Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the GFIC QuoteAcknowledgement Message Proposal. During the Global Fixed Income Committee’s discussions of the requirements for FIX message flows for the quote/negotiation model between SEFs and banks, it was uncovered that under certain situations the QuoteStatusReport would be a bidirectional message given the current message usage definition of the message. To avoid having a bidirectional message in these flows, the GFICTech proposes a new message, QuoteAck, which would avoid the use of QuoteStatusReport as a bidirectional message in a quote/negotiation model.
The QuoteAck message will only be used in the FIX message flows that support the negotiation dialog between parties where the issuer of the quote (e.g. the broker/dealer) governs the status of the quote. Please click the following link to view the best practices from the GFIC initiative; this document will provide a richer background to the requirements resulting in this gap analysis proposal. (http://www.fixprotocol.org/documents/6212/Best%20Practices%20for%20CDS%20and%20IRS%20Electronic%20Trading%20ALL%20Volumes%20PDF_20111125.zip)
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://www.fixprotocol.org/documents/6210/GFIC%20QuoteAcknowledgement%20Proposal%20Rev.0.7.docx
The public comment period ends on December 19, 2011.
Since the focus of the best practices effort has been IRS and CDS, it would be worthwhile for the Gap Analysis to take a position on what values to use for “side” in an IRS trade and add that to the field description for Side(54) and LegSide(624) as gaps. The only mention of this so far is in the Instrument Identifier doc Rev 1.7 (12/2) section 1.3.3.: In the context of IRS the Buyer is the Fixed Rate Payer, the Seller is the Floating Rate Payer. Documenting this scheme should help standardize usage across the industry.
An anomaly that springs from this standard though is that the side rules for a switch or butterfly trade among IRS and government bonds are no longer the same as for an all-bond trade. The sides for a bond-for-bond switch are sell/buy. But the sides for a IRS-for-bond switch are either buy/buy or sell/sell.
The Global Technical Committee has reviewed and preliminarily approved the GFIC QuoteAcknowledgement Message Proposal. During the Global Fixed Income Committee’s discussions of the requirements for FIX message flows for the quote/negotiation model between SEFs and banks, it was uncovered that under certain situations the QuoteStatusReport would be a bidirectional message given the current message usage definition of the message. To avoid having a bidirectional message in these flows, the GFICTech proposes a new message, QuoteAck, which would avoid the use of QuoteStatusReport as a bidirectional message in a quote/negotiation model.
The QuoteAck message will only be used in the FIX message flows that support the negotiation dialog between parties where the issuer of the quote (e.g. the broker/dealer) governs the status of the quote. Please click the following link to view the best practices from the GFIC initiative; this document will provide a richer background to the requirements resulting in this gap analysis proposal. (http://www.fixprotocol.org/documents/6212/Best%20Practices%20for%20CDS%20and%20IRS%20Electronic%20Trading%20ALL%20Volumes%20PDF_20111125.zip)The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://www.fixprotocol.org/documents/6210/GFIC%20QuoteAcknowledgement%20Proposal%20Rev.0.7.docx
The public comment period ends on December 19, 2011.