Legacy RFQ

Legacy RFQ is for requesters whose systems don't read the order book. It is a request with 537=1 sent from a connection set up for it. On top of the usual flow, OpenYield sends you the responses as quotes on RQ, and you accept one with a QuoteResponse (35=AJ). It needs special configuration and separate certification for your connection (see Request for Quote Issuer).

What happens

  1. You send a QuoteRequest (35=R) with 537=1, as in Initiate a New Request for Order. A price (44) is optional. If you send one, it also goes on the book as a limit 5 seconds after the request, as for a Summon with a limit.
  2. 5 seconds after your request, OpenYield sends you each response to this request once, as a Quote (35=S) on RQ, in its state at that moment. Each has a new QuoteID (117) and no responder identity. A response updated before then is sent as updated; one cancelled before then is sent with price and size 0. Later responses, updates and cancels are not forwarded. See Quotes Forwarded to the Requester.
  3. Each forwarded quote's ValidUntilTime (62) is the time it was forwarded plus 25 seconds, about 30 seconds after your request.
  4. To trade, accept a forwarded quote with a QuoteResponse (35=AJ, 694=1). See Accept a Forwarded Quote.

Accepting is not a locked trade. An accept becomes a new limit order on the book, for the size and price on your QuoteResponse (price 0 means the quote's price). It fills against whatever is on the book at that price or better: more than one response, or none if the quotes have moved. Fills arrive on TR and DC.

After 30 seconds. If your connection is set up for it, OpenYield cancels what's left of your limit 30 seconds after the request. Otherwise it stays on the book until you cancel it.

Updates and cancels of the request work as for a Summon with a limit: see Update and Cancel. For all the timings, see Getting Started with Summon.