FIX协议解读笔记1----从QUOTATION/NEGOTIATION部分看做市商交易过程

从 FIX 协议的 QUOTATION/NEGOTIATION 部分看做市商交易过程

不再这里详细描述做市商交易的概念和细节内容，概括一下做市商交易的特点：

（1）     做市商承担某一只证券的买进和卖出，利用价差赚取利润。

（2）     做市商需要持续发布有效的买、卖两种报价，投资者可以按报价成交。

（3）     做市商交易增加市场流动性，做市商有市场定价的能力。

在 FIX 协议第三篇“交易前应用消息”里的 QUOTATION/NEGOTIATION 章节，详细描述了报价相关的消息数据定义，同时还描述了一些做市商交易过程的序列。通过学习这些协议的内容，可以更好地了解做市商交易。以下列出这些交易过程序列的例子。

 

1.   FIX-5.0_VOL-3.doc  P27  可交易报价模型

Tradeable Quote Model - Using the RFQ Request

 

First Party		Market		Second Party (usually market maker or specialist)
			ß	RFQ Request Subscribes for Quote Requests for instruments in which party is interested in making markets
Quote Request Submits Quote Requests for instruments	à
		Quote Requests are distributed to subscribers	à	Receives Quote Request
			ß	Quote Sends Quote in response to Quote Request
	ß	Market Data Quote results in change to market – causing Market Data to be distributed

解读：

（1）     Market maker or specialist 指做市商， First Party 指投资者， Market 可以认为是市场电子交易平台。

（2）     RFQ 订阅感兴趣的报价请求消息。

（3）     投资者的报价请求发布到交易平台上，再分发到感兴趣的做市商那里。

（4）     做市商返回报价消息，由交易平台转发给投资者。

 

 

 

2.      FIX-5.0_VOL-3.doc  P43 指示性报价模型

Indicative Quoting Model Message Scenario

First Party		Second Party
QuoteRequest This is an optional first step. Counterparties may agree to provide indicative quotes in a continuous manner.	à	Accepts Quote Request Creates a Quote for the product specified in the Quote Request
Accepts Quote – after examining market indicated in quote decides whether to place a New Order	ß	Send Quote message (can be a one or two sided market). The QuoteReqID should be set to the QuoteReqID from the Quote Request to which this Quote is a response.
New Order –Single – should reference the QuoteID for which the New Order message in which the New Order is a response. The OrdType should be set to previously quoted.	à	Accepts the New Order message. Should be acknowledged as New.
	ß	Sends Execution Report for NEW (Optional)
	ß	Sends Execution Report OrdStatus=FILL if the order is acceptable or Or Send Execution Report OrdStatus=PARTIALLY FILLED Or Send Execution Report OrdStatus=REJECTED

解读：

（1）     First Party 和 Second Party 指交易的双方。

（2）     First Party 发送报价请求给 Second Party ； Second Party 返回报价给 First Party 。

（3）     First Party 收到报价后，发送订单给 Second Party 。

（4）     Second Party 收到订单可以完全成交，不完全成交或者是拒绝。

（5）     这是个普通的交易模式， 和市场上的商品交易过程一样

 

3.      FIX-5.0_VOL-3.doc  P45 可交易报价模型

Tradeable Quote Model - Quote on Demand Message Scenario

First Party		Market		Second Party (usually market maker or specialist)
			ß	Optional Quote Status Request to subscribe for Quote Status for one or more instruments (some markets may chose to configure this out of band).
		Tracks Subscription Requests for each party connected to market NOTE: Some markets may choose to configure subscription and dissemination of Quote Request out-of-band – instead of in-band.	ß	RFQ Request Subscribe for Quote Requests
Quote Request (Optional request for quote if no quote exists in the market)	à	Market checks validity of Quote Request and then sends it to subscribed participants	à	Accepts Quote Request Generates a quote based upon request
		Interprets quotes and applies them to a market Interprets QuoteResponse Level to determine if quote status should be sent back to the quote issuer using a Quote Status Report message with the QuoteStatus field set appropriately Valid quote that changes market should be disseminated using Market Data messages Optional Quote Status Report	ß à	Quote Quote is sent that complies with market requirements.
Receives Market Data Will use Market Data to make market participation and pricing decision	ß	If the Quote is valid and has an impact on the market Market Data is published (NOTE: The process of subscribing for market data is omitted from this example)	à	Receives Market Data Useful in creating subsequent quotes
Sends New Order – Single Receives Execution Report – Pending New (optional) Received Execution Report – NEW	à   ß   ß	Order is matched against other orders and quotes according to market rules. (NOTE: This can be either open-outcry based markets with or without limit book or a fully electronic market)
Receipt of Execution Report – Reporting Fill or Partial Fill	ß	If the order is matched against the tradeable or restricted tradeable quote resulting in a trade – Execution Reports are sent to the counterparties of the trade	à	Receipt of Market Maker side Execution Report reporting Fill against the previously submitted tradeable or restricted tradeable Quote (Optionally can choose to replenish market or wait for next Quote Request)

解读：

（1）     Market maker or specialist 指做市商， First Party 指投资者， Market 可以认为是市场电子交易平台。

（2）     RFQ 订阅感兴趣的报价请求消息。

（3）     投资者的报价请求发布到交易平台上，再分发到感兴趣的做市商那里。

（4）     做市商返回报价消息，由交易平台转发给投资者。

（5）     投资者下订单， 这些订单在市场交易平台里决定能否成交，成交多少。

（6）     市场交易平台把成交报告发给投资者和做市商。

 

Tradeable Quote Model Message Scenario - Continuous markets

 

First Party		Market		Second Party (usually market maker or specialist)
Uses market data to determine market participation and pricing on orders	ß	Market Data is disseminated (NOTE: This may include the need to transmit expected opening prices based upon current state of the book at the opening)	à	Uses market data to create subsequent quotes
		Interprets quotes and applies them to a market Interprets QuoteResponse Level to determine if quote status should be sent back to the quote issuer using a Quote Status Report message with the QuoteStatus field set appropriately Market Data will be generated to report state of the book is changed by the quote Optional Quote Status Report	ß à	Quote Market Makers / Specialist are expected to maintain two sided quotes that comply with market required bid-ask spread and minimum quantities
Receives Market Data Will use Market Data to make market participation and pricing decision	ß	If the Quote is valid and has an impact on the market Market Data is published (NOTE: The process of subscribing for market data is omitted from this example)	à	Receives Market Data Used to create subsequent quotes
Sends New Order – Single Receives Execution Report – Pending New (optional) Received Execution Report – NEW	à   ß   ß	Order is matched against other orders and quotes according to market rules. (NOTE: This can be either open-outcry based markets with or without limit book or a fully electronic market)
Receipt of Execution Report – Reporting Fill or Partial Fill	ß	If the order is matched against the tradeable or restricted tradeable quote resulting in a trade – Execution Reports are sent to the counterparties of the trade	à	Receipt of Market Maker side Execution Report reporting Fill against the previously submitted tradeable or restricted tradeable Quote (Optionally can choose to replenish market or wait for next Quote Request)
		Quote is processed as above – market data is generated – an optional Quote Status Report  message is generated	ß	Replenishes Quote – possibly changing prices and quantities

 

解读：

（1）     Market maker or specialist 指做市商， First Party 指投资者， Market 可以认为是市场电子交易平台。

（2）     做市商接收从市场交易平台发来的市场数据。

（3）     做市商根据市场数据来报价。

（4）     市场将报价信息转发给投资者。

（5）     投资者下订单， 这些订单在市场交易平台里决定能否成交，成交多少。

（6）     市场交易平台把成交报告发给投资者和做市商。

（7）     做市商调整报价。

 

第二种持续双边报价模式要求做市商提供持续的买卖报价。可以看到第一种按需报价模式和第二种持续双边报价模式的下单成交过程一样， 不同的是报价的机制。和指示性报价交易模式的不同在于做市商只能做报价，市场交易平台接收投资者的订单后，按既定规则决定是否成交，成交多少。

 

4.      FIX-5.0_VOL-3.doc  P49  限制性可交易报价模型

Restricted Tradeable Quote Model Message Scenario

First Party		Market		Second Party (usually market maker or specialist)
Uses market data to determine market participation and pricing on orders	ß	Market Data is disseminated (NOTE: This may include the need to transmit expected opening prices based upon current state of the book at the opening)	à	Uses market data to create subsequent quotes
		Interprets quotes and applies them to a market Interprets QuoteResponse Level to determine if quote status should be sent back to the quote issuer using a Quote Status Report message with the QuoteStatus field set appropriately Market Data will be generated to report state of the book is changed by the quote	ß	Quote Market Makers / Specialist are expected to maintain two sided quotes that comply with market required bid-ask spread and minimum quantities
Receives Market Data Will use Market Data to make market participation and pricing decision	ß	If the Quote is valid and has an impact on the market Market Data is published (NOTE: The process of subscribing for market data is omitted from this example)	à	Receives Market Data Used to create subsequent quotes
Sends New Order – Single Receives Execution Report – Pending New (optional) Received Execution Report – NEW	à   ß   ß	Order is matched against other orders and quotes according to market rules. (NOTE: This can be either open-outcry based markets with or without limit book or a fully electronic market)
Receipt of Execution Report – Reporting Fill or Partial Fill	ß	If the order is matched against the tradeable or restricted tradeable quote resulting in a trade – Execution Reports are sent to the counterparties of the trade	à	Receipt of Market Maker side Execution Report reporting Fill against the previously submitted tradeable or restricted tradeable Quote (Optionally can choose to replenish market or wait for next Quote Request)
		Quote is processed as above – market data is generated – an optional quote status message is generated	ß	Replenishes Quote – possibly changing prices and quantities
Sends New Order – Single that is outside the restrictions specified by the market	à	Order is identified as being outside automatic execution parameters. The order is sent to the quote issuer(s)	à	Receives order and decides if the order is acceptable
				Sends back an execution for partial quantity, full quantity, or cancels the order

解读：

（1）     Market maker or specialist 指做市商， First Party 指投资者， Market 可以认为是市场电子交易平台。

（2）     做市商接收从市场交易平台发来的市场数据。

（3）     做市商根据市场数据来报价。

（4）     市场将报价信息转发给投资者。

（5）     投资者下订单， 这些订单在市场交易平台里决定能否成交，成交多少。这里订单成交会有数目和价格上的一些限制。

（6）     市场交易平台把成交报告发给投资者和做市商。

（7）     做市场调整报价。

（8）     投资者还可以发送在限制外的订单给做市商，交易平台不处理这种订单。

（9）     做市商收到这种订单决定是否成交，成交多少，再把成交报告返回投资者。

限制性可交易报价模型可以看作可交易报价模型的一个补充， 两者前面的步骤都一样， 只是限制性可交易报价模型在最后多了两个步骤。 这两个步骤和指示性报价模型的交易机制是一样的。 限制性可交易报价模型可以看作可交易报价模型和指示性报价模型的一个综合。