TT® FIX

Quote Request (R) message

Purpose

Used to request quotes from brokers prior to placing an order.

Note: When a FIX client sends a Market Data Request (V) for a given instrument with SubscriptionRequestType=1 to create a market data subscription, that client is automatically subscribed for RFQ messages for that instrument.

Message Direction

From TT FIX to FIX client only. FIX clients cannot submit Quote Requests (RFQs) via the TT Security Data service.

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: <Standard Header> Y 35=R (MsgType)
131 QuoteReqID N String

Unique ID for this request.

146 NoRelatedSym Y NumInGroup

Number of underlying instruments contained in this repeating group.

55 Symbol N String

Exchange-provided product symbol for the tradable product.

167 SecurityType N String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • CUR: currency
  • TBOND: treasury bond
  • NONE: No security type
200 MaturityMonthYear N MonthYear

Month and year the instrument reaches maturity in the format YYYYMM.

541 MaturityDate N LocalMktDate

Maturity date in format YYYYMMDD.

205 MaturityDay N DayOfMonth

Day of expiration for the instrument.

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT.

202 StrikePrice C Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT.

206 OptAttribute N char

Additional information about the option contract.

18211 DeliveryTerm C char

Term of delivery for the instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • U: Bundle
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Sent when the delivery term is not monthly.

743 DeliveryDate N LocalMktDate

Date for contract delivery

48 SecurityID N String

TT security ID that uniquely identifies the instrument in the TT platform.

207 SecurityExchange N Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify a security.

Possible values include:

  • AGGREGATOR
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM
100 ExDestination N Exchange

Name of the sub-market where the instrument trades.

TT FIX uses this value to identify a security.

ISO 10383 defines a comprehensive list of MIC codes.

15 Currency N Currency

ISO-standard symbol for the instrument’s trading currency.

537 QuoteType N int

Type of quote being requested from counterparty or market

Possible values include:

  • 0: Indicative
  • 1: Tradable
  • 99: Cross trade request
  • 255: Unknown
54 Side N char

Side or the order.

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
38 OrderQty N Qty

Desired order quantity.

44 Price N Price

Price of the instrument.

Component: <Standard Trailer> Y

Message Notes

The Quote Request (R) message is used to request quotes from brokers prior to placement of an order. This message is commonly referred to as a Request For Quote (RFQ).