Imported from previous forum
As previously posted, we have been working on a state model for FIX message flows in Fixed Income/Derivatives markets, in order to help hone our logic engine DUET which drives the response to RFQs and Orders in the appropriate manner as set by business rules at various points in the inquiry flow.
The state model is now v1.5 and can be found at http://www.etlogic.com/public/inquiry-state-model.html
We have pulled together the emerging standards for FIX flows as defined in the Best Practices Vol 2 and Vol 3 documents, plus our own knowledge of how established FI markets currently work. We are grateful for input from Yuval Cohen from Etrading Software on the evolution of this diagram. A couple of points remain outstanding from our perspective-
(1) transition from ‘Suspended’ state to ‘Cancelled’ (whereby the dealer could prematurely end the interaction having suspended quoting) - this is apparently not currently supported by any known markets and therefore no FIX message has been defined for this transition - however from our perspective this might logically be supported so we have left this transition in place.
(2) transition from ‘Quoted’ superstate to ‘Countered’ via the Customer Counter event - this implies that a Customer Counter could occur while a quote is Firm. Again, there is apparently no known market where this is supported, but logically we feel there’s no need to explicitly exclude that possibility in the future.