Eurex EnLight Quoting and Response Messages

Contents

• Preparation Notes
• Sample Flow with Messages
• Eurex Trader Admin GUI – EnLight Responder Interface
• FAQs

Preparation Notes

• Ensure that the counterparty is correctly populated in TT Setup under the Counterparties section.
• Download the latest version of the TT FIX schema.
• Refer to the schema for the tags related to the quoting and response messages.
• Specify tag 537 (QuoteType) to indicate whether the RFQ type is Firm or Indicative.

(back to top)

Sample Flow with Messages

Below is an example of the FIX order routing flow when sending RFQ and receiving quotes; subsequently sending the quote responses and receiving the confirmation. These messages are from the requester’s point of view.

Note The Eurex Trader Admin GUI – EnLight Responder Interface section provides the respondent’s point of view in the Eurex Admin GUI.

1. Requester sends a Quote Request (35=R) message:

Tags:

• 537 (QuoteType) — Must come before tags 1, 1461 and 1462.
• 1462 (TargetPartyExchangeTraderID)
• 18605 (SRFQTransType) — Must be set to ‘1’ in 35=R messages for EnLight; otherwise, it will be treated as a regular quote message. ‘1’ is currently the only supported value for this tag.

Send:
8=FIX.4.2|9=190|35=R|49=Session123|56=TT_OR|34=3440|52=20241009-07:25:57|131=1352684283|146=1|55=FESX|167=FUT|200=202503|207=Eurex|54=1|38=5000|18605=1|537=1|1=Account123|116=SubID123|1461=1|1462=TTGXVZZZ003|10=193|

If successful, requester receives a Quote Status Report (35=AI) message with 297=0 (Accepted).

Tags:

• 276 (QuoteCondition)
• 297 (QuoteStatus)
• 18605 (SRFQTransType)
• 18606 (NegotiationID)
• 18607 (SecondaryNegotiationID)

Recv:

8=FIX.4.2|9=00699|35=AI|49=TT_OR|56=Session123|34=4997|50=5498|142=SG|52=20241009-07:25:57.181|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:25:57.144312|18605=1|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=2|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=138|

Respondent responds and requester receives Market Quote (35=S) message:

Tags:

• 132 (BidPx)
• 133 (OfferPx)
• 134 (BidSize)
• 135 (OfferSize)
• 18606 (NegotiationID)
• 18607 (SecondaryNegotiationID)
• 18608 (MkQuoteID)
• 18609 (SecondaryQuoteID)
• 18610 (QuotingStatus)

Recv:

8=FIX.4.2|9=00700|35=S|49=TT_OR|56=Session123|34=4999|52=20241009-07:26:50.786|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom
|1028=Y|132=5150|133=5160|134=5000|135=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18610=1|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|16963=1|131=1352684283|18609=2|60=20241009-07:26:50.747148|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=003|

Requester submits Quote Response (35=AJ) (decision):

Note If the intention is to buy, submit the price and quantity in tags 132 (BidPx) and 134 (BidSize). If the intention is to sell, use tags 133 (OfferPx) and 135 (OfferSize). In this example, since the respondent gave a quote with an OfferPx at 5160, the requester puts that in his BidPx so they can lift that offer.

Send:
8=FIX.4.2|9=300|35=AJ|49=Session123|56=TT_OR|34=3454|52=20241009-07:31:40|1=Account123|18610=1|132=5160|134=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|55=FESX|460=12|167=FUT|200=202503|207=Eurex|30=XEUR|461=FFICSX|15=EUR|131=1352684283|10=127|

Requester receives Trade Capture Ack (35=AR) followed by Trade Capture Report (35=AE) and then a quote status report:

Recv:
8=FIX.4.2|9=00960|35=AR|49=TT_OR|56=Session123|34=5009|50=5498|52=20241009-07:31:40.951|129=SubID123|571=81931164-19e5-4407-8001-4022c09fba12|818=1728404726178|487=0|856=2|939=0|60=20241009-07:31:40.913826|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|31=5160|32=5000|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|1152=0|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18218=|16963=2|18221=DTS_ID|18220=DTS|10553=traderemail@dotcom|828=1082|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=043|

Recv:
8=FIX.4.2|9=01034|35=AE|49=TT_OR|56=Session123|34=5010|50=5498|52=20241009-07:31:40.951|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=0|856=0|1123=3|828=1082|31=5160|32=5000|60=20241009-07:31:40.913826|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=1|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=076|

Recv:
8=FIX.4.2|9=00705|35=AI|49=TT_OR|56=Session123|34=5011|50=5498|142=SG|52=20241009-07:31:40.951|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:31:40.911495|151=0|18605=4|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=3|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=110|

Respondent confirms requester’s OTC order.

Requester receives messages (in this order):

1. Trade Capture Report (35=AE) with Trade Confirmation (1123=0).
2. Quote Status Reports (35=AI) indicating the status transitioning to close (276=B).
3. A Quote (35=S) Response confirming that the original quote is now closed.

Recv:
8=FIX.4.2|9=01036|35=AE|49=TT_OR|56=Session123|34=5013|50=5498|52=20241009-07:32:21.225|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=103|856=2|1123=0|828=1082|31=5160|32=5000|60=20241009-07:32:21.186304|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=2|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=168|

Recv:
8=FIX.4.2|9=00721|35=AI|49=TT_OR|56=Session123|34=5014|50=5498|142=SG|52=20241009-07:32:21.225|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:32:21.186304|31=5160|32=5000|151=0|18605=4|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=4|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=057|

Recv:
8=FIX.4.2|9=00750|35=AI|49=TT_OR|56=Session123|34=5015|50=5498|142=SG|52=20241009-07:32:21.225|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:32:21.186304|168=20241009-07:34:31.186304|31=5160|32=5000|151=0|18605=3|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=00|16963=5|276=B|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=227|

Recv:
8=FIX.4.2|9=00801|35=S|49=TT_OR|56=Session123|34=5016|52=20241009-07:32:21.225|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|1028=Y|132=5150|133=5160|134=5000|135=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18610=3|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|16963=2|18609=2|60=20241009-07:32:21.187923|58=Purging EnLight / SRFQ market quotes for closed/expired SRFQ negotiation_id=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=180|

After several minutes, Eurex exchange sends out the actual fill and it is received as another Trade Capture Report. This has the Trade Match ID in tag 1003.

Recv:
8=FIX.4.2|9=01117|35=AE|49=TT_OR|56=Session123|34=5021|50=5498|52=20241009-07:34:31.229|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=0|856=2|1123=0|828=1082|31=5160|32=5000|442=1|60=20241009-07:34:31.186304|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|1003=1|75=20241009|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|8016=1000000000000025190590172845927118630406710000000001|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=3|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=006|

(back to top)

Eurex Trader Admin GUI – EnLight Responder Interface

This section illustrates the flow of events from the Eurex Trader Admin GUI – EnLight Responder interface from the respondent’s point of view. It briefly describes the steps needed to enter, submit and confirm the quote.

1. When the requester submits the RFQ, the request is displayed in the Eurex EnLight Responder pane. Select the request and then click Enter Quote.



2. Fill in the BidQty, Bid, Ask and AskQty fields. Also populate the O/C, Act, ClientID, ExeID, ExeQual, RateID and any other necessary fields

3. Click Submit Quote and this will deliver the quote back to the requester.



When the requester replies with the quote response (decision), it will be listed in the EnLight Deals pane.



4. Select the quote response, check the details and click Confirm to finalize the deal.

The requester will receive the confirmation messages.

(back to top)

FAQs

1. Can you submit multiple members on an RFQ?

Yes, on the Quote Request (35=R), use the NoTargetPartyIDs group to specify multiple members. E.g. |1461=2|1462=TTGXVZZZ003|1462=TTTXVDDE001|

2. Can you fill a worse bid or ask, when receiving multiple quotes?

Yes, you can respond to worse bid/ask quotes.

3. Can you provide an RFQ with no counterparty?

No, public RFQs are not allowed. A counterparty needs to be provided on each RFQ.

4. Will the quotes from RFQs show on the market data feed?

No. RFQs with counterparties are not publicly disseminated.

5. What happens when the quote expires?

The requester will receive a Quote Status Report (35=AI) with 297 (QuoteStatus)=7 to indicate that the quote has expired, followed by a quote with 18610 (QuotingStatus)=3 indicating that the status of the quote is closed and inactive.

Example:

Recv:
8=FIX.4.2|9=00699|35=AI|49=TT_OR|56=Session123|34=4939|50=5498|142=SG|52=20241009-07:12:45.799|129=SubID123|131=1352684282|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:12:45.760478|18605=5|1461=1|1462=TTGXVZZZ003|18606=bf4cf083-642f-4528-8571-bd8803f4cd9e|18607=1|297=7|16963=3|276=B|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=111|

Recv:
8=FIX.4.2|9=00801|35=S|49=TT_OR|56=Session123|34=4940|52=20241009-07:12:45.799|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|1028=Y|132=5150|133=5155|134=5000|135=5000|1462=TTGXVZZZ003|18606=bf4cf083-642f-4528-8571-bd8803f4cd9e|18610=3|18607=1|18608=e3064549-3f8b-4b07-a4c2-96d0fd514010|16963=2|18609=1|60=20241009-07:12:45.762545|58=Purging EnLight / SRFQ market quotes for closed/expired SRFQ negotiation_id=bf4cf083-642f-4528-8571-bd8803f4cd9e|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=092|

(back to top)