Messaging related to quote negotiation

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Imported from previous forum

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It is possible for a market participant to request for quotes using the QuoteRequest® message. This message is then forwarded to the dealers. Dealers can then respond with a Quote(S) message.

Questions:

  1. How should this quote be communicated to the participant. I have gone through the FIX Volume 3 and the GFIC Multi-Dealer Quotation proposal, I am not sure the exact message to use if the response is supposed to be private.

I think FIX Volume 3 is written from the perspective that if a dealer submits a quote then it will get disseminated in the regular market data channels. However in a private negotiation model, it is required to send the response only to the submitter of the request.

  1. What should be the response of the client if he wants to hit/lift the quote?
    From an implementation point of view, we are looking at the customer responding with a new order message and let execution take place between the quote and the order. But is there a specific mechanism to respond to a quote submitted by a dealer?

Thanks in advance
Kulendra

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You could also see Volume 7 of FIX 5.0 SP2 – the quote negotiation process is very well explained in it. There is a field (Tag 1171) used to indicate if the quote is private or public and a quote is used by the respondent to typically reply back to the initiator’s quote request to accept or a quote request reject to reject. Initiator could also use quote response message to counter. This negotiation process could go on until either the initiator decides to hit/lift using the quote response or respondent decides to hit/lift using the quote. Then quote status report could be used to seal the deal and/or trade execution reports.

It is possible for a market participant to request for quotes using the QuoteRequest(R) message. This message is then forwarded to the dealers. Dealers can then respond with a Quote(S) message.

Questions:

  1. How should this quote be communicated to the participant. I have gone through the FIX Volume 3 and the GFIC Multi-Dealer Quotation proposal, I am not sure the exact message to use if the response is supposed to be private.

I think FIX Volume 3 is written from the perspective that if a dealer submits a quote then it will get disseminated in the regular market data channels. However in a private negotiation model, it is required to send the response only to the submitter of the request.

  1. What should be the response of the client if he wants to hit/lift the quote?
    From an implementation point of view, we are looking at the customer responding with a new order message and let execution take place between the quote and the order. But is there a specific mechanism to respond to a quote submitted by a dealer?

Thanks in advance
Kulendra

4

Hi Kulendra,

  1. Quote message (35=S) contains:
  • PrivateQuote(1171)=“Y” (Private Quote)
  • TargetSubID(57) reference the quote requstor
    Will be directed to the individual/unit who request for the quote.
  1. The client will order by sending QuoteResponse(35=AJ) having:
  • QuoteRespType(694)=Hit/Lift(1)
  • TargetSubID(57) having reference to the dealer who provided the quote
  • QuoteID(117) copied from the Quote message
  • QuoteMsgID(1166) copied from the Quote message

I hope this helps.
Yuval

You could also see Volume 7 of FIX 5.0 SP2 – the quote negotiation process is very well explained in it. There is a field (Tag 1171) used to indicate if the quote is private or public and a quote is used by the respondent to typically reply back to the initiator’s quote request to accept or a quote request reject to reject. Initiator could also use quote response message to counter. This negotiation process could go on until either the initiator decides to hit/lift using the quote response or respondent decides to hit/lift using the quote. Then quote status report could be used to seal the deal and/or trade execution reports.

It is possible for a market participant to request for quotes using the QuoteRequest(R) message. This message is then forwarded to the dealers. Dealers can then respond with a Quote(S) message.

Questions:

  1. How should this quote be communicated to the participant. I have gone through the FIX Volume 3 and the GFIC Multi-Dealer Quotation proposal, I am not sure the exact message to use if the response is supposed to be private.

I think FIX Volume 3 is written from the perspective that if a dealer submits a quote then it will get disseminated in the regular market data channels. However in a private negotiation model, it is required to send the response only to the submitter of the request.

  1. What should be the response of the client if he wants to hit/lift the quote?
    From an implementation point of view, we are looking at the customer responding with a new order message and let execution take place between the quote and the order. But is there a specific mechanism to respond to a quote submitted by a dealer?

Thanks in advance
Kulendra

5

Thanks all. I think I missed the volume 7, will look in to that.

However just to make the question a little bit more clear:

  1. Client submits a QuoteRequest to the system (this is ok)
  2. System sends a QuoteRequest to the dealer(s) (this is ok)
  3. Dealers submit a Quote to the system (this is ok)
  4. What should be the message used to communicate this quote to the client?

I think Yuval has answered this question, it should be a Quote message. I was unaware that a Quote message can be used to communicate information from the system to a user.

Thanks again.