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 (RFQ) (AH)
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:
| Tag | Field Name | Req'd | Comments | ||
|---|---|---|---|---|---|
| <Standard Message Header> | Y | MsgType = 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 | |||
| => | 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 | |||
| => | 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 | C | 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 (R) 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 | |||
| => | 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 | |||
| => | 58 | Text | N | ||
| => | 354 | EncodedTextLen | C | Must be set if EncodedText (355) field is specified and
must immediately precede it. |
|
| => | 355 | EncodedText | C | Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. |
|
| <Standard Message Trailer> | Y | ||||