Imported from previous forum
I need to provide a way to represent BidWanteds with multiple accounts and with different Quantities for a customer. At first I thought I can use the R message for BidWanteds and use the repeating groups tag NoRelatedSym (146) and Account(1) and OrderQty(38) to represent multiple BidWanteds securities with different sizes for different accounts in a single R message. We would then aggregate the Quantity and get the best bid for the aggregate not individual accounts. We would return a single bid Quote(S) msg for BidWanted ®. Customer would then hit the bid with (AJ) and we would send an “8” message back to customer with the account and qty breakdown for each account. When traded the customer wants the ExecutionReport to reflect the price, account and quantity the bonds traded at which will always be the same price for all accounts in the single R message.
When I examine the S, AJ, and 8 message, tag 1 is not part of repeating group but is specified only once for these messages. Would I have to send back an S message for each account on the R message and expect an AJ for each bid, and finally send an 8 message for each AJ message? Seems like a lot. I am accustomed to working with a single security for R message but not an aggregate of securities.
I suggest to use message names and not types (R,S,AJ,8) to make it easier for readers that are not familiar with the latter.
A QuoteRequest can be issued for multiple instruments but the others are all about a single instrument. You can see this in FIXimate which shows that the Instrument component is required. You can hence start the workflow with a QuoteRequest containing multiple securities and associated accounts. You then have to follow up with one Quote message per instrument which can be hit by one QuoteResponse each and one ExecutionReport each.