FIX 4.1 : Quote <S> message

Structure | Related Messages

Description

The Quote <S> message is used as the response to a Quote Request <R> message and can be used to publish unsolicited quotes.

Quotes supplied as the result of a Quote Request <R> message are tagged with the appropriate QuoteReqID <131>, unsolicited quotes can be identified by the absence of a QuoteReqID <131>.

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. BidPx <132> indicates the rate at which the broker is willing to buy currency1 and deliver currency2, OfferPx <133> indicates the rate at which the broker is willing to sell currency1 and receive currency2. Indicative rates are quoted in the BidPx <132> field and may contain a level in the BidSize <134> field.

Orders can be generated based on Quotes. Quoted orders include the QuoteID <117> and are OrdType <40> ='D' (Previously Quoted) or 'H' (Forex - Previously Quoted).

Structure

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

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

117 QuoteID 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
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

60 TransactTime 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.

<MessageTrailer> Y

 

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