Looking at the Fixed Income Best Practices document for Quote-Driven Markets shows a diagram where a dealer quotes in response to an RFQ. When the dealer cancels the quote no message is indicated from the venue to the initiator, only a comment that the initiator no longer sees the quote. This makes sense if it is assumed the initiator is using the venue UI but what about if this is a third party UI for the venue? How should the client be informed the quote is cancelled? The dealer sends a QuoteCancel(Z) to the venue. Is it appropriate to send the same to the third party application to remove the quote?
If I’m understanding your question, Darik, you have an RFQ Initiator who is using a 3rd party UI to connect to the venue, sending QuoteRequest to the venue who then sends the RFQ to the dealer. When the dealer send Quote to the venue, the venue should send the Quote to the Initiator’s system as well (assuming the Initiator doesn’t use venue UI at all). Now if the Dealer sends QuoteCancel then that should also be sent from the venue to the Imitator’s system.
Hope that helps.
Lisa
Hi Lisa,
Thanks for responding and it is as you described. We were also expecting to pass the QuoteCancel but it caused some debate so we thought we would consult the experts here. Thanks for the feedback.
Darik