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 (55) 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.
| Tag | Field Name | Req'd | Comments | ||
|---|---|---|---|---|---|
| <Standard Message Header> | Y | MsgType = 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 | C | 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 | C | For Options. |
||
| 202 | StrikePrice | C | 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 |
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| 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. |
||
| <Standard Message Trailer> | Y | ||||