Meaning of Side in QuoteRequest, Quote, QuoteResponse

1

All,
I’ve got myself somewhat confused as the the meaning of Side in the context of RFQ workflow.

Here’s my interpretation so far and my question:
I am assuming that Side on a QuoteRequest represents the Side a trader would like the Dealer to Quote. Example: QuoteRequest:Side = BUY, the trader is asking the Dealer to Quote the bid side of the market.

The Side on the Quote message is the Side of the market the dealer wants to quote and transact. Dealer receives a QuoteRequest with Side = BUY, Dealer quotes the Bid side of the market.

Trader decides to Hit/Lift a Dealer Quote using a QuoteResponse message. Here’s where I’m getting a little confused. Does Side on the QuoteResponse message represent the Side of the QuoteRequest or does it represent the Side (opposite of the dealer quote and the QuoteRequest) on which the trader wishes to transact (SELL to follow my example through).

Thanks in advance,
JIm

2

Jim,
Each implementation of FIX can effectively set its own treatment of Side(54) in its Rules of Engagement, but in the FIX Standard and in the implementations I’ve participated in this is the rule - Side(54) in every message in Quote Negotiation and Trading is the side the price taker or requestor wants to take in the trade - Side(54)=1 (Buy) means “I want to buy” or “you bought”.

  • QuoteRequest(35=R) [price taker to maker]: Side(54)=1 (Buy) - requesting the offer side of the market
  • Quote(35=S) [price maker to taker]: provides an OfferPx(133) and Side(54)=1 (Buy)
    … further Quote Negotiation messages in this dialog keep the same Side(54) value regardless of direction …
  • QuoteResponse(35=AJ) [price taker to maker]: Side(54)=1 (Buy) “hit/lift”
  • ExecutionReport(35=8) [price maker to taker]: Side(54)=1 (Buy) - i.e. “you bought”
  • TradeCaptureReport(35=AE) [trade reporting]: The instance of TrdCapRptSideGrp for the price taker has Side(54)=1 (Buy) and the instance for the price maker has Side(54)=2 (Sell).

Then there’s the two-sided trading model where neither the QuoteRequest(35=R) nor Quote(35=S) specify Side(54) and the Quote(35=S) has both an OfferPx(133) and BidPx(132). From QuoteResponse(35=AJ) “hit/lift” onward Side(54) indicates the price taker’s trading choice.

Regards,
Dean

3

Dean,
Thank you for your response. This clears up my confusion.
Jim

4

Dean,
this makes sense but regarding your reference "but in the FIX Standard and in the implementations I’ve participated in this is the rule - Side(54) in every message in Quote Negotiation and Trading is the side the price taker or requestor wants to take in the trade - Side(54)=1 (Buy) means “I want to buy” or “you bought”: Where can I actually see this rule in the standard FIX documentation?

5

Joachim,

This may seem like it’s “old” information, but it is relevant still. While I agree it’s not exactly easy to find some of this kind of answer (FIX GTC is trying to improve things) but I know that in the FIX 5.0SP2 pdf spec’s Vol. 7 this was documented in the FX section (around page 169 in the Quote Request sub-section’s “Field Usage Notes”). Even though in this Vol. 7 the FX section was explicit, this rule does apply to other asset classes as well.

6

Thx, Itaikit,
I actually managed to find this instrumental piece of information:
“3. Side (54) indicates from the Initiator’s perspective whether the request is for a buy or a sell.”
I processed it back and forth but could not resolve it enough beyond ambiguity so had to ask the question :wink:

7

@joachim.albacke you’re welcome!

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