoteResponse(35=AJ); 2) via NewOrderSingle as @dominicgifford described.
If you’re going to want a back and forth negotiation you must use the QuoteResponse to hit/lift the quote and the respondent can either counter with another Quote(35=S) or execute by sending an ExecutionReport(35=8) back. If the respondent counters, the initiator could also counter again using the QuoteResponse. The QuoteRespType(694) and QuoteType(537) in their respective messages tells you what’s being communicated.
A “hit/lift” using the NewOrderSingle will not allow for any negotiation whatsoever. The respondent only has the option to either fill the order or reject it.
All that said, you used the phrase “RFQ inquiry” and it is not clear to me what you’re really referring to since you said “Quote Request should be sent when receiving an RFQ Inqjuiry” - if you can elaborate it would be helpful.
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