Imported from previous forum
We’re currently building a consolidated drop feed that will contain all private orders and trades entered by any participant across the marketplace. This feed will be used by surveillance etc. The feed will be a regular FIX session in many ways similar to a drop copy session.
We also need to send quotes on this feed. Quotes need to be easily distinguishable from regular orders.
Should quotes be represented as Quote Status Report messages or Quote messages?
We’re leaning towards using QSRs, but I did find in EP101 that IIROC mentions both Quotes and QSRs in the description of the “market regulatory feed”, which should be very similar.
Any guidance would be greatly appreciated.
The Quote message is rather comparable to NewOrderSingle, i.e. the creation of a new entity of type quote (or order). The status of orders is conveyed with an ExecutionReport whereas Quotes have two messages, i.e. ExecutionReports for trades resulting from (mass) quotes and QuoteStatusReport for the rest. Actually there are three as you would conclude private quote negotiations with a TradeCaptureReport to both sides. Note that the QuoteStatusReport carries both sides of the quote whereas the ExecutionReport only ever has one side of the quote.
I would view such a consolidated feed as the result of implicit Order(Mass)StatusRequest and QuoteStatusRequest messages. If you would issue explicit requests you would get ExecutionReports for orders and QuoteStatusReports for quotes back. A MassQuote with QuoteResponseLevel = 2 (Ack each) also leads to QuoteStatusReports. For orders there is a slight difference to drop copies in terms of ExecType always being I=OrderStatus in case of responses to an Order(Mass)StatusRequest. You probably want to see different ExecType values to be able to replay what happened. Replaying quotes requires you to process QuoteStatusReports as well as ExecutionReports.
Regards,
Hanno.
We’re currently building a consolidated drop feed that will contain all private orders and trades entered by any participant across the marketplace. This feed will be used by surveillance etc. The feed will be a regular FIX session in many ways similar to a drop copy session.
We also need to send quotes on this feed. Quotes need to be easily distinguishable from regular orders.
Should quotes be represented as Quote Status Report messages or Quote messages?
We’re leaning towards using QSRs, but I did find in EP101 that IIROC mentions both Quotes and QSRs in the description of the “market regulatory feed”, which should be very similar.
Any guidance would be greatly appreciated.
The Quote message is rather comparable to NewOrderSingle, i.e. the creation of a new entity of type quote (or order). The status of orders is conveyed with an ExecutionReport whereas Quotes have two messages, i.e. ExecutionReports for trades resulting from (mass) quotes and QuoteStatusReport for the rest. Actually there are three as you would conclude private quote negotiations with a TradeCaptureReport to both sides. Note that the QuoteStatusReport carries both sides of the quote whereas the ExecutionReport only ever has one side of the quote.
I would view such a consolidated feed as the result of implicit Order(Mass)StatusRequest and QuoteStatusRequest messages. If you would issue explicit requests you would get ExecutionReports for orders and QuoteStatusReports for quotes back. A MassQuote with QuoteResponseLevel = 2 (Ack each) also leads to QuoteStatusReports. For orders there is a slight difference to drop copies in terms of ExecType always being I=OrderStatus in case of responses to an Order(Mass)StatusRequest. You probably want to see different ExecType values to be able to replay what happened. Replaying quotes requires you to process QuoteStatusReports as well as ExecutionReports.
Regards,
Hanno.
Thanks Hanno,
I was a bit terse in my original description. Our idea was to use a combination of Quote Status Reports and Execution Reports (for fills). We do not currently support the quote negotiations. But I was puzzled by the IIROC mentioning of Quotes. I also see them as inherently “inbound” from the marketplace’s point of view. There may well have been another use for that message. I haven’t actually seen the full spec.
Your idea of viewing this as a feed driven by implicit Order Status Requests and Quote Status Requests is intriguing, but I’d rather see this as a drop copy session for the ExecType reason you bring up. So I’d prefer to add the CopyMsgIndicator (797) to the Quote Status Report message.
Best Regards,
Henrik