Request for Order Trading
The Request for Order (RFO) protocol is OpenYield’s real-time, fully automated RFQ workflow. It lets subscribers with existing RFQ systems access OpenYield’s algo-driven liquidity with minimal changes, while bringing full pre-trade transparency to an otherwise opaque process. All RFO trading is pre-trade anonymous.
How it works
- A subscriber sends a Request message to OpenYield, which distributes it to registered responders. QuoteType (537) is 0 for a Summon, or 1 for a Summon with a limit, which carries the requester's price.
- Responders post Quotes directly onto the live order book, for up to 30 seconds after the request.
- 5 seconds after the request, a Summon with a limit is entered on the order book as a Limit Order at that price. Any crossing orders execute immediately.
- 30 seconds after the request, OpenYield removes any remaining responses and limits, for connections set up for it.
See Getting Started with Summon for the details.
Differences from conventional RFQ
| Summon (RFO) | Conventional RFQ | |
|---|---|---|
| Price | Set by the requester on a Summon with a limit; not disclosed to responders | Not applicable |
| Quote visibility | Populates the live order book in real time | Withheld until the request closes |
| Execution | Fully automated | Manual |
| Elapsed time | Responses accepted for 30 seconds; the limit of a Summon with a limit goes on the book at 5 seconds | Minutes to an hour |
| Mid-process changes | Requesters can update quantity and price, or cancel; responders can update or cancel until 30 seconds after the request | Generally not supported |
Summon Liquidity
For systems that display a live order book, OpenYield offers the Summon (537=0), which signals liquidity-provider algos to post prices into the book immediately. Responders can reply via the RFO protocol or post directly to the order book — in the latter case they are responsible for maintaining and canceling their own orders. This ensures that a sparse order book for low-liquidity bonds or municipal bonds is only a temporary condition.