Imported from previous forum
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
Has anyone else attempted to implement the Quote Status Request? In the 4.2 specification, the response to a Quote Status is supposed to be an Execution Report. However, it is not possible with the Execution Report to provide a two sided market (bid and ask with price and quantity) - as is required when inquiring on the status of a quote. 1) Does it make sense to use a Quote Message as a response to a Quote Status message? 2) Does it make sense to send back two Execution Reports, one for the bid one for the ask>? or 3) Does it make sense to add tags to the Execution Report. 4) The only other message that might be able to be used is a Market Data / Full Refresh.
Advantages/Disadvantage of each approach:
-
Quote Message: Advantages: provides information on what the counterparty thinks is the current quote; can be associated easily by QuoteID; provides two sided market with qty. Disdavantage: No history on executions (CumQty, etc. for the quote).
-
Two Execution Reports: Advantages: Can show execution activity on the quote. Disadvantages: Two messages required for one status request(This disadvantage of two messages can be minimized because the QuoteID can be used to associate the orders). This approach also has the disadvantage of requiring a mapping of QuoteID to ClOrdID and some mapping to OrderID.
-
Adding tags to Execution Report: Advantage: Makes Execution Report usable for Quote Status Request responses and quote execution reporting. Disadvantages: Breaks Execution Reports, makes execution reports more polymorphic than they are now.
-
Market Data Snapshot - Somewhat applicable - but confuses the dialog of Market Data Request - Market Data Reply.
Looking for some recommendations on how best to proceed.
Point of clarification: The application is for market making two listed options markets - where quotes are two sided and are then treated as an order type by the electronic trading engine.