Item D5: Which one of the two Firm Order Workflows should be used?

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1

Imported from previous forum

2

There are two possible flows for placing a firm order(i.e., an order which is placed against a firm quote:

  1. The Customer can accept by sending a QuoteResponse (MsgType=AJ) with Type: Hit/Lift (i.e. QuoteRespType(694) = Hit/Lift]

or

  1. The Customer can place a NewOrderSingle (MsgType=D) having OrderType(40)=PreviouslyQuoted and QuoteID(117) referencing the quote.

Which one of the flows shold be used as a best practice?

3

There are two possible flows for placing a firm order(i.e., an order which is placed against a firm quote:

  1. The Customer can accept by sending a QuoteResponse (MsgType=AJ) with Type: Hit/Lift (i.e. QuoteRespType(694) = Hit/Lift]

or

  1. The Customer can place a NewOrderSingle (MsgType=D) having OrderType(40)=PreviouslyQuoted and QuoteID(117) referencing the quote.

Which one of the flows shold be used as a best practice?

Fig 3 on p125 of Vol 7 of the 5.0 SP2 spec (Fixed Income section) uses a QuoteResponse message, for both Tradeable or Indicate QuoteTypes.

This makes sense as this can then be followed up with a Quote message with QuoteType=Counter for markets that support countering. I’m not sure what would be an appropriate equivalent to counter in reply to a NewOrderSingle.

Regards,
Toby

Toby Shepheard
Bank of America Merrill Lynch

4

I agree, would also prefer #1.

5

There are two possible flows for placing a firm order(i.e., an order which is placed against a firm quote:

  1. The Customer can accept by sending a QuoteResponse (MsgType=AJ) with Type: Hit/Lift (i.e. QuoteRespType(694) = Hit/Lift]

or

  1. The Customer can place a NewOrderSingle (MsgType=D) having OrderType(40)=PreviouslyQuoted and QuoteID(117) referencing the quote.

Which one of the flows shold be used as a best practice?

Action A24 also asked whether IOI messages should be considered in this context (for scenario OA1). Therefore, adding here for reference.

6

There are two possible flows for placing a firm order(i.e., an order which is placed against a firm quote:

  1. The Customer can accept by sending a QuoteResponse (MsgType=AJ) with Type: Hit/Lift (i.e. QuoteRespType(694) = Hit/Lift]

or

  1. The Customer can place a NewOrderSingle (MsgType=D) having OrderType(40)=PreviouslyQuoted and QuoteID(117) referencing the quote.

Which one of the flows shold be used as a best practice?

By default, we are going to use the QuoteResponse message for this flow.