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FIX 4.3 : Mass Quote Acknowledgement <b> message

Structure | Related Messages

Description

Mass Quote Acknowledgement <b> is used as the application level response to a Mass Quote <i> message. The Mass Quote Acknowledgement <b> contains a field for reporting the reason in the event that the entire quote is rejected (QuoteRejectReason <300>[300]). The Mass Quote Acknowledgement <b> also contains a field for each quote that is used in the event that the quote entry is rejected (QuoteEntryRejectReason <368>[368]). The ability to reject an individual quote entry is important so that the majority of quotes can be successfully applied to the market instead of having to reject the entire Mass Quote <i> for a minority of rejected quotes.

Derivative markets are characterized by high bandwidth consumption - due to a change in an underlying security price causing multiple (often in the hundreds) of quotes to be recalculated and retransmitted to the market. For that reason the ability for market participants (and the market ) to be able to set the level of response requested to a Mass Quote <i> message is specified using the QuoteResponseLevel <301>[301] field.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = b
131 QuoteReqID N

Required when acknowledgment is in response to a Quote Request <R> message

117 QuoteID N

Required when acknowledgment is in response to a Quote <S> message

297 QuoteStatus(formerly named: QuoteAckStatus prior to FIX 4.3) Y

Status of the mass quote acknowledgement.

300 QuoteRejectReason N

Reason Quote <S> was rejected.

301 QuoteResponseLevel N

Level of Response requested from receiver of Quote <S> messages. Is echoed back to the counterparty.

537 QuoteType N

Type of Quote <S>

Component Block - <Parties> N

Insert here the set of "<Parties>" (firm identification) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

1 Account N
581 AccountType N

Type of account associated with the order (Origin)

336 TradingSessionID N
625 TradingSessionSubID N
58 Text N
296 NoQuoteSets N

The number of sets of quotes in the message

=> 302 QuoteSetID N

First field in repeating group. Required if NoQuoteSets <296> > 0

=> Component Block - <UnderlyingInstrument> N

Insert here the set of "<UnderlyingInstrument>" (underlying symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Required if NoQuoteSets <296> > 0

=> 304 TotQuoteEntries N

Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries <295> in each message that has repeating quotes that are part of the same quote set.

Required if NoQuoteEntries <295> > 0

=> 295 NoQuoteEntries N

The number of quotes for this Symbol <55> (QuoteSet) that follow in this message.

=> => 299 QuoteEntryID N

Uniquely identifies the quote as part of a QuoteSet.

First field in repeating group. Required if NoQuoteEntries <295> > 0.

=> => Component Block - <Instrument> N

Insert here the set of "<Instrument>" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> => 132 BidPx N

If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.

=> => 133 OfferPx N

If F/X quote, should be the 'all-in' rate (spot rate adjusted for forward points). Note that either BidPx <132>, OfferPx <133> or both must be specified.

=> => 134 BidSize N
=> => 135 OfferSize N
=> => 62 ValidUntilTime N
=> => 188 BidSpotRate N

May be applicable for F/X quotes

=> => 190 OfferSpotRate N

May be applicable for F/X quotes

=> => 189 BidForwardPoints N

May be applicable for F/X quotes

=> => 191 OfferForwardPoints N

May be applicable for F/X quotes

=> => 631 MidPx N
=> => 632 BidYield N
=> => 633 MidYield N
=> => 634 OfferYield N
=> => 60 TransactTime N
=> => 336 TradingSessionID N
=> => 625 TradingSessionSubID N
=> => 64 FutSettDate N

Can be used with forex quotes to specify a specific 'value date'

=> => 40 OrdType N

Can be used to specify the type of order the quote 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.

=> => 642 BidForwardPoints2 N

Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value

=> => 643 OfferForwardPoints2 N

Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value

=> => 15 Currency N

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

=> => 368 QuoteEntryRejectReason N

Reason Quote <S> Entry was rejected.

<MessageTrailer> Y  

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