Orchimate 1.5.0 /

FIX4.2

The quote message is used as the response to a Quote Request message and can be used to publish unsolicited quotes.

Quotes supplied as the result of a Quote Request message are tagged with the appropriate QuoteReqID, unsolicited quotes can be identified by the absence of a QuoteReqID.

The symbol 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. BidPx indicates the rate at which the broker is willing to buy currency1 and deliver currency2, OfferPx indicates the rate at which the broker is willing to sell currency1 and receive currency2. Indicative rates are quoted in the BidPx field and may contain a level in the BidSize field.

If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:

• The forex Symbol 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 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 and are OrdType=Previously Quoted or Forex - Previously Quoted.

Example: Quote 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