FIX 4.1 : 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.

The symbol used for forex quotes is, in ISO codes, "currency1.currency2" (e.g. GBP.USD) and the quote will be returned as a rate expressed as currency1/currency2.

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
55 Symbol Y
65 SymbolSfx N
48 SecurityID N
22 IDSource N
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

For Options or Futures to specify the month and year of maturity.

205 MaturityDay N

For Options or Futures and 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.

207 SecurityExchange N

Can be used to identify the security.

106 Issuer N
107 SecurityDesc N
140 PrevClosePx N

Useful for verifying security identification

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.

<MessageTrailer> Y

 

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