# What Are the Core Data Points Required for an RTS 28 Report for RFQ-Based Trades? ▴ Question

**Published:** 2025-08-09
**Categories:** Question

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![A dark blue, precision-engineered blade-like instrument, representing a digital asset derivative or multi-leg spread, rests on a light foundational block, symbolizing a private quotation or block trade. This structure intersects robust teal market infrastructure rails, indicating RFQ protocol execution within a Prime RFQ for high-fidelity execution and liquidity aggregation in institutional trading](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-framework-multi-leg-spreads-best-execution-capital-efficiency.jpg)

![Institutional-grade infrastructure supports a translucent circular interface, displaying real-time market microstructure for digital asset derivatives price discovery. Geometric forms symbolize precise RFQ protocol execution, enabling high-fidelity multi-leg spread trading, optimizing capital efficiency and mitigating systemic risk](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-request-for-quote-protocol-high-fidelity-execution-market-microstructure-intelligence-layer.jpg)

## Concept

An RTS 28 report functions as a quantitative ledger of [execution quality](https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). For trades initiated through a [Request for Quote](https://prime.greeks.live/area/request-for-quote/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (RFQ) protocol, this regulatory instrument moves beyond simple trade confirmation, creating a structured data set that reveals the decision-making process behind large or illiquid block transactions. It is a framework for transparency, compelling investment firms to systematically record and disclose not just where they executed a trade, but how the final execution price was determined within a competitive environment.

The core of the [RTS 28](https://prime.greeks.live/area/rts-28/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) mandate for RFQ-based flow is the documentation of choice. It provides a mechanism to analyze the spectrum of [quotes received](https://prime.greeks.live/question/what-are-the-primary-differences-between-firm-quotes-and-last-look-quotes-in-rfq-systems/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), comparing the winning bid or offer against its counterparts, and thereby substantiating the claim of having achieved the best possible outcome for the client under the prevailing market conditions.

The system operates by classifying financial instruments and then demanding a consistent set of disclosures for each class. For an [RFQ](https://prime.greeks.live/area/rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), the critical data points are those that reconstruct the competitive landscape at the moment of execution. This includes the identities of the counterparties that were invited to quote, the quotes they provided, and the timestamps associated with each step of this bilateral price discovery process. This information creates an empirical basis for evaluating the effectiveness of a firm’s [execution policy](https://prime.greeks.live/question/how-should-a-firms-order-execution-policy-define-the-use-cases-for-rfq-versus-lit-market-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

It transforms the abstract principle of “[best execution](https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)” into a series of verifiable data points, allowing for objective analysis by clients, regulators, and internal oversight functions. The process itself generates a powerful feedback loop, enabling firms to refine their counterparty lists and execution protocols based on historical performance data.

> The RTS 28 framework for RFQ trades provides a structured methodology for documenting and verifying execution quality through detailed data reporting.

Understanding this reporting obligation requires a shift in perspective. It is a data-driven defense of execution strategy. The regulation presumes that for any given trade, a range of outcomes was possible, and it places the onus on the investment firm to prove its process for navigating those possibilities was robust and geared towards the client’s best interest.

For [RFQ-based trades](https://prime.greeks.live/question/what-are-the-key-differences-in-securing-a-fix-based-versus-an-api-based-rfq-connection/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), which are by nature conducted away from the continuous order books of lit markets, this formalized disclosure is the primary mechanism for achieving post-trade transparency. It illuminates the opaque process of sourcing liquidity for difficult-to-trade instruments, providing a structured window into the [over-the-counter](https://prime.greeks.live/area/over-the-counter/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (OTC) market landscape.

![A central RFQ aggregation engine radiates segments, symbolizing distinct liquidity pools and market makers. This depicts multi-dealer RFQ protocol orchestration for high-fidelity price discovery in digital asset derivatives, highlighting diverse counterparty risk profiles and algorithmic pricing grids](https://options.greeks.live/wp-content/uploads/2025/07/centralized-digital-asset-rfq-orchestration-for-multi-venue-liquidity-aggregation-and-high-fidelity-execution-across-diverse-counterparties.jpg)

![Symmetrical internal components, light green and white, converge at central blue nodes. This abstract representation embodies a Principal's operational framework, enabling high-fidelity execution of institutional digital asset derivatives via advanced RFQ protocols, optimizing market microstructure for price discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-core.jpg)

## Strategy

![A symmetrical, star-shaped Prime RFQ engine with four translucent blades symbolizes multi-leg spread execution and diverse liquidity pools. Its central core represents price discovery for aggregated inquiry, ensuring high-fidelity execution within a secure market microstructure via smart order routing for block trades](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-prime-os-1.jpg)

## A Framework for Execution Intelligence

Strategically, the RTS 28 reporting obligation for RFQ-based trades is a powerful tool for enhancing a firm’s execution intelligence. The data collected serves as the foundation for a rigorous, quantitative approach to [counterparty management](https://prime.greeks.live/area/counterparty-management/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and execution protocol optimization. By systematically analyzing the required data points, a firm can move beyond subjective assessments of its trading partners and build a scorecard based on empirical evidence.

This allows for a more strategic selection of [liquidity providers](https://prime.greeks.live/area/liquidity-providers/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for specific asset classes and market conditions, ultimately improving the quality of execution. The process of compiling the report becomes a periodic, structured review of a firm’s execution apparatus, revealing patterns in quote competitiveness, response times, and fill rates that would otherwise remain obscured.

The effective use of RTS 28 data involves its integration into a firm’s broader [Transaction Cost Analysis](https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) ([TCA](https://prime.greeks.live/area/tca/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)) framework. While the report itself is a regulatory requirement, the underlying data provides the raw material for much deeper analysis. A firm can compare the winning quote not only to other quotes received but also to prevailing market benchmarks at the time of the request. This “quote shortfall” analysis provides a more nuanced measure of execution quality than simply looking at the final trade price.

It quantifies the value generated by the firm’s specific RFQ process and its choice of counterparties, providing a clear metric for demonstrating best execution to clients. This strategic application of the data transforms a compliance exercise into a source of competitive advantage.

![A precision-engineered interface for institutional digital asset derivatives. A circular system component, perhaps an Execution Management System EMS module, connects via a multi-faceted Request for Quote RFQ protocol bridge to a distinct teal capsule, symbolizing a bespoke block trade](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-interface-for-institutional-digital-asset-derivatives-request-for-quote-protocol-high-fidelity-execution-within-principal-operating-system.jpg)

## Data Segmentation and Analysis

A critical component of an effective RTS 28 strategy is the proper segmentation of data by [financial instrument class](https://prime.greeks.live/question/how-does-the-liquidity-and-complexity-of-a-financial-instrument-dictate-the-strategic-choice-between-a-clob-and-an-rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). The regulation requires separate reporting for distinct classes, recognizing that execution quality is context-dependent. The table below outlines a typical classification scheme, which forms the basis for the detailed analysis that follows.

| Financial Instrument Class | Key Characteristics for RFQ | Primary Execution Factors |
| --- | --- | --- |
| Equities ▴ Shares & Depository Receipts (Illiquid) | Large block sizes relative to average daily volume; high price impact risk. | Minimizing information leakage; sourcing natural counterparties. |
| Bonds (Corporate & Sovereign) | Fragmented liquidity across many individual ISINs; sensitivity to credit and interest rate risk. | Access to dealer inventories; speed of execution in volatile markets. |
| Equity Derivatives (Options & Futures) | Multi-leg structures; dependence on underlying volatility and liquidity. | Competitive pricing on the entire spread; certainty of execution. |
| Other Instruments (e.g. Structured Products) | Bespoke, highly illiquid instruments with complex payoffs. | Access to specialized desks; ability to price complex risk factors. |

For each of these classes, a firm must develop a tailored strategy for collecting and analyzing RFQ data. The following list outlines the key analytical steps:

- **Counterparty Performance Measurement** ▴ Systematically track the competitiveness of quotes from each liquidity provider. This includes calculating the frequency with which a counterparty provides the best quote and the average spread of their quotes relative to the winning price.

- **Response Time Analysis** ▴ Monitor the time it takes for counterparties to respond to RFQs. Slow response times can be a significant source of slippage in fast-moving markets.

- **Fill Rate Monitoring** ▴ Analyze the frequency with which counterparties honor their quotes. A high rate of “last look” rejections can indicate a problem with a counterparty’s pricing engine or risk management.

- **[Execution Venue](https://prime.greeks.live/question/how-does-the-choice-of-execution-venue-impact-best-execution-documentation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Analysis** ▴ For firms using multi-dealer RFQ platforms, the platform itself is considered the execution venue. The RTS 28 report must identify these platforms as the top venues for executing RFQ-based trades.

> Leveraging RTS 28 data for internal analysis transforms a regulatory requirement into a continuous process for refining execution strategy and counterparty relationships.

![A precision-engineered blue mechanism, symbolizing a high-fidelity execution engine, emerges from a rounded, light-colored liquidity pool component, encased within a sleek teal institutional-grade shell. This represents a Principal's operational framework for digital asset derivatives, demonstrating algorithmic trading logic and smart order routing for block trades via RFQ protocols, ensuring atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/institutional-crypto-derivatives-os-core-algorithmic-execution-engine.jpg)

![A macro view of a precision-engineered metallic component, representing the robust core of an Institutional Grade Prime RFQ. Its intricate Market Microstructure design facilitates Digital Asset Derivatives RFQ Protocols, enabling High-Fidelity Execution and Algorithmic Trading for Block Trades, ensuring Capital Efficiency and Best Execution](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-core-system-for-institutional-digital-asset-derivatives-rfq-protocol-execution-and-advanced-market-microstructure-optimization.jpg)

## Execution

![Internal components of a Prime RFQ execution engine, with modular beige units, precise metallic mechanisms, and complex data wiring. This infrastructure supports high-fidelity execution for institutional digital asset derivatives, facilitating advanced RFQ protocols, optimal liquidity aggregation, multi-leg spread trading, and efficient price discovery](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-core-rfq-engine-for-institutional-digital-asset-options.jpg)

## The Operational Playbook

Implementing a robust data collection and reporting framework for RTS 28 is a systematic process that bridges trading, compliance, and technology functions. The objective is to create a repeatable, auditable workflow that ensures the accuracy and completeness of the final report. This process can be broken down into a series of distinct operational steps, forming a playbook for any firm handling RFQ-based orders.

- **Data Point Identification and Mapping** ▴ The initial step involves a comprehensive mapping of every required data field in the RTS 28 report to its source system within the firm’s technology stack. This requires close collaboration between the trading desk, which understands the RFQ workflow, and the IT department, which manages the underlying systems (e.g. EMS, OMS).

- **Automated Data Capture** ▴ Wherever possible, the capture of RTS 28 data should be automated. For RFQ-based trades, this means configuring the firm’s EMS or RFQ platform to log all relevant events, including the timestamp of the initial request, the identity of each counterparty invited to quote, the full details of each quote received (price, quantity, and timestamp), and the [final execution](https://prime.greeks.live/question/how-does-information-leakage-in-an-rfq-impact-the-final-execution-price-for-large-orders/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) details. Manual data entry should be minimized to reduce the risk of errors.

- **Data Enrichment and Validation** ▴ Once the raw data is captured, it often needs to be enriched with additional information. This might include mapping counterparty identifiers to their legal entity identifiers (LEIs) or classifying the trade according to the correct [financial instrument](https://prime.greeks.live/question/how-does-the-liquidity-and-complexity-of-a-financial-instrument-dictate-the-strategic-choice-between-a-clob-and-an-rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) class. A validation layer should be implemented to check for missing or anomalous data points before they are stored.

- **Centralized Data Warehousing** ▴ All RTS 28-related data should be stored in a centralized repository. This creates a single source of truth for all best execution reporting and analysis, simplifying the process of generating the final report and enabling deeper, ad-hoc analysis by the firm’s quantitative teams.

- **Report Generation and Review** ▴ The final step is the generation of the report in the prescribed machine-readable format (typically XML). This process should be automated, pulling data from the central warehouse and formatting it according to the RTS 28 technical specifications. Before publication, the report should be reviewed and signed off by the firm’s compliance officer and relevant business heads.

![A dynamically balanced stack of multiple, distinct digital devices, signifying layered RFQ protocols and diverse liquidity pools. Each unit represents a unique private quotation within an aggregated inquiry system, facilitating price discovery and high-fidelity execution for institutional-grade digital asset derivatives via an advanced Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/dynamic-rfq-protocol-stacks-powering-institutional-digital-asset-derivatives-liquidity-aggregation-and-best-execution.jpg)

## Quantitative Modeling and Data Analysis

The core of the RTS 28 report is the quantitative data that substantiates a firm’s best execution claims. For RFQ-based trades, this data must reconstruct the competitive environment of the trade. The following table details the essential data points required for a comprehensive report, along with their typical source and significance in the context of an RFQ workflow.

| Data Point | Regulatory Definition | Data Type | Typical Source System | Application to RFQ-Based Trades |
| --- | --- | --- | --- | --- |
| Execution Venue (Top 5) | The platform or entity where the trade was executed. | LEI | EMS/RFQ Platform | For RFQs, this is typically the multi-dealer platform used, or the firm itself if acting as a systematic internaliser. |
| Volume of Orders | Total number of orders executed on the venue. | Integer | OMS/Trade Blotter | Provides a measure of how frequently a particular RFQ venue is used. |
| Value of Orders | Total value of orders executed on the venue. | Decimal | OMS/Trade Blotter | Indicates the economic significance of a venue to the firm’s RFQ flow. |
| Passive Orders | Orders that provided liquidity. | Percentage | EMS/TCA System | In an RFQ context, the winning quote provider is considered to have provided liquidity. |
| Aggressive Orders | Orders that took liquidity. | Percentage | EMS/TCA System | The firm initiating the RFQ is the aggressive party in the trade. |
| Directed Orders | Orders where the client specified the execution venue. | Percentage | OMS | Less common for RFQ-based trades, but must be tracked if applicable. |
| Best Execution Factors | A summary of how the firm prioritized execution factors (e.g. price, speed, likelihood of execution). | Text | Compliance/Policy Docs | A qualitative summary that must be supported by the quantitative data. |

> The granular data collected for RTS 28 provides the empirical foundation for a dynamic and quantitatively rigorous best execution policy.

![A polished, dark blue domed component, symbolizing a private quotation interface, rests on a gleaming silver ring. This represents a robust Prime RFQ framework, enabling high-fidelity execution for institutional digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/08/optimized-execution-for-institutional-digital-asset-derivatives-rfq.jpg)

## Predictive Scenario Analysis

Consider the case of a portfolio manager at a long-only asset management firm who needs to sell a large, illiquid position in a small-cap European stock. The order size is equivalent to five times the average daily trading volume, meaning that executing on a lit exchange would cause significant market impact and price deterioration. The firm’s execution policy dictates that such trades should be handled via an RFQ to a select group of trusted liquidity providers who specialize in this type of block trade.

The trader initiates an RFQ through the firm’s EMS, inviting five dealers to provide a quote for the full size of the order. The EMS automatically logs the timestamp of the request and the LEIs of the five dealers. Over the next few minutes, four of the five dealers respond with quotes. The EMS records the price, quantity, and timestamp for each response.

The fifth dealer declines to quote, an event that is also logged. The trader analyzes the four quotes received and executes against the one offering the highest price. The final execution details, including the winning counterparty’s LEI, the execution price, and the timestamp, are all captured automatically.

When the firm compiles its annual RTS 28 report, the data from this single trade provides a rich narrative of best execution. The report will show that for this class of financial instrument (illiquid equities), the firm used a specific RFQ platform as one of its top five execution venues. The quantitative data will demonstrate that the firm solicited competitive quotes from multiple providers and executed at the best available price.

The qualitative summary of the firm’s execution policy will explain why the RFQ protocol was chosen for this trade, highlighting the importance of minimizing market impact. This single, well-documented trade becomes a powerful piece of evidence in the firm’s broader case for having a robust and effective best execution framework.

![A sleek, futuristic institutional-grade instrument, representing high-fidelity execution of digital asset derivatives. Its sharp point signifies price discovery via RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/precision-rfq-execution-engine-for-institutional-digital-asset-derivatives.jpg)

## System Integration and Technological Architecture

A successful RTS 28 reporting process depends on a well-designed technological architecture that ensures the seamless flow of data from the point of execution to the final report. The central component of this architecture is typically the firm’s Order or Execution Management System (OMS/EMS). These systems must be configured to capture the full lifecycle of an RFQ trade, from the initial request to the final fill.

For firms that rely on the [Financial Information eXchange](https://prime.greeks.live/area/financial-information-exchange/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (FIX) protocol for their trading communications, specific FIX tags are essential for capturing the necessary data. Key tags include:

- ** QuoteReqID (131)** ▴ A unique identifier for the RFQ, allowing all related messages to be linked.

- ** NoRelatedSym (146) / Symbol (55)** ▴ To identify the financial instrument being traded.

- ** NoQuoteEntries (295) / QuoteEntryID (299)** ▴ To track the individual quotes received from different counterparties.

- ** BidPx (132) / OfferPx (133)** ▴ The prices quoted by the counterparties.

- ** TransactTime (60)** ▴ The timestamp of the final execution.

Beyond the trading desk, the architecture must include a data pipeline that extracts this information from the EMS/OMS, transforms it into a consistent format, and loads it into a central data warehouse. This warehouse becomes the definitive source for all [regulatory reporting](https://prime.greeks.live/area/regulatory-reporting/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). Modern reporting solutions often use APIs to connect directly to this warehouse, allowing for the automated generation of the RTS 28 report in the required XML format. This level of system integration minimizes the need for manual intervention, reducing operational risk and ensuring the accuracy and timeliness of the firm’s regulatory disclosures.

![Central polished disc, with contrasting segments, represents Institutional Digital Asset Derivatives Prime RFQ core. A textured rod signifies RFQ Protocol High-Fidelity Execution and Low Latency Market Microstructure data flow to the Quantitative Analysis Engine for Price Discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-core-system-high-fidelity.jpg)

## References

- Commission Delegated Regulation (EU) 2017/576 of 8 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council with regard to regulatory technical standards for the annual publication by investment firms of information on the identity of execution venues and on the quality of execution.

- European Securities and Markets Authority. (2024). ESMA public statement on reporting requirements under RTS 28. ESMA35-42-1793.

- Harris, L. (2003). Trading and Exchanges ▴ Market Microstructure for Practitioners. Oxford University Press.

- O’Hara, M. (1995). Market Microstructure Theory. Blackwell Publishing.

- Financial Conduct Authority. (2021). Changes to UK MiFID’s conduct and organisational requirements. Policy Statement PS21/21.

![A sphere split into light and dark segments, revealing a luminous core. This encapsulates the precise Request for Quote RFQ protocol for institutional digital asset derivatives, highlighting high-fidelity execution, optimal price discovery, and advanced market microstructure within aggregated liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-execution-framework-for-institutional-digital-asset-derivatives-request-for-quote-protocol-optimization.jpg)

## Reflection

![Precisely engineered circular beige, grey, and blue modules stack tilted on a dark base. A central aperture signifies the core RFQ protocol engine](https://options.greeks.live/wp-content/uploads/2025/07/core-prime-os-rfq-engine-digital-asset-derivatives-trading-system-execution.jpg)

## From Mandate to Mechanism

The framework of RTS 28, particularly as it applies to the nuanced environment of RFQ-based trading, presents a unique opportunity. It is a regulatory mandate that, when approached with strategic intent, becomes a powerful internal mechanism for systematic improvement. The data points required are not arbitrary; they are the fundamental components of execution quality, the building blocks of a transparent and defensible trading process. Viewing this data collection as a mere compliance task is a profound miscalculation of its potential value.

The true purpose of this information extends far beyond the submission of an annual report. It is the raw material for a perpetual, data-driven dialogue about execution strategy. How can we refine our counterparty lists? At what point does a request for a fifth quote yield diminishing returns?

How do our execution outcomes in volatile periods compare to those in stable markets? The answers to these questions lie within the data that RTS 28 compels firms to collect. By building an operational architecture that not only captures this data but also facilitates its analysis, a firm transforms a regulatory obligation into a core component of its institutional intelligence, creating a durable, data-driven edge in the pursuit of superior execution.

![An advanced RFQ protocol engine core, showcasing robust Prime Brokerage infrastructure. Intricate polished components facilitate high-fidelity execution and price discovery for institutional grade digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-core-for-precision-trading.jpg)

## Glossary

<a href="https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated mechanism features a segmented disc, indicating dynamic market microstructure and liquidity pool partitioning. This system visually represents an RFQ protocol's price discovery process, crucial for high-fidelity execution of institutional digital asset derivatives and managing counterparty risk within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/advanced-digital-asset-derivatives-rfq-liquidity-aggregation-system.jpg)

## Execution Quality

Meaning ▴ Execution Quality quantifies the efficacy of an order's fill, assessing how closely the achieved trade price aligns with the prevailing market price at submission, alongside consideration for speed, cost, and market impact. </a><a href="https://prime.greeks.live/area/request-for-quote/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Polished metallic pipes intersect via robust fasteners, set against a dark background. This symbolizes intricate Market Microstructure, RFQ Protocols, and Multi-Leg Spread execution](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-metallic-nodes-illustrating-rfq-protocols-for-multi-leg-digital-asset-derivatives-institutional-execution.jpg)

## Request for Quote

Meaning ▴ A Request for Quote, or RFQ, constitutes a formal communication initiated by a potential buyer or seller to solicit price quotations for a specified financial instrument or block of instruments from one or more liquidity providers. </a><a href="https://prime.greeks.live/question/what-are-the-primary-differences-between-firm-quotes-and-last-look-quotes-in-rfq-systems/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intricate dark circular component with precise white patterns, central to a beige and metallic system. This symbolizes an institutional digital asset derivatives platform's core, representing high-fidelity execution, automated RFQ protocols, advanced market microstructure, the intelligence layer for price discovery, block trade efficiency, and portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-core.jpg)

## Quotes Received

Firm quotes offer binding execution certainty, while last look quotes provide conditional pricing with a final provider-side rejection option. </a><a href="https://prime.greeks.live/area/rts-28/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract geometric planes in teal, navy, and grey intersect. A central beige object, symbolizing a precise RFQ inquiry, passes through a teal anchor, representing High-Fidelity Execution within Institutional Digital Asset Derivatives](https://options.greeks.live/wp-content/uploads/2025/07/rfq-protocols-for-digital-asset-derivatives-high-fidelity-execution-liquidity-aggregation-price-discovery-market-microstructure.jpg)

## Rts 28

Meaning ▴ RTS 28 refers to Regulatory Technical Standard 28 under MiFID II, which mandates investment firms and market operators to publish annual reports on the quality of execution of transactions on trading venues and for financial instruments. </a><a href="https://prime.greeks.live/question/how-should-a-firms-order-execution-policy-define-the-use-cases-for-rfq-versus-lit-market-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central teal column embodies Prime RFQ infrastructure for institutional digital asset derivatives. Angled, concentric discs symbolize dynamic market microstructure and volatility surface data, facilitating RFQ protocols and price discovery](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-protocol-alpha-generation-execution.jpg)

## Execution Policy

An execution policy defines RFQ vs. </a><a href="https://prime.greeks.live/area/rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Luminous, multi-bladed central mechanism with concentric rings. This depicts RFQ orchestration for institutional digital asset derivatives, enabling high-fidelity execution and optimized price discovery](https://options.greeks.live/wp-content/uploads/2025/07/optimized-digital-asset-derivatives-rfq-protocol-execution-engine.jpg)

## Rfq

Meaning ▴ Request for Quote (RFQ) is a structured communication protocol enabling a market participant to solicit executable price quotations for a specific instrument and quantity from a selected group of liquidity providers. </a><a href="https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central glowing blue mechanism with a precision reticle is encased by dark metallic panels. This symbolizes an institutional-grade Principal's operational framework for high-fidelity execution of digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/precision-core-enabling-institutional-digital-asset-derivatives-rfq-execution.jpg)

## Best Execution

Meaning ▴ Best Execution is the obligation to obtain the most favorable terms reasonably available for a client's order. </a><a href="https://prime.greeks.live/question/what-are-the-key-differences-in-securing-a-fix-based-versus-an-api-based-rfq-connection/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![The image depicts two intersecting structural beams, symbolizing a robust Prime RFQ framework for institutional digital asset derivatives. These elements represent interconnected liquidity pools and execution pathways, crucial for high-fidelity execution and atomic settlement within market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-cross-market-execution-architecture-for-digital-assets.jpg)

## Rfq-Based Trades

The core difference lies in FIX's standardized, session-based security versus the flexible, developer-driven security of APIs. </a><a href="https://prime.greeks.live/area/over-the-counter/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sleek, dark grey mechanism, pivoted centrally, embodies an RFQ protocol engine for institutional digital asset derivatives. Diagonally intersecting planes of dark, beige, teal symbolize diverse liquidity pools and complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-powering-high-fidelity-execution-for-multi-leg-spreads-portfolio-margin-and-atomic-settlement-via-prime-os-for-block-trades.jpg)

## Over-The-Counter

Meaning ▴ Over-the-Counter refers to a decentralized market where financial instruments are traded directly between two parties, bypassing a centralized exchange or public order book. </a><a href="https://prime.greeks.live/area/counterparty-management/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intricate metallic components signify system precision engineering. These structured elements symbolize institutional-grade infrastructure for high-fidelity execution of digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-precision-engineering-for-high-fidelity-execution-and-latency-optimization.jpg)

## Counterparty Management

Meaning ▴ Counterparty Management is the systematic discipline of identifying, assessing, and continuously monitoring the creditworthiness, operational stability, and legal standing of all entities with whom an institution conducts financial transactions. </a><a href="https://prime.greeks.live/area/liquidity-providers/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central dark aperture, like a precision matching engine, anchors four intersecting algorithmic pathways. Light-toned planes represent transparent liquidity pools, contrasting with dark teal sections signifying dark pool or latent liquidity](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-9.jpg)

## Liquidity Providers

Meaning ▴ Liquidity Providers are market participants, typically institutional entities or sophisticated trading firms, that facilitate efficient market operations by continuously quoting bid and offer prices for financial instruments. </a><a href="https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Close-up of intricate mechanical components symbolizing a robust Prime RFQ for institutional digital asset derivatives. These precision parts reflect market microstructure and high-fidelity execution within an RFQ protocol framework, ensuring capital efficiency and optimal price discovery for Bitcoin options](https://options.greeks.live/wp-content/uploads/2025/07/engineered-core-systems-driving-institutional-digital-asset-derivatives-rfq-protocol-execution.jpg)

## Transaction Cost Analysis

Meaning ▴ Transaction Cost Analysis (TCA) is the quantitative methodology for assessing the explicit and implicit costs incurred during the execution of financial trades. </a><a href="https://prime.greeks.live/area/tca/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A polished metallic needle, crowned with a faceted blue gem, precisely inserted into the central spindle of a reflective digital storage platter. This visually represents the high-fidelity execution of institutional digital asset derivatives via RFQ protocols, enabling atomic settlement and liquidity aggregation through a sophisticated Prime RFQ intelligence layer for optimal price discovery and alpha generation](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-optimization-for-high-fidelity-execution-and-liquidity-aggregation-via-prime-os-intelligence-layer.jpg)

## Tca

Meaning ▴ Transaction Cost Analysis (TCA) represents a quantitative methodology designed to evaluate the explicit and implicit costs incurred during the execution of financial trades. </a><a href="https://prime.greeks.live/question/how-does-the-liquidity-and-complexity-of-a-financial-instrument-dictate-the-strategic-choice-between-a-clob-and-an-rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated teal and black device with gold accents symbolizes a Principal's operational framework for institutional digital asset derivatives. It represents a high-fidelity execution engine, integrating RFQ protocols for atomic settlement](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-core-engine-for-best-execution.jpg)

## Financial Instrument Class

The liquidity and complexity of an instrument dictate whether to use a CLOB for transparent price discovery or an RFQ for discreet price construction. </a><a href="https://prime.greeks.live/question/how-does-the-choice-of-execution-venue-impact-best-execution-documentation/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A transparent, precisely engineered optical array rests upon a reflective dark surface, symbolizing high-fidelity execution within a Prime RFQ. Beige conduits represent latency-optimized data pipelines facilitating RFQ protocols for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-system-architecture.jpg)

## Execution Venue

Venue selection dictates the available evidence, transforming best execution documentation from a compliance task into a quantifiable record of strategic intent. </a><a href="https://prime.greeks.live/question/how-does-information-leakage-in-an-rfq-impact-the-final-execution-price-for-large-orders/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract visualization of institutional RFQ protocol for digital asset derivatives. Translucent layers symbolize dark liquidity pools within complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-6.jpg)

## Final Execution

Information leakage in an RFQ directly inflates execution costs by signaling intent, causing adverse price movement before the large order is filled. </a><a href="https://prime.greeks.live/question/how-does-the-liquidity-and-complexity-of-a-financial-instrument-dictate-the-strategic-choice-between-a-clob-and-an-rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A metallic disc, reminiscent of a sophisticated market interface, features two precise pointers radiating from a glowing central hub. This visualizes RFQ protocols driving price discovery within institutional digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-price-discovery.jpg)

## Financial Instrument

The liquidity and complexity of an instrument dictate whether to use a CLOB for transparent price discovery or an RFQ for discreet price construction. </a><a href="https://prime.greeks.live/area/financial-information-exchange/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, metallic mechanism with a luminous blue sphere at its core represents a Liquidity Pool within a Crypto Derivatives OS. Surrounding rings symbolize intricate Market Microstructure, facilitating RFQ Protocol and High-Fidelity Execution](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-crypto-derivatives-rfq-protocol-core-mechanism.jpg)

## Financial Information Exchange

Meaning ▴ Financial Information Exchange refers to the standardized protocols and methodologies employed for the electronic transmission of financial data between market participants. </a><a href="https://prime.greeks.live/area/regulatory-reporting/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intersecting opaque and luminous teal structures symbolize converging RFQ protocols for multi-leg spread execution. Surface droplets denote market microstructure granularity and slippage](https://options.greeks.live/wp-content/uploads/2025/07/rfq-protocols-for-digital-asset-derivatives-high-fidelity-execution.jpg)

## Regulatory Reporting

Meaning ▴ Regulatory Reporting refers to the systematic collection, processing, and submission of transactional and operational data by financial institutions to regulatory bodies in accordance with specific legal and jurisdictional mandates. </a>

**Tags:** [Transaction Cost Analysis](https://options.greeks.live/area/transaction-cost-analysis/), [FIX Protocol](https://options.greeks.live/area/fix-protocol/), [Regulatory Reporting](https://options.greeks.live/area/regulatory-reporting/), [OTC](https://options.greeks.live/area/otc/), [Liquidity Providers](https://options.greeks.live/area/liquidity-providers/), [Counterparty Management](https://options.greeks.live/area/counterparty-management/)	

## Discover More

- 
### [How Does MiFID II Influence RFQ Counterparty Selection Strategies?](https://options.greeks.live/question/how-does-mifid-ii-influence-rfq-counterparty-selection-strategies/)
![A sophisticated digital asset derivatives RFQ engine's core components are depicted, showcasing precise market microstructure for optimal price discovery. Its central hub facilitates algorithmic trading, ensuring high-fidelity execution across multi-leg spreads. This system supports institutional prime brokerage operations, minimizing counterparty risk.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-optimizing-multi-leg-spreads-for-optimal-capital-efficiency.jpg)

MiFID II transforms RFQ counterparty selection into a data-driven, multi-factor process, mandating a systematic and auditable execution framework.

- 
### [How Can Firms Quantitatively Demonstrate Best Execution for RFQ Trades under the Directive?](https://options.greeks.live/question/how-can-firms-quantitatively-demonstrate-best-execution-for-rfq-trades-under-the-directive/)
![A sophisticated dark-hued institutional-grade digital asset derivatives platform interface, featuring a glowing aperture symbolizing active RFQ price discovery and high-fidelity execution. The integrated intelligence layer facilitates atomic settlement and multi-leg spread processing, optimizing market microstructure for prime brokerage operations and capital efficiency. This represents a robust crypto derivatives OS.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-crypto-derivatives-rfq-engine-intelligence-layer.jpg)

A firm quantitatively demonstrates RFQ best execution by architecting a data-driven system that proves its process is optimal.

- 
### [What Are the Key Data Points for a MiFID II Compliant RFQ Best Execution Report?](https://options.greeks.live/question/what-are-the-key-data-points-for-a-mifid-ii-compliant-rfq-best-execution-report/)
![Precision-engineered institutional grade components, representing prime brokerage infrastructure, intersect via a translucent teal bar embodying a high-fidelity execution RFQ protocol. This depicts seamless liquidity aggregation and atomic settlement for digital asset derivatives, reflecting complex market microstructure and efficient price discovery.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-prime-os-core.jpg)

A MiFID II RFQ report requires timestamped data on price, costs, and counterparty interaction to prove systematic best execution.

- 
### [How Does MiFID II’s Best Execution Policy Affect RFQ Counterparty Selection?](https://options.greeks.live/question/how-does-mifid-iis-best-execution-policy-affect-rfq-counterparty-selection/)
![A multi-layered electronic system, centered on a precise circular module, visually embodies an institutional-grade Crypto Derivatives OS. It represents the intricate market microstructure enabling high-fidelity execution via RFQ protocols for digital asset derivatives, driven by an intelligence layer facilitating algorithmic trading and optimal price discovery.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-facilitating-high-fidelity-execution-and-optimal-price-discovery.jpg)

MiFID II transforms RFQ counterparty selection into a data-driven, auditable process to ensure optimal client outcomes.

- 
### [How Did Mifid Ii Change the Best Execution Standard for Rfq Platforms?](https://options.greeks.live/question/how-did-mifid-ii-change-the-best-execution-standard-for-rfq-platforms/)
![Intricate metallic components signify system precision engineering. These structured elements symbolize institutional-grade infrastructure for high-fidelity execution of digital asset derivatives. Mechanics highlight RFQ protocol efficiency, atomic settlement, and robust market microstructure for optimal price discovery within a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-precision-engineering-for-high-fidelity-execution-and-latency-optimization.jpg)

MiFID II codified best execution into a data-driven, auditable protocol, transforming RFQ platforms into critical compliance infrastructure.

- 
### [What Are the Primary Differences in Monitoring Best Execution for Equities versus Fixed Income?](https://options.greeks.live/question/what-are-the-primary-differences-in-monitoring-best-execution-for-equities-versus-fixed-income/)
![Translucent teal glass pyramid and flat pane, geometrically aligned on a dark base, symbolize market microstructure and price discovery within RFQ protocols for institutional digital asset derivatives. This visualizes multi-leg spread construction, high-fidelity execution via a Principal's operational framework, ensuring atomic settlement for latent liquidity.](https://options.greeks.live/wp-content/uploads/2025/07/transparent-geometric-structures-visualizing-multi-leg-spread-rfq-protocols-for-high-fidelity-institutional-digital-asset-derivatives-execution.jpg)

Monitoring equity best execution is a quantitative analysis of price against a consolidated tape; for fixed income, it's a procedural audit of diligence in a fragmented, OTC market.

- 
### [How Can an RFQ Audit Trail Be Used to Fulfill Best Execution Requirements under MiFID II?](https://options.greeks.live/question/how-can-an-rfq-audit-trail-be-used-to-fulfill-best-execution-requirements-under-mifid-ii/)
![Modular institutional-grade execution system components reveal luminous green data pathways, symbolizing high-fidelity cross-asset connectivity. This depicts intricate market microstructure facilitating RFQ protocol integration for atomic settlement of digital asset derivatives within a Principal's operational framework, underpinned by a Prime RFQ intelligence layer.](https://options.greeks.live/wp-content/uploads/2025/07/modular-high-fidelity-execution-architecture-for-institutional-digital-asset-derivatives-rfq-protocol-integration-and-principals-operational-framework-optimization.jpg)

An RFQ audit trail fulfills MiFID II best execution by creating a definitive, data-rich record of the competitive quoting process.

- 
### [What Are the Regulatory Implications of Applying TCA to Bilateral Trades under MiFID II?](https://options.greeks.live/question/what-are-the-regulatory-implications-of-applying-tca-to-bilateral-trades-under-mifid-ii/)
![Abstract geometric forms converge around a central RFQ protocol engine, symbolizing institutional digital asset derivatives trading. Transparent elements represent real-time market data and algorithmic execution paths, while solid panels denote principal liquidity and robust counterparty relationships. This illustrates high-fidelity execution and precise price discovery within complex market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-core-for-high-fidelity-execution.jpg)

Applying TCA to bilateral trades under MiFID II mandates an evidence-based system to prove best execution in historically opaque markets.

- 
### [What Are the Practical Steps to Ensure Best Execution in a Post-MiFID II RFQ Market?](https://options.greeks.live/question/what-are-the-practical-steps-to-ensure-best-execution-in-a-post-mifid-ii-rfq-market/)
![A macro view reveals the intricate mechanical core of an institutional-grade system, symbolizing the market microstructure of digital asset derivatives trading. Interlocking components and a precision gear suggest high-fidelity execution and algorithmic trading within an RFQ protocol framework, enabling price discovery and liquidity aggregation for multi-leg spreads on a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-system-precision-engine.jpg)

Mastering post-MiFID II RFQ markets requires engineering a data-driven, auditable system for quantifiable best execution.

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**Original URL:** https://options.greeks.live/question/what-are-the-core-data-points-required-for-an-rts-28-report-for-rfq-based-trades/
