FIX 4.3 : 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. This message is commonly referred to as an Request For Quote <S> (RFQ)

Quotes can be requested on specific securities or forex rates. The Quote Request <R> message can be used to request quotes on single products or multiple products.

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.

In the tradeable and restricted tradeable quote models the Quote Request <R> may be preceded by the RFQ Request <AH> message described further below.

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
  • 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
644 RFQReqID N

For tradeable quote model - used to indicate to which RFQ Request <AH> this Quote Request <R> is in response.

146 NoRelatedSym Y

Number of related symbols (instruments) in Request

=> Component Block - <Instrument> Y

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

=> 140 PrevClosePx N

Useful for verifying security identification

=> 303 QuoteRequestType N

Indicates the type of Quote Request <R> (e.g. Manual vs. Automatic) being generated.

=> 537 QuoteType N

Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)

=> 336 TradingSessionID N
=> 625 TradingSessionSubID N
=> 229 TradeOriginationDate N
=> Component Block - <Stipulations> N

Insert here the set of "<Stipulations>" (repeating group of Fixed Income stipulations) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> 54 Side N

If OrdType <40> = 'Forex - Swap', should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested.

=> 465 QuantityType N
=> 38 OrderQty N
=> 152 CashOrderQty N
=> 63 SettlmntTyp N
=> 64 FutSettDate N

Can be used (e.g. 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.

=> 126 ExpireTime N

The time when Quote Request <R> will expire.

=> 60 TransactTime N

Time transaction was entered

=> 15 Currency N

Can be used to specify the desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.

=> Component Block - <SpreadOrBenchmarkCurveData> N

Insert here the set of "<SpreadOrBenchmarkCurveData>" (Fixed Income spread or benchmark curve) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> 423 PriceType N
=> 44 Price N

Quoted or target price

=> 640 Price2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the Quoted or target price for the future portion of a F/X swap.

=> Component Block - <YieldData> N

Insert here the set of "<YieldData>" (yield-related) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

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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