Cash RFQ FIX: no difference in OneWay, Undisclosed and TwoWay RFQs

Yevheniia Kharakozova

Hi

I'm sending requests using QuickTrade:

OneWay request:

8=FIX.4.4|9=586|35=R|49=...|56=...|34=3|52=20220819-12:08:46.768|131=137505799|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|54=1|167=FXSPOT|31992=2|9234=N|1913=1|15=EUR|9240=N|453=3|...|

555=1|

654=1|687=44000.00|556=EUR|624=1|588=20220823|675=EUR|6215=SPOT|30255=5493004U2OZSNOP2ML97137505799L0|30463=N|600=EUR/USD|609=FXSPOT|

670=1|672=0|671=RFQ1|9252=5493004U2OZSNOP2ML97137505799L0A0|9255=LEIACCT1012345678900|673=44000.00|9212=1|1367=EUR|

60=20220819-12:08:46.761|10=244|

Undisclosed:

8=FIX.4.4|9=568|35=R|49=...|56=...|34=8|52=20220819-12:10:38.398|131=137509171|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXSPOT|31992=2|9234=N|1913=1|15=EUR|9240=N|453=3|...|

555=1|

654=1|687=44000.00|556=EUR|588=20220823|675=EUR|6215=SPOT|30255=5493004U2OZSNOP2ML97137509171L0|30463=N|600=EUR/USD|609=FXSPOT|

670=1|672=0|671=RFQ1|9252=5493004U2OZSNOP2ML97137509171L0A0|9255=LEIACCT1012345678900|673=44000.00|1367=EUR|

60=20220819-12:10:38.392|10=168|

And 2Way one:

8=FIX.4.4|9=569|35=R|49=...|56=...|34=12|52=20220819-12:11:57.465|131=137509843|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXSPOT|31992=2|9234=N|1913=1|15=EUR|9240=N|453=3|...|

555=1|

654=1|687=44000.00|556=EUR|588=20220823|675=EUR|6215=SPOT|30255=5493004U2OZSNOP2ML97137509843L0|30463=N|600=EUR/USD|609=FXSPOT|

670=1|672=0|671=RFQ1|9252=5493004U2OZSNOP2ML97137509843L0A0|9255=LEIACCT1012345678900|673=44000.00|1367=EUR|

60=20220819-12:11:57.458|10=232|

According to the specification doc:

I expect to get 54=1 for the first (OneWay) case, but we don't.

Actually all three requests looks the same, the only difference is presence of tag LegAllocSide(9212) in the first case

Could you please advise the correct way I can determine if request is 2way of one-way?

Thanks

cashrfqfix

Hi @Yevheniia Kharakozova,

For One way, tag 54=1 was in the message as underlined:

8=FIX.4.4|9=586|35=R|49=...|56=...|34=3|52=20220819-12:08:46.768|131=137505799|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|54=1|167=FXSPOT|31992=2|9234=N|1913=1|15=EUR|9240=N|453=3|...|

555=1|

654=1|687=44000.00|556=EUR|624=1|588=20220823|675=EUR|6215=SPOT|30255=5493004U2OZSNOP2ML97137505799L0|30463=N|600=EUR/USD|609=FXSPOT|

670=1|672=0|671=RFQ1|9252=5493004U2OZSNOP2ML97137505799L0A0|9255=LEIACCT1012345678900|673=44000.00|9212=1|1367=EUR|

60=20220819-12:08:46.761|10=244|

Regarding undisclosed and 2 ways:

The FIX messages for 2Way RFQ and Undisclosed RFQ would not differ from each other as undisclosed is only affected by what the client is able to do on the UI(either select predefined side or decide the side after receiving quotes).

Regardless, whether the client requests 2Way RFQ or Undisclosed RFQ, providers will always provide two sides of the quote to the client. Hence, the two messages would be identical and tag 54 is not needed.

Side note
Undisclosed RFQ:
On an Undisclosed Request for Quote you must pre-select the direction. RFQs for both directions are sent to the bank. You are only allowed to trade on the pre-selected direction.

This is for clients who only want to trade on their pre-selected side and want to see the bid / ask spread. They are only allowed to trade on the pre-selected side, so they do not accidentally select the wrong side.


On a Two-Way Request For Quote the "Sell Buy" toggle button does not exist since both Sell and Buy RFQs will be generated. You can execute in either direction.

Please email us - CashRFQFIX@lseg.com if you have further question.