The Quote (S) message is used as the response to a Quote Request (R) or a Quote Response (AJ) message in both indicative, tradeable, and restricted tradeable quoting markets.
In tradeable and restricted tradeable quoting models, the market maker sends quotes into a market as opposed to sending quotes directly to a counterparty.
For Fixed Income in the indicative and tradeable quoting models, the quotes are typically sent directly to an interested counterparty as opposed to a market place. See Volume 7 - PRODUCT: FIXED INCOME for specific descriptions and usage details.
The quote (S) message can be used to send unsolicited quotes in both indicative, tradeable, and restricted tradeable quoting markets
The quote (S) message contains a quote for a single product.
If the issuer of the quote requires a response (e.g. notification that the quote (S) message has been accepted) then the QuoteResponseLevel (301) field should be populated on the quote (S) message - the response would be made using the Quote Status Report (AI) message
The quote should not be used in tradeable and restricted tradeable quoting markets, such as electronic trading systems, to broadcast quotes to market participants. The recommended approach to reporting market state changes that result from quotes received by a market is to use the market data messages.
Quotes supplied as the result of a Quote Request (R) message will specify the appropriate QuoteReqID (131) , unsolicited quotes can be identified by the absence of a QuoteReqID (131) .
If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:
Orders can be generated based on Quotes. Quoted orders include the QuoteID (117) and are OrdType (40) =Previously Quoted
The time in force for a quote is determined by agreement between counterparties.
A quote can be canceled either using the Quote Cancel (Z) message or by sending a quote (S) message with bid and offer prices and sizes all set to zero ( BidPx (132) , OfferPx (133) , BidSize (134) , OfferSize (135) )
| Tag | Field Name | FIXML | Req'd | Comments | |||
|---|---|---|---|---|---|---|---|
| <Standard Message Header> | Y | MsgType = S | |||||
| 131 | QuoteReqID | @ReqID | N | Required when quote is in response to a Quote Request (R) message | |||
| 117 | QuoteID | @QID | Y | ||||
| 693 | QuoteRespID | @RspID | N | Required when responding to the Quote Response (AJ) message. The counterparty specified ID of the Quote Response (AJ) message. | |||
| 537 | QuoteType | @Typ | N | Quote Type. If not specified, the default is an indicative quote | |||
| 735 | NoQuoteQualifiers | QuotQual | N | ||||
| => | 695 | QuoteQualifier | @Qual | C | Required if NoQuoteQualifiers (735) > 0 | ||
| 301 | QuoteResponseLevel | @RspLvl | N | Level of Response requested from receiver of quote messages. | |||
| <Parties> | N | ||||||
| 336 | TradingSessionID | @SesID | N | ||||
| 625 | TradingSessionSubID | @SesSub | N | ||||
| <Instrument> | Y | ||||||
| <Financing Details> | N | ||||||
| 711 | NoUnderlyings | Undly | N | Number of underlyings | |||
| => | <Underlying Instrument> | C | Must be provided if Number of underlyings > 0 | ||||
| 54 | Side | @Side | C | Required for Tradeable or Counter quotes of single instruments | |||
| <Order Qty Data> | C | Required for Tradeable quotes or Counter quotes of single instruments | |||||
| 63 | SettlType | @SettlTyp | N | ||||
| 64 | SettlDate | @SettlDt | C | Can be used with forex quotes to specify a specific "value date" | |||
| 193 | SettDate2 | @SettlDt2 | N | Can be used with OrdType (40) = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap. | |||
| 192 | OrderQty2 | @Qty2 | N | Can be used with OrdType (40) = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap. | |||
| 15 | Currency | @Ccy | N | Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted. | |||
| <Stipulations> | N | ||||||
| 1 | Account | @Acct | N | ||||
| 660 | AcctIDSource | @AcctIDSrc | N | ||||
| 581 | AccountType | @AcctTyp | N | Type of account associated with the order (Origin). | |||
| 555 | NoLegs | Quot | N | Required for multileg quotes. | |||
| => | <Instrument Leg> | C | Required for multileg quotes. For Swaps one leg is Buy and other leg is Sell. | ||||
| => | 687 | LegQty | @Qty | N | |||
| => | 690 | LegSwapType | @SwapTyp | N | |||
| => | 587 | LegSettlType | @SettlTyp | N | |||
| => | 588 | LegSettlDate | @SettlDt | C | |||
| => | <Leg Stipulations> | N | |||||
| => | <Nested Parties> | N | |||||
| => | 686 | LegPriceType | @PxTyp | C | Represents type of price presented in LegBidPx (681) and LegOfferPx (684) . Required if LegBidPx (681) or LegOfferPx (684) is present. | ||
| => | 681 | LegBidPx | @BidPx | N | |||
| => | 684 | LegOfferPx | @OfrPx | N | |||
| => | <Leg Benchmark Curve Data> | N | |||||
| 132 | BidPx | @BidPx | C | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx (132) , OfferPx (133) or both must be specified. | |||
| 133 | OfferPx | @OfrPx | C | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx (132) , OfferPx (133) or both must be specified. | |||
| 645 | MktBidPx | @MktBidPx | N | Can be used by markets that require showing the current best bid and offer | |||
| 646 | MktOfferPx | @MktOfrPx | N | Can be used by markets that require showing the current best bid and offer | |||
| 647 | MinBidSize | @MinBidSz | N | Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size. | |||
| 134 | BidSize | @BidSz | N | Specifies the bid size. If MinBidSize (647) is specified, BidSize (134) is interpreted to contain the maximum bid size. | |||
| 648 | MinOfferSize | @MinOfrSz | N | Specifies the minimum offer size. If MinOfferSize (648) is specified, OfferSize (135) is interpreted to contain the maximum offer size. | |||
| 135 | OfferSize | @OfrSz | N | Specified the offer size. If MinOfferSize (648) is specified, OfferSize (135) is interpreted to contain the maximum offer size. | |||
| 62 | ValidUntilTime | @ValidUntilTm | N | The time when the quote will expire. | |||
| 188 | BidSpotRate | @BidSpotRt | N | May be applicable for F/X quotes. | |||
| 190 | OfferSpotRate | @OfrSpotRt | N | May be applicable for F/X quotes. | |||
| 189 | BidForwardPoints | @BidFwdPnts | N | May be applicable for F/X quotes. | |||
| 191 | OfferForwardPoints | @OfrFwdPnts | N | May be applicable for F/X quotes. | |||
| 631 | MidPx | @MidPx | N | ||||
| 632 | BidYield | @BidYld | N | ||||
| 633 | MidYield | @MidYld | N | ||||
| 634 | OfferYield | @OfrYld | N | ||||
| 60 | TransactTime | @TxnTm | N | ||||
| 40 | OrdType | @OrdTyp | N | Can be used to specify the type of order the quote is for | |||
| 642 | BidForwardPoints2 | @BidFwdPnts2 | N | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value | |||
| 643 | OfferForwardPoints2 | @OfrFwdPnts2 | N | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value | |||
| 656 | SettlCurrBidFxRate | @SettlCurrBidFxRt | N | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this quote message | |||
| 657 | SettlCurrOfferFxRate | @SettlCurrOfrFxRt | N | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this quote message | |||
| 156 | SettlCurrFxRateCalc | @SettlCurrFxRtCalc | N | Can be used when the quote is provided in a currency other than the instruments trading currency. | |||
| 13 | CommType | @CommTyp | N | Can be used to show the counterparty the commission associated with the transaction. | |||
| 12 | Commission | @Comm | N | Can be used to show the counterparty the commission associated with the transaction. | |||
| 582 | CustOrderCapacity | @CustCpcty | N | For Futures Exchanges | |||
| 100 | ExDestination | @ExDest | N | Used when routing quotes to multiple markets | |||
| 528 | OrderCapacity | @Cpcty | N | ||||
| 423 | PriceType | @PxTyp | N | ||||
| <Spread or Benchmark Curve Data> | N | ||||||
| <Yield Data> | N | ||||||
| 58 | Text | @Txt | N | ||||
| 354 | EncodedTextLen | @EncTxtLen | C | Must be set if EncodedText (355) field is specified and must immediately precede it. | |||
| 355 | EncodedText | @EncTxt | C | Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. | |||
| <Standard Message Trailer> | Y | ||||||
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