What Are the Specific FIX Tags Required for Reporting RFQ Responses to the Consolidated Audit Trail? ▴ Question

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Concept

The mandate to report Request for Quote (RFQ) responses to the Consolidated Audit Trail (CAT) introduces a new dimension of regulatory transparency to a historically opaque area of the market. For firms that leverage bilateral price discovery protocols, understanding the specific Financial Information eXchange (FIX) tag requirements is a matter of operational necessity. The core of this requirement lies in the ability of regulators to reconstruct the full lifecycle of an order, from initial solicitation to final execution.

This includes the ability to analyze the competitiveness of responses to a request for a quote, and to monitor for potential market manipulation or unfair advantages. The introduction of specific CAT events and associated data fields for RFQ workflows reflects a significant step towards illuminating this corner of the market.

At its heart, CAT reporting for RFQ responses is about capturing the digital footprint of off-book liquidity sourcing and making it available for regulatory scrutiny.

A central tenet of RFQ response reporting under the CAT NMS Plan is the principle of “immediate actionability.” This distinction is critical for firms to grasp, as it separates reportable electronic bids and offers from those that are merely indicative. An immediately actionable quote is one that can be accepted by the recipient without any further action required from the provider of the quote. This means that if a firm responds to an RFQ with a firm, executable price, that response is considered a reportable event.

Conversely, if the response is indicative and requires further negotiation or confirmation, it may not be subject to the same reporting requirements. This distinction is designed to focus regulatory attention on the moments where a genuine opportunity to trade exists, rather than on the preliminary stages of price discovery.

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The Regulatory Imperative behind RFQ Reporting

The inclusion of RFQ response data in the Consolidated Audit Trail is a direct response to the increasing electronification of trading workflows that have traditionally been conducted over the phone. As more firms adopt electronic RFQ platforms for sourcing liquidity, particularly for large or complex trades, regulators have recognized the need to extend their oversight into these environments. The primary objective is to create a comprehensive and accurate audit trail of all trading activity, regardless of the execution method.

By capturing data on RFQ responses, regulators can analyze patterns of liquidity provision, assess the quality of execution received by clients, and detect potential instances of front-running or other manipulative practices. This enhanced level of transparency is intended to bolster market integrity and ensure a level playing field for all participants.

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Navigating the Nuances of Actionability

The concept of “immediate actionability” is the fulcrum upon which a firm’s CAT reporting obligations for RFQ responses balance. Understanding this concept is a matter of both technical and legal interpretation. A key determinant is whether the quote response creates a binding obligation on the part of the responder if the recipient chooses to accept it. Factors that can influence this determination include the specific rules of the trading platform, the terms of the RFQ, and any pre-existing agreements between the parties.

Firms must work closely with their compliance and legal teams to establish clear guidelines for identifying and reporting immediately actionable quotes. This process often involves a detailed analysis of the firm’s trading workflows and the specific characteristics of the RFQ platforms they utilize. The failure to correctly identify and report an actionable quote can result in significant regulatory penalties, making this a high-stakes area of compliance.

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Strategy

A robust strategy for reporting RFQ responses to the Consolidated Audit Trail revolves around a clear understanding of the relevant CAT event types and the associated data mapping from a firm’s internal systems to the required CAT fields. The primary CAT events that come into play for RFQ workflows are the new “quote events” that have been introduced to specifically handle this type of activity. These events, such as the MENQ (New Quote), MERQ (Quote Received), MEQR (Quote Route), MEQM (Quote Modification), and MEQC (Quote Cancel), provide a structured framework for reporting the various stages of an RFQ response’s lifecycle.

A successful reporting strategy will involve mapping the firm’s internal data elements, which are often captured in FIX messages, to the specific fields required by each of these CAT events. This mapping process is a critical undertaking that requires a deep understanding of both the firm’s own data architecture and the CAT reporting specifications.

The strategic challenge lies in translating the firm’s internal representation of an RFQ response into the standardized language of the Consolidated Audit Trail.

The introduction of the RFQID and RFQFlag fields is a cornerstone of the CAT’s approach to tracking RFQ workflows. The RFQID serves as a unique identifier that links all responses back to the original request, allowing regulators to reconstruct the entire competitive landscape for a given RFQ. The RFQFlag, when set to ‘true’, explicitly identifies a quote event as being related to an RFQ, triggering the specific validation rules and reporting requirements associated with this workflow.

A key strategic consideration for firms is to ensure that their systems are capable of generating, capturing, and maintaining the RFQID throughout the entire lifecycle of the RFQ and its responses. This may require enhancements to order management systems (OMS) or execution management systems (EMS) to properly handle this new data element.

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Mapping FIX Tags to CAT Fields a Pragmatic Approach

The process of mapping FIX tags to CAT fields is where the theoretical requirements of the CAT NMS Plan meet the practical realities of a firm’s trading infrastructure. While the CAT reporting specifications do not mandate the use of specific FIX tags, there is a clear and logical correspondence between many standard FIX tags and the required CAT data fields. For example, the QuoteID (Tag 117) in a FIX message would naturally map to the quoteID field in a CAT report. Similarly, the Symbol (Tag 55), Side (Tag 54), and OrderQty (Tag 38) in a FIX message would map to their corresponding CAT fields.

The strategic challenge for firms is to develop a comprehensive mapping logic that accounts for all of the required CAT fields, including those that may not have a direct one-to-one correspondence with a standard FIX tag. This may involve deriving certain CAT fields from a combination of FIX tags or from other data sources within the firm’s systems.

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The Importance of Data Enrichment and Validation

A successful CAT reporting strategy for RFQ responses will almost certainly require a data enrichment and validation layer. This layer is responsible for taking the raw data from the firm’s trading systems, which is often in the form of FIX messages, and transforming it into a compliant CAT report. This may involve enriching the data with information that is not present in the original FIX message, such as the firmDesignatedID or the senderIMID. It also involves validating the data to ensure that it conforms to the CAT’s strict formatting and data type requirements.

For example, timestamps must be reported in UTC and with nanosecond precision, which may require a conversion from the format used in the firm’s internal systems. The development of a robust data enrichment and validation layer is a critical component of any effective CAT reporting strategy.

Here is a table that illustrates the relationship between key CAT fields for RFQ reporting and their likely FIX tag counterparts:

CAT Field	Likely FIX Tag(s)	Description
RFQID	N/A (often proprietary)	A unique identifier for the Request for Quote. This may need to be generated and propagated by the firm’s systems.
RFQFlag	N/A (derived)	A boolean flag indicating that the quote is in response to an RFQ. This would be set to ‘true’ for all RFQ responses.
quoteID	117 (QuoteID)	A unique identifier for the quote response.
symbol	55 (Symbol)	The security identifier for the instrument being quoted.
price	134 (BidPx) / 135 (OfferPx)	The price of the quote.
quantity	132 (BidSize) / 133 (OfferSize)	The quantity of the quote.

This table provides a starting point for firms to develop their own data mapping logic. It is important to note that the specific FIX tags used may vary depending on the firm’s trading systems and the specific RFQ platform being used. A thorough analysis of the firm’s data flows is essential to ensure a complete and accurate mapping.

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Execution

The execution of a compliant CAT reporting workflow for RFQ responses hinges on the precise and accurate population of the required data fields for each of the relevant CAT events. This requires a deep dive into the technical specifications provided by the CAT NMS Plan and a meticulous mapping of a firm’s internal data sources to the prescribed CAT format. The following tables provide a detailed breakdown of the key data fields that must be populated for the MENQ (New Quote) and MERQ (Quote Received) events, which are the two most fundamental events in the RFQ reporting workflow. These tables are intended to serve as a practical guide for firms as they develop and implement their CAT reporting solutions.

The devil is in the details when it comes to the execution of CAT reporting for RFQ responses.

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The MENQ (New Quote) Event

The MENQ event is used to report the origination of a new quote in response to an RFQ. This event is sent by the firm that is providing the quote. The following table outlines the critical fields for this event, along with their descriptions and likely FIX tag sources.

CAT Field	Likely FIX Tag(s)	Description
eventTimestamp	60 (TransactTime)	The date and time when the quote was originated, in UTC with nanosecond precision.
firmDesignatedID	117 (QuoteID)	A unique identifier for the quote, assigned by the firm.
RFQID	N/A (often proprietary)	The unique identifier of the RFQ to which this quote is a response.
RFQFlag	N/A (derived)	Must be set to ‘true’ to indicate that this is a response to an RFQ.
symbol	55 (Symbol)	The symbol of the security being quoted.
bidPrice	134 (BidPx)	The bid price of the quote.
bidSize	132 (BidSize)	The size of the bid.
askPrice	135 (OfferPx)	The ask price of the quote.
askSize	133 (OfferSize)	The size of the ask.
senderIMID	49 (SenderCompID)	The IMID of the firm sending the quote.

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The MERQ (Quote Received) Event

The MERQ event is used to report the receipt of a quote in response to an RFQ. This event is sent by the firm that initiated the RFQ. The following table outlines the critical fields for this event.

eventTimestamp ▴ The date and time when the quote was received, in UTC with nanosecond precision. This would likely be sourced from the TransactTime (Tag 60) of the incoming FIX message.
firmDesignatedID ▴ A unique identifier for the received quote, assigned by the receiving firm. This is often a proprietary identifier generated by the firm’s OMS or EMS.
RFQID ▴ The unique identifier of the RFQ that was sent out. This must be the same RFQID that is reported by the responding firm in their MENQ event.
RFQFlag ▴ Must be set to ‘true’ to indicate that this is a response to an RFQ.
quoteID ▴ The unique identifier of the quote, as assigned by the responding firm. This would be sourced from the QuoteID (Tag 117) of the incoming FIX message.
senderIMID ▴ The IMID of the firm that sent the quote. This would be sourced from the SenderCompID (Tag 49) of the incoming FIX message.
senderType ▴ A new field that indicates the type of entity that sent the quote. This can be used to distinguish between responses from different types of market participants.

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Multi-Leg and Options Considerations

The reporting of RFQ responses for multi-leg and options instruments introduces additional complexity. For these instruments, firms must populate the appropriate leg-level details in the CAT report. This includes fields such as legSymbol, legRatio, and legSide. The specific FIX tags used to carry this information can vary depending on the platform and the complexity of the instrument.

Firms must carefully analyze their multi-leg and options trading workflows to ensure that they are capturing and reporting all of the required leg-level details. The bifurcation of the relativePrice field into bidRelativePrice and askRelativePrice is another important consideration for options reporting, as it allows for more precise pricing of complex options strategies.

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References

“CAT NMS Plan.” Securities and Exchange Commission, 15 Nov. 2016.
“FINRA Rule 6800 Series.” FINRA.
“CAT Reporting Technical Specifications for Industry Members.” CAT NMS Plan.
“FIX Protocol Version 4.2 Errata 20010501.” FIX Trading Community.
Harris, Larry. “Trading and Exchanges ▴ Market Microstructure for Practitioners.” Oxford University Press, 2003.

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Reflection

The successful implementation of a CAT reporting framework for RFQ responses is a significant undertaking, but it is also an opportunity for firms to enhance their internal data governance and gain a deeper understanding of their own trading workflows. The process of mapping data flows, enriching data, and validating reports can reveal inefficiencies and data quality issues that may have previously gone unnoticed. By embracing this challenge, firms can not only achieve regulatory compliance but also build a more robust and resilient operational infrastructure. The insights gained from this process can be leveraged to improve execution quality, reduce operational risk, and ultimately, gain a competitive edge in an increasingly data-driven market.