Quote <S> message – FIX 4.2 – FIX Dictionary

FIX 4.2 : Quote <S> message

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>.

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

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

Example: Quote <S> for Single Security

QuoteID=XXX
QuoteReqID=YYY
Symbol=AA
MaturyMonthYear=199901
StrikePrice=25.00
PutOrCall=1
BixPx=5.00
OfferPx=5.25
BidSize=10
OfferSize=10

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
301	QuoteResponseLevel	N	Level of Response requested from receiver of Quote <S> messages.
336	TradingSessionID	N
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	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
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
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.
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.
15	Currency	N	Can be used to specify the currency of the quoted price.
<MessageTrailer>		Y