Imported from previous forum
The Best Practices Vol 3 docs for both IRS and Bonds talk about Firm Orders, arising from a customer accepting a quote while it’s on-the-wire in response to an RFQ (or streamed in response to an RFS, which I infer from scenario R10).
Firm Orders are
QuoteResponse (AJ) with
QuoteRespType(694)=Hit/Lift
QuoteType(537)=Tradable
and this is the starting point for the trading flows relating to Firm Orders described in Section 4 of the Vol 3 docs.
But Firm Orders can also arise from pre-trade quotes streamed to the market with a “Firmness” indicator attached (style 1), or streamed to specific “Firm” pages on a market (style 2). Either the “Firmness” indicator or the presence of prices on specific market pages are a pre-trade signal to the customer that these prices are “highly likely to be Accepted if used in submission of a Price Order”.
So when a customer clicks on one of these prices, specifies a quantity and then submits it back as a Price Order, the system needs to be aware that it is a Firm Order and treat it as such.
My first question at this point is - for a style-1 market, how should pre-trade quotes be streamed to it with this Firmness Indicator? Is it the intention to use a Quote (S) message, with QuoteType(537)=Tradeable (and blank QuoteReqID)? Such quotes, when used as a starting point for Price Orders, must result in the Price Order coming in as a Firm Order. I looked at the Field def for 537 and it didn’t seem clear to me.
(For style-2 markets, we have to assume that the market itself would supply the “firmness” of the order if a customer submits one from those pages.)
My second question is, can the D2C Price Order scenario be explicitly included in the Vol 3 docs, as a starting point for the scenarios in Section 4? If the pre-trade streamed price is Firm on the market, then Price Orders would come through as Firm Orders as stated; if the prices were not Firm (i.e. Indicative) then Price Orders would need to come through as Subject Orders (i.e. as if a Customer had accepted a quote response to an RFQ which had gone Off-the-wire).
I saw an earlier post on this forum (8th Aug 11) which stated that Firm Orders could come in outside of an RFQ via “NewOrderSingle (D) OrderType=PreviouslyQuoted and QuoteID referencing the quote”, but then I saw a response that QuoteResponse message should be used by default. From my understanding, NewOrderSingle should only be used by a Dealer submitting an Order to a D2D Central Order Book facility, rather than a customer sending a Price Order bilaterally to a single dealer.
Following the meeting with Yuval Cohen from ETS-
Yuval confirmed to me that Firm Quotes on the market can be achieved by using a Quote (S) message, with QuoteType(537)=Tradeable.
The Orders arising from pre-trade quotes streamed to the market are already covered in the document by the statements in Section 4 of Vol 3 “The message flow for this scenario may follow the message flow for the scenarios in: Pre-Trade / Trading – Quotation and Negotiation or Pre-Trade Quote Contibution (Volume II) or both”.
Going back to multi-level contributions in my earlier posts, it’s worth bearing in mind it is possible to send Firm pre-trade quotes for the same instrument to some of the levels, but non-Firm quotes to other levels.