Rejecting quotes

, ,
1

Imported from previous forum

2

[ original email was from Danny Shobrook - dzshobrook@dial.pipex.com ]
hi

Is there a way of rejecting a quote request?

Eg if the RIC code given does not correspond to a security. If not is one planned.

3

[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> hi
>
> Is there a way of rejecting a quote request?
>
> Eg if the RIC code given does not correspond to a security. If not is one planned.
>

You can’t reject a Quote Request at the application level in any standardized way in FIX 4.1.

You can do a session-level Reject. However session level Rejects are generally reserved for more severe errors, not something at a business level like a symbol not being found. I really don’t see a good way to handle this situation while staying within the standardized FIX 4.1 protocol.

At the April 1 FIX meeting I gave a presentation on possible enhancements to the Quote / Quote Request message as part of the ECNs/Exchanges working group, and the ability to reject a Quote Request was one of the proposed additions. A more concrete proposal is in progress; other proposed features include the ability to turn on and off subscription to particular quotes, the ability to display depth of book, and optionally making the quote updates more compact so one could use FIX for a real-time data feed of an ECN or Exchange’s entire book.

One of the debated topics is the addition of a new Quote Request Reject message, or the addition of a new field such as QuoteRejReason to the Quote message. Feel free to read the ECNs/Exchanges discussion group and offer input.

4

[ original email was from Danny Shobrook - dzshobrook@dial.pipex.com ]
> > hi
> >
> > Is there a way of rejecting a quote request?
> >
> > Eg if the RIC code given does not correspond to a security. If not is one planned.
> >
>
> You can’t reject a Quote Request at the application level in any standardized way in FIX 4.1.
>
> You can do a session-level Reject. However session level Rejects are generally reserved for more severe errors, not something at a business level like a symbol not being found. I really don’t see a good way to handle this situation while staying within the standardized FIX 4.1 protocol.
>
> At the April 1 FIX meeting I gave a presentation on possible enhancements to the Quote / Quote Request message as part of the ECNs/Exchanges working group, and the ability to reject a Quote Request was one of the proposed additions. A more concrete proposal is in progress; other proposed features include the ability to turn on and off subscription to particular quotes, the ability to display depth of book, and optionally making the quote updates more compact so one could use FIX for a real-time data feed of an ECN or Exchange’s entire book.
>
> One of the debated topics is the addition of a new Quote Request Reject message, or the addition of a new field such as QuoteRejReason to the Quote message. Feel free to read the ECNs/Exchanges discussion group and offer input.
>
>

I would guess that the new message would be a quote reject, with the fields in the original request echoed back and a QuoteRejReason with the options:

  1. Invalid symbol,
  2. Broker’s option,
  3. Exchange closed

Seeing as very few people actually use quotes I don’t think the addition of this message will impact many implementations.