Extension of quoting message flows to support the industry initiative to accelerate the adoption of FIX for Fixed Income.

The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of best practices document focuses on the use of FIX 5.0 SP2+ for the pre-trade and trade activities for CDS and IRS securities between the banks (dealer) and the Swap Execution Facilities (SEFs). As a result of this effort some gaps have been identified which are being closed with this extension.

The quote/negotiation model between SEFs and banks requires that under certain situations the QuoteStatusReport would be a bidirectional message given the current message usage definition of the message. A new message, QuoteAck, is being introduced to avoid having a bidirectional message in these flows. The QuoteAck message will only be used in the FIX message flows that support the negotiation dialog between parties where the issuer of the quote (e.g. the broker/dealer) governs the status of the quote.

The QuoteAck message does not supplant the use of QuoteStatusReport by centralized exchange quote models, where the exchange is the final arbiter of the status of a given quote. This is a very important distinction being made to ensure that the introduction of the QuoteAck does not disrupt existing exchange centric quote model implementations. The QuoteAck will be used to respond to a Quote and a QuoteCancel message to either accept or reject those messages.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2012-12-03] FIXML Schema and FIX Repository updated to resolve schema validation errors reported.

[Updated 2012-06-25] Update of repository and FIXML Schema due to correction of EP131.

[Updated 2012-06-18] Added ASBUILT document, FIXML Schema and FIX Repository.

Files list:
GFIC QuoteAcknowledgement Proposal Rev.0.7_ASBUILT.pdf

Total Files3
File Size1.63 MB
Create DateJune 20, 2017