TT® FIX Market Data

Quote Request (R) Message

Quote Request (R) Message

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.

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: <Standard Header>
Y 35=R (MsgType)
For additional information about this component group, consult the full documentation.
Tag # Field name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag is always the first tag in the message.

The value is either FIX.4.2 or FIX.4.4.
9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 8: Execution Report
  • 9: Order Cancel Reject
  • A: Logon
  • B: News
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • H: Order Status Request
  • Q: Don't Know Trade (Inbound Drop Copy only)
  • R: Quote Request
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AD: Trade Capture Report Request
  • AE: Trade Capture Report
  • AQ: Trade Capture Report Request Ack
49 SenderCompID Y String

ID of the FIX session

The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56 TargetCompID Y String

FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup

The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50 SenderSubID C String

Unique ID for the message sender

For CME, the value corresponds to the Operator ID.

Condition: Sent if TT User Setup specifies an exchange operator ID
142 SenderLocationID N string Specific message originator's location (i.e. geographic location and/or desk, trader)
116 OnBehalfOfSubID N Data type: String

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.
129 DeliverToSubID C String

Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.

Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.
34 MsgSeqNum Y SeqNum

Message sequence number.
43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Sent when TT FIX resends messages
97 PossResend C Boolean

Whether the message might contain information that has been sent under another sequence numbe

Possible values include:

  • Y: Possible resend
  • N: Original transmission

Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.
122 OrigSendingTime C UTCTimestamp

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Sent when TT FIX resends a message
52

SendingTime

Y UTCTimestamp

Time, in UTC, the message was sent.
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.
> 107 SecurityDesc N String

Security description.
> 460 Product N int Product type associated with the security.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
> 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
  • CS: common stock
  • NONE: No security type (Not valid for 35=c, e or V)
> 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
  • C: End of Month
  • D: Day
  • E: Weekly
  • H: Hour
  • 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

Note When Tag 18211 DeliveryTerm equals any value except 'M', 'Y' or 'Q', then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.

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
  • B3
  • BitMEX
  • BrokerTec
  • CBOE
  • CBOT
  • CFE
  • CME
  • Coinbase
  • CoinFLEX
  • CurveGlobal
  • CZCE
  • DCE
  • DGCX
  • EEX
  • Eurex
  • Euronext
  • Fenics
  • FEX
  • HKEX
  • ICE
  • ICE_L
  • IDEM
  • INE
  • KCG
  • KRK
  • LME
  • LSE
  • MEFF
  • MEXDER
  • MX
  • MX
  • NDAQ_EU
  • NFI
  • NFX
  • OSE
  • SGX
  • TFEX
  • 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
  • B: As Defined (FIX 4.4 only)
  • C: Opposite (FIX 4.4 only)
> 38 OrderQty N Qty

Desired order quantity.
> 44 Price N Price

Price of the instrument.
Component: <Standard Trailer>
Y For additional information about this component group, consult the full documentation.
Tag # Field Name Req’d Data type Comments
10 Checksum Y String

Unencrypted three-character checksum

This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

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).