Messages by MsgType |  Messages by Name |  Fields by Tag |  Fields by Name |  FIX 4.2 | Home

FIX 4.2 : Quote Request <R> message

Structure | Related Messages

Description

In some markets it is the practice to request quotes from brokers prior to placement of an order. The Quote Request <R> message is used for this purpose.

Quotes can be requested on specific securities or forex rates.

Securities quotes can be requested as either market quotes or for a specific quantity and side. If OrderQty <38> and Side <54> are absent, a market-style quote (bid x offer, size x size) will be returned.

If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:

  • The forex Symbol <55> is defined in "EBS" (Electronic Banking System) format: "CCY1/CCY2".
    • Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
    • e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
    • CCY1 and CCY2 are ISO currency codes
  • The value of the Currency <15> field represents the denomination of the quantity fields (e.g. JPY represents quantity of JPY).
  • See Appendix O – Foreign Exchange Trading
  • Forex quotes can be requested as indicative or at a specific quantity level. If an indicative quote is requested (OrderQty <38> and Side <54> are absent), the broker has discretion to quote at either a specific trade level and side or to provide an indicative quote at the mid-point of the spread. The broker can also choose to respond to an indicative quote by sending multiple Quote <S> messages specifying various levels and sides.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = R
131 QuoteReqID Y
146 NoRelatedSym Y

Number of related symbols in Request

=> 55 Symbol Y

Must be the first field in the repeating group.

=> 65 SymbolSfx N

Can be repeated multiple times if message is related to multiple symbols.

=> 48 SecurityID N

Can be repeated multiple times if message is related to multiple symbols.

=> 22 IDSource N

Can be repeated multiple times if message is related to multiple symbols.

=> 167 SecurityType N

Must be specified if a Future or Option. If a Future:Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option:Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.

=> 200 MaturityMonthYear N

Specifiesthe month and year of maturity. Required if MaturityDay <205> is specified.

=> 205 MaturityDay N

Can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.

=> 201 PutOrCall N

For Options.

=> 202 StrikePrice N

For Options.

=> 206 OptAttribute N

For Options.

=> 231 ContractMultiplier N

For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

=> 223 CouponRate N

For Fixed Income.

=> 207 SecurityExchange N

Can be used to identify the security.

=> 106 Issuer N

Can be repeated multiple times if message is related to multiple symbols.

=> 348 EncodedIssuerLen N

Must be set if EncodedIssuer <349> field is specified and must immediately precede it.

=> 349 EncodedIssuer N

Encoded (non-ASCII characters) representation of the Issuer <106> field in the encoded format specified via the MessageEncoding <347> field.

=> 107 SecurityDesc N

Can be repeated multiple times if message is related to multiple symbols.

=> 350 EncodedSecurityDescLen N

Must be set if EncodedSecurityDesc <351> field is specified and must immediately precede it.

=> 351 EncodedSecurityDesc N

Encoded (non-ASCII characters) representation of the SecurityDesc <107> field in the encoded format specified via the MessageEncoding <347> field.

=> 140 PrevClosePx N

Useful for verifying security identification

=> 303 QuoteRequestType N

Indicates the type of Quote Request <R> (e.g. Manual vs. Automatic) being generated.

=> 336 TradingSessionID N
=> 54 Side N

If OrdType <40> = 'Forex - Swap', should be the side of the future portion of a F/X swap

=> 38 OrderQty N
=> 64 FutSettDate N

Can be used with forex quotes to specify the desired 'value date'

=> 40 OrdType N

Can be used to specify the type of order the quote request is for

=> 193 FutSettDate2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.

=> 192 OrderQty2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.

=> 126 ExpireTime N

The time when Quote Request <R> will expire.

=> 60 TransactTime N

Time transaction was entered

=> 15 Currency N

Can be used to specify the currency of the quoted price.

<MessageTrailer> Y  

Related Messages

Onix Solutions