FIX Strategy Creation and RFQ Support

Overview

TT FIX Order Router supports submitting Security Definition Request (Tag 35=c) messages to create strategies and Quote Request (Tag 35=R) messages for Request for Quote (RFQ) functionality.

Strategy Creation

The Security Definition Request (Tag 35=c) defines a specific security at the exchange. You can define a multileg security made up of one or more instrument legs.

Once you submit the request, TT detects if the security already exists in the system and sends a Security Definition (Tag 35=d) message for the instrument. If the instrument does not exist, the FIX Order Routing service forwards the request and waits for a response from the exchange.

Strategy Creation – Success

When an instrument is created successfully, FIX Order Routing service responds with a Security Definition (Tag 35=d) message with the SecurityResponseType (Tag 323) set to either:

323=1: Accept Instrument proposal as-is

— or —

323=2: Accept Instrument proposal w/ changes indicated

Strategy Creation – Reject

If the instrument is not created successfully, the FIX Order Routing service responds with a Security Definition (Tag 35=d) message and SecurityResponseType (Tag 323) set to:

323=5: Reject Instrument Proposal

Security Definition Changes

The Security Definition Request (Tag 35=c) message has been updated to match the Instrument and InstrumentLeg components as defined on the Security Definition (Tag 35=d) message.

Request for Quote (RFQ)

The Quote Request (Tag 35=R) message is used to submit Request for Quotes (RFQs) from market makers and brokers in the marketplace prior placing an order. This occurs commonly for multileg strategies where there is insufficient liquidity to get the best price for the instrument.

Request for Quote – Success

For successful RFQ requests, the FIX Order Session sends a Quote Request Response (Tag 35=b) message with the following values:

QuoteAckStatus (Tag 16859): equals 0, “ok”.

Request for Quote – Reject

If the RFQ request is unsuccessful for any reason, the FIX Order Session sends a Quote Request Response (Tag 35=b) message with the following values:

QuoteReqID (Tag 131): equals the unique ID for the request.

QuoteRejectReason (Tag 300): equals the reason for the reject.

Quote Response Changes

Quote response messages (Quote Request (Tag 35=R)) are also sent via the FIX Market Data feed to both API and client applications. Quote responses are not sent over the FIX Order Routing session.

FIX Schema Changes

The following section highlights the specific FIX schema changes to support Strategy Creation and Request for Quote (RFQ) functionality.

Message type (35=c) – SecurityDefinitionRequest

The Security Definition Request (35=c) message sent via the FIX Order Routing Service includes a number of tags to support strategy creation and request for quote functionality. These tags are only included with Order Routing Security Definition Request (35=c) messages and do not appear in the FIX Market Data service.

Message type (35=R) – Quote Request

New message type (35=b) – Quote Request Response (ADDED)