FIX 4.3 : Quote <S> message

Structure | Related Messages

Description

The Quote <S> message is used as the response to a Quote Request <R> message in both indicative, tradeable, and restricted tradeable quoting markets.

In tradeable and restricted tradeable quoting models, the market maker sends quotes into a market as opposed to sending quotes directly to a counterparty.

The Quote <S> message can be used to send unsolicited quotes in both indicative, tradeable, and restricted tradeable quoting markets.

The Quote <S> message contains a quote for a single product.

If the issuer of the quote requires a response (e.g. notification that the Quote <S> message has been accepted) then the QuoteResponseLevel <301> field should be populated on the Quote <S> message - the response would be made using the Quote Status Report <AI> message

The quote should not be used in tradeable and restricted tradeable quoting markets, such as electronic trading systems, to broadcast quotes to market participants. The recommended approach to reporting market state changes that result from quotes received by a market is to use the market data messages.

Quotes supplied as the result of a Quote Request <R> message will specify 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 VOLUME 7 - PRODUCT: FOREIGN EXCHANGE

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

The time in force for a quote is determined by agreement between counterparties.

A quote can be canceled either using the Quote Cancel <Z> message or by sending a Quote <S> message with bid and offer prices and sizes all set to zero (BidPx <132>, OfferPx <133>, BidSize <134>, OfferSize <135>)

Example: Quote <S> for Single Security

QuoteID=XXX
QuoteReqID=YYY
Symbol=AA
MaturyMonthYear=199901
StrikePrice=25.00
CFICode="OCXXXS"
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
537 QuoteType N

Quote <S> Type

If not specified, the default is an indicative quote

301 QuoteResponseLevel N

Level of Response requested from receiver of Quote <S> messages.

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
Component Block - <Instrument> Y

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.

645 MktBidPx N

Can be used by markets that require showing the current best bid and offer

646 MktOfferPx N

Can be used by markets that require showing the current best bid and offer

647 MinBidSize N

Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.

134 BidSize N

Specifies the bid size. If MinBidSize <647> is specified, BidSize <134> is interpreted to contain the maximum bid size.

648 MinOfferSize N

Specifies the minimum offer size. If MinOfferSize <648> is specified, OfferSize <135> is interpreted to contain the maximum offer size.

135 OfferSize N

Specified the offer size. If MinOfferSize <648> is specified, OfferSize <135> is interpreted to contain the maximum offer size.

62 ValidUntilTime N

The time when the quote will expire

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
63 SettlmntTyp 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 prices. May differ from the 'normal' trading currency of the instrument being quoted

656 SettlCurrBidFxRate N

Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this Quote <S> message

657 SettlCurrOfferFxRate N

Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this Quote <S> message

156 SettlCurrFxRateCalc N

Can be used when the quote is provided in a currency other than the instruments trading currency.

12 Commission N

Can be used to show the counterparty the commission associated with the transaction.

13 CommType N

Can be used to show the counterparty the commission associated with the transaction.

582 CustOrderCapacity N

For Futures Exchanges

100 ExDestination N

Used when routing quotes to multiple markets

58 Text N
354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

<MessageTrailer> Y

 

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