How to distinguish between RFS and RFQ in message 35=R

1

RFS vs RFQ. If message is 35=R in both cases, which tag shall I use to distinguish which one the requestor is asking for?
Thanks in advance

Request for Quote(RFS) vs Request for Stream(RFS)
2

Where does this assumption come from? FIX MarketDataRequest(35=V) message is available to request a stream of quotes by using:

  • SubscriptionRequestType(263) = 1 (Snapshot + Updates (Subscribe))
  • (in repeating group MDReqGrp) MDEntryType(269) = 0 (Bid) and/or 1 (Offer)
  • (in repeating group InstrmtMDReqGrp) QuoteType(537) per instrument if needed or MDQuoteType(1070) on root level if single type applies to all instruments
3

The assumption is because in our case (swap market) we are receiving a RFS event (not a FIX message) when our counterpart is requesting a quote stream for a specific amount. We must then translate this event to a FIX message for our final user console.
I understood that the stream requested in this case is from one single dealer and is finalized at execution.
If you suggest to implement it as a 35=V then can the dealer send a stream of 35=S or is it forced to send a stream of 35=W?
Thanks again

4

When using MarketDataRequest(35=V) the responses should be either MarketDataIncrementalRefresh(35=X) or MarketDataSnapshotFullRefresh(35=W) messages. The incremental message gives you more flexibility as it has the instrument as part of the repeating group MDIncGrp, i.e. you can stream multiple quotes for multiple instruments in a single message.

5

Just one final question.
When a dealer is providing a stream of prices as you detailed, when the requester is intending to hit or lift, what messages are involved? Can this be modeled with an immediate 35=8? In this case how is the original quote ID managed?
Thanks for your patience

6

The ExecutionReport(35=8) can only be used to confirm an action, not to trigger that action, e.g. hitting a quote. Hit and lift requires a NewOrderSingle(35=D) with the following fields to reference the quote from the market data stream.

RefOrderID(1080) = [ID from the market data stream]
RefOrderIDSource(1081) = 2 (MDEntryID(278)) or 3 (QuoteEntryID(299))

The market data messages obviously need to provide MDEntryID(278) or QuoteEntryID(299).

I also found an old discussion on this topic, see difference between FIX "Market Data Request" & "Quote Request". It says that some do use RFQs for streaming but that the market data messages should be preferred for this.

7

Cristal clear, as usual, thanks

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