# What Specific Data Points Must Be Captured to Prove Best Execution for an Rfq under Rts 28? ▴ Question

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

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![Two precision-engineered nodes, possibly representing a Private Quotation or RFQ mechanism, connect via a transparent conduit against a striped Market Microstructure backdrop. This visualizes High-Fidelity Execution pathways for Institutional Grade Digital Asset Derivatives, enabling Atomic Settlement and Capital Efficiency within a Dark Pool environment, optimizing Price Discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-system-nodes.jpg)

![Intersecting translucent planes and a central financial instrument depict RFQ protocol negotiation for block trade execution. Glowing rings emphasize price discovery and liquidity aggregation within market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-orchestration-for-high-fidelity-execution-across-prime-os.jpg)

## Concept

The obligation to demonstrate best execution for a Request for Quote (RFQ) transaction introduces a fundamental tension within [market microstructure](https://prime.greeks.live/area/market-microstructure/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). An RFQ is an inherently discreet, bilateral negotiation, designed to source liquidity with minimal market impact. Conversely, regulations like MiFID II’s RTS 28 are built upon a foundation of transparency, demanding verifiable data to substantiate [execution quality](https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). The challenge, therefore, is to architect a data capture framework that translates the nuanced, often qualitative, decision-making process of an RFQ into a quantitative, auditable trail without compromising the protocol’s strategic purpose.

This is not a simple matter of logging trades. It requires the construction of a complete evidence repository for each [RFQ](https://prime.greeks.live/area/rfq/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) lifecycle. The system must capture the state of the market before the request is sent, document the full range of responses during the quoting window, and record the final execution details with high-fidelity timestamps.

Proving [best execution](https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) in this context moves beyond a single data point like price; it is about demonstrating that the chosen execution pathway was the most favorable for the client when assessed against a multidimensional set of factors, including cost, speed, and likelihood of execution. The true objective is to build a system that not only satisfies regulatory scrutiny but also creates a powerful feedback loop for optimizing [counterparty selection](https://prime.greeks.live/question/how-does-counterparty-selection-in-an-rfq-mitigate-adverse-selection-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and execution strategy over time.

> Demonstrating best execution for RFQs requires a systematic capture of pre-trade, trade-time, and post-trade data to build a complete, auditable narrative of each transaction.

![Polished metallic disks, resembling data platters, with a precise mechanical arm poised for high-fidelity execution. This embodies an institutional digital asset derivatives platform, optimizing RFQ protocol for efficient price discovery, managing market microstructure, and leveraging a Prime RFQ intelligence layer to minimize execution latency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-precision-execution-via-advanced-rfq-protocols-and-prime-os-intelligence-layer-for-optimal-market-microstructure.jpg)

## The Anatomy of an Auditable RFQ

To construct a defensible best execution file for an RFQ, one must think like a systems architect designing a database. The goal is to create a relational data structure where every decision point is captured and linked. This begins before the first quote is even requested.

The initial decision to utilize an RFQ protocol over another execution method, such as a [lit market](https://prime.greeks.live/area/lit-market/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) order, is the first piece of evidence. It establishes the strategic intent ▴ typically, the management of a large or illiquid order where minimizing [information leakage](https://prime.greeks.live/question/how-can-a-leakage-model-differentiate-between-market-impact-and-systemic-information-leakage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is paramount.

Following this, the selection of counterparties to include in the RFQ is a critical data field. A firm must be able to justify its choice of liquidity providers, connecting it to a documented history of their performance, reliability, and specific strengths in the financial instrument being traded. Each subsequent event ▴ the dispatch of the request, the receipt of each individual quote, any withdrawals or modifications, and the final acceptance ▴ must be timestamped with sufficient granularity to reconstruct the sequence of events with absolute certainty. This detailed log forms the core of the evidence, allowing for a precise analysis of not just the winning quote, but the entire competitive landscape at the moment of execution.

![Beige cylindrical structure, with a teal-green inner disc and dark central aperture. This signifies an institutional grade Principal OS module, a precise RFQ protocol gateway for high-fidelity execution and optimal liquidity aggregation of digital asset derivatives, critical for quantitative analysis and market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/principal-os-rfq-engine-for-digital-asset-derivatives-high-fidelity-execution-optimal-liquidity-aggregation.jpg)

## Beyond Price the Execution Quality Factors

While the final transaction price is a primary component, a robust data framework must account for all the best execution factors defined by the regulation. These factors provide the context against which the final execution is judged.

- **Price** ▴ The price of the winning quote, captured alongside the prices of all competing quotes received.

- **Costs** ▴ This includes both explicit and implicit costs. Explicit costs are any commissions or fees associated with the transaction. Implicit costs, such as information leakage or market impact, are harder to quantify but are the very reason for using an RFQ. Pre- and post-trade market data can help model this.

- **Speed of Execution** ▴ The latency between sending the RFQ and receiving responses, as well as the time taken to accept a quote. This data can reveal the efficiency of different counterparties and execution venues.

- **Likelihood of Execution and Settlement** ▴ This involves capturing data on quote firmness and settlement reliability. A history of failed trades or withdrawn quotes from a specific counterparty is a critical data point in justifying future counterparty selection.

- **Size and Nature of the Order** ▴ The size of the order relative to typical market depth is a key justification for using an RFQ. The nature of the instrument, such as its liquidity profile or complexity, must also be documented.

Capturing these elements transforms the compliance exercise into a strategic tool. It allows a firm to move from simply justifying a single trade to systematically evaluating and optimizing its execution policies and counterparty relationships, creating a powerful competitive advantage rooted in data.

![Precision cross-section of an institutional digital asset derivatives system, revealing intricate market microstructure. Toroidal halves represent interconnected liquidity pools, centrally driven by an RFQ protocol](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-architecture-revealing-precision-rfq-protocol-engine-for-optimal-high-fidelity-execution-and-latent-liquidity-aggregation.jpg)

![Two distinct modules, symbolizing institutional trading entities, are robustly interconnected by blue data conduits and intricate internal circuitry. This visualizes a Crypto Derivatives OS facilitating private quotation via RFQ protocol, enabling high-fidelity execution of block trades for atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-engine-interconnect-for-optimal-rfq-execution.jpg)

## Strategy

A strategic approach to RFQ data capture extends beyond mere compliance with RTS 28 principles; it involves architecting a system that generates actionable intelligence. The core strategy is to create a longitudinal record of execution quality that informs and refines a firm’s trading process. This requires a granular data model that captures not only the outcome of each RFQ but also the full context of the decision-making process. By systematically recording every stage of the quote lifecycle and the prevailing market conditions, a firm can perform sophisticated [Transaction Cost Analysis](https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (TCA) tailored to this specific [liquidity sourcing](https://prime.greeks.live/area/liquidity-sourcing/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) method.

The initial strategic decision is to define the “universe” of data to be captured. This universe must encompass three distinct temporal domains ▴ the pre-trade environment, the intra-trade quoting process, and the post-trade settlement phase. For each domain, specific data points must be identified and logged in a structured format.

This structured data then becomes the foundation for building analytical models that can assess counterparty performance, measure the implicit costs of information leakage, and ultimately validate that the firm’s execution policy is delivering the best possible outcomes for its clients. The strategy is to use data to transform the art of trading into a science of execution.

> The strategic collection of RFQ data allows a firm to build a proprietary model of counterparty behavior and execution quality, turning a compliance requirement into a competitive intelligence asset.

![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)

## A Tiered Data Capture Framework

To implement this strategy, a tiered framework for [data capture](https://prime.greeks.live/area/data-capture/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is essential. This framework organizes the required data points by their function in the execution narrative, ensuring that a complete and coherent picture can be reconstructed for any given trade. This is not just a list of fields; it is a schema for understanding the entire lifecycle of a bilateral negotiation.

![Interlocking transparent and opaque geometric planes on a dark surface. This abstract form visually articulates the intricate Market Microstructure of Institutional Digital Asset Derivatives, embodying High-Fidelity Execution through advanced RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/geometric-abstraction-of-institutional-digital-asset-derivatives-market-microstructure-driving-high-fidelity-execution-via-principal-rfq-protocols-and-optimal-liquidity-aggregation.jpg)

## Tier 1 Pre-Trade Contextual Data

This layer captures the state of the world at the moment the decision to trade is made. It forms the baseline against which execution quality will be measured. Without this context, a price is just a number, devoid of meaning.

- **Order Initiation Timestamp** ▴ The precise time the order was received or the investment decision was made.

- **Instrument Identifier** ▴ A standardized code (e.g. ISIN) for the financial instrument.

- **Order Characteristics** ▴ The size, side (buy/sell), and any specific instructions from the client.

- **Rationale for RFQ Protocol** ▴ A documented reason for choosing an RFQ over other execution methods (e.g. order size exceeds 5% of average daily volume, instrument is on an internal illiquid list).

- **Counterparty Selection** ▴ A list of the liquidity providers selected for the RFQ.

- **Counterparty Selection Rationale** ▴ Justification for choosing this specific group of counterparties, linked to their historical performance or specific expertise.

- **Lit Market Snapshot** ▴ The best bid and offer (BBO), volume, and spread on the most relevant public trading venue at the time of RFQ initiation. This is the primary benchmark for price comparison.

![A sleek, metallic mechanism symbolizes an advanced institutional trading system. The central sphere represents aggregated liquidity and precise price discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-for-optimal-price-discovery-and-best-execution.jpg)

## Tier 2 Intra-Trade Execution Data

This is the heart of the data capture system, logging every event during the active quoting and execution window. The granularity of timestamps in this tier is of paramount importance.

The following table outlines the critical data points that must be captured for each counterparty involved in the RFQ process. This level of detail is necessary to reconstruct the competitive environment and justify the final execution decision.

| Data Point | Description | Purpose |
| --- | --- | --- |
| RFQ Sent Timestamp | The time the RFQ was sent to each individual counterparty. | Measures latency and serves as the starting point for the quoting timer. |
| Quote Received Timestamp | The time each counterparty’s quote was received. | Analyzes the speed of response for each counterparty. |
| Quote Price | The bid or offer price provided by the counterparty. | Primary data for price comparison and TCA. |
| Quote Size | The volume for which the quoted price is firm. | Ensures the quote is of sufficient size for the order. |
| Quote Expiration Timestamp | The time at which the quote is no longer valid. | Documents the firmness and duration of the provided liquidity. |
| Execution Timestamp | The time the winning quote was accepted. | The definitive point of trade execution. |
| Executed Price and Size | The final price and size of the transaction. | The ultimate outcome of the trade. |
| Winning Counterparty ID | An identifier for the liquidity provider whose quote was accepted. | Tracks performance and concentration of flow. |

![Circular forms symbolize digital asset liquidity pools, precisely intersected by an RFQ execution conduit. Angular planes define algorithmic trading parameters for block trade segmentation, facilitating price discovery](https://options.greeks.live/wp-content/uploads/2025/07/optimized-digital-asset-rfq-execution-latent-liquidity-capture-protocol.jpg)

## Tier 3 Post-Trade and Analytical Data

This final layer documents the conclusion of the trade and provides data for ongoing analysis. It closes the loop on the execution lifecycle and feeds into future pre-trade decisions.

- **Settlement Status** ▴ Confirmation that the trade settled correctly and on time.

- **Settlement Failure Data** ▴ Any issues or delays in settlement, linked to the specific counterparty.

- **Explicit Cost Data** ▴ A full breakdown of any commissions, fees, or taxes associated with the trade.

- **Post-Trade Market Snapshot** ▴ The BBO and volume on the lit market at various intervals after the trade (e.g. 1 minute, 5 minutes, 30 minutes) to analyze for potential information leakage or market impact.

- **TCA Results** ▴ The calculated metrics from the firm’s [Transaction Cost](https://prime.greeks.live/area/transaction-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Analysis model, such as [price improvement](https://prime.greeks.live/area/price-improvement/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) versus the arrival BBO, spread capture, and performance versus other quotes.

By implementing this comprehensive, tiered data capture strategy, a firm moves from a defensive, compliance-oriented posture to a proactive, data-driven approach to execution. The resulting dataset becomes a core asset, enabling continuous improvement and providing irrefutable proof of the firm’s commitment to achieving the best possible results for its clients.

![An abstract composition depicts a glowing green vector slicing through a segmented liquidity pool and principal's block. This visualizes high-fidelity execution and price discovery across market microstructure, optimizing RFQ protocols for institutional digital asset derivatives, minimizing slippage and latency](https://options.greeks.live/wp-content/uploads/2025/07/optimal-precise-digital-asset-derivative-rfq-execution-via-smart-protocols-for-institutional-trading.jpg)

![A symmetrical, multi-faceted structure depicts an institutional Digital Asset Derivatives execution system. Its central crystalline core represents high-fidelity execution and atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-microstructure.jpg)

## Execution

The operational execution of an RTS 28-compliant data capture framework for RFQs is a significant systems engineering challenge. It requires the seamless integration of a firm’s [Order Management System](https://prime.greeks.live/area/order-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (OMS), [Execution Management System](https://prime.greeks.live/area/execution-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (EMS), and data warehousing capabilities. The objective is to create an automated, non-repudiable log of every event in the RFQ’s lifecycle, from the initial decision to the final settlement. This process must be robust, with high-resolution timestamps and standardized data formats to ensure consistency and allow for effective analysis.

The foundation of this system is the ability to link disparate events into a single, coherent trade narrative. A unique “RFQ Instance ID” must be generated at the moment of initiation. Every subsequent message ▴ each quote request sent, each quote response received, and the final execution report ▴ must carry this identifier.

This allows the system to aggregate all related data points, even when they are communicated asynchronously across different protocols or platforms. The execution framework must also be designed with analysis in mind, structuring the data in a way that facilitates the complex queries required for Transaction [Cost Analysis](https://prime.greeks.live/area/cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and counterparty performance reporting.

![Three sensor-like components flank a central, illuminated teal lens, reflecting an advanced RFQ protocol system. This represents an institutional digital asset derivatives platform's intelligence layer for precise price discovery, high-fidelity execution, and managing multi-leg spread strategies, optimizing market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-for-optimal-execution.jpg)

## The RFQ Data Capture Workflow

Implementing a robust data capture system involves a clear, step-by-step process that aligns with the flow of a typical RFQ trade. This workflow ensures that all necessary data points are captured at the appropriate stage.

- **Order Ingestion and Justification** ▴ The process begins when an order is received by the OMS. The system should automatically flag orders that are candidates for RFQ execution based on pre-defined rules (e.g. size, instrument liquidity). The trader must then select the RFQ protocol and provide a structured justification, which is logged against the order.

- **Counterparty Selection and RFQ Dispatch** ▴ The trader selects a list of counterparties from the EMS. The system logs the selected list and the timestamp. The EMS then dispatches the RFQ, and the system records the precise timestamp for each outbound message to each counterparty.

- **Response Aggregation and Monitoring** ▴ As counterparties respond, the EMS receives their quotes. Each quote is logged with its price, size, and the timestamp of its arrival. The system populates a real-time dashboard that displays all competing quotes alongside the prevailing lit market benchmark, which is continuously updated.

- **Execution and Confirmation** ▴ The trader executes against the chosen quote. The system logs the execution timestamp, the winning counterparty, the executed price, and size. A confirmation message (e.g. a FIX Execution Report) is sent and received, and its details are logged.

- **Data Enrichment and Warehousing** ▴ The complete trade record, now linked by the RFQ Instance ID, is passed to a central data warehouse. Here, it is enriched with additional data, such as the calculated [TCA](https://prime.greeks.live/area/tca/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) metrics and post-trade market data snapshots. This enriched record becomes the final, immutable evidence file for the trade.

![Precision-engineered metallic discs, interconnected by a central spindle, against a deep void, symbolize the core architecture of an Institutional Digital Asset Derivatives RFQ protocol. This setup facilitates private quotation, robust portfolio margin, and high-fidelity execution, optimizing market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-core-infrastructure.jpg)

## A Simulated RFQ Data Log

To illustrate the required level of granularity, the following table simulates a data log for a single RFQ instance. This demonstrates how different events and data points are captured and linked together to form a complete audit trail. The timestamps are presented in ISO 8601 format with microsecond precision, which is a critical requirement for accurate sequencing and analysis.

| RFQ Instance ID | Event Type | Timestamp (UTC) | Counterparty ID | Price | Size | Instrument ISIN | Notes |
| --- | --- | --- | --- | --- | --- | --- | --- |
| RFQ-20250809-A73B | RFQ_INITIATE | 2025-08-09T10:00:01.123456Z | N/A | N/A | 50,000 | US0378331005 | Arrival BBO ▴ 175.22 / 175.25 |
| RFQ-20250809-A73B | RFQ_SENT | 2025-08-09T10:00:02.345678Z | CPTY-A | N/A | 50,000 | US0378331005 | |
| RFQ-20250809-A73B | RFQ_SENT | 2025-08-09T10:00:02.345991Z | CPTY-B | N/A | 50,000 | US0378331005 | |
| RFQ-20250809-A73B | RFQ_SENT | 2025-08-09T10:00:02.346234Z | CPTY-C | N/A | 50,000 | US0378331005 | |
| RFQ-20250809-A73B | QUOTE_RECV | 2025-08-09T10:00:04.789012Z | CPTY-B | 175.21 | 50,000 | US0378331005 | |
| RFQ-20250809-A73B | QUOTE_RECV | 2025-08-09T10:00:05.112233Z | CPTY-A | 175.20 | 25,000 | US0378331005 | Partial Size |
| RFQ-20250809-A73B | QUOTE_RECV | 2025-08-09T10:00:05.987654Z | CPTY-C | 175.22 | 50,000 | US0378331005 | |
| RFQ-20250809-A73B | EXECUTION | 2025-08-09T10:00:06.543210Z | CPTY-B | 175.21 | 50,000 | US0378331005 | Executed against CPTY-B’s quote. |
| RFQ-20250809-A73B | TCA_CALC | 2025-08-09T10:00:07.000000Z | N/A | 0.01 | N/A | US0378331005 | Price Improvement vs Arrival Mid ▴ $0.025 |

This detailed log provides a complete, time-sequenced narrative of the trade. It shows that while CPTY-A offered a better price, the quote was for an insufficient size. CPTY-B provided the best price for the full required size and was chosen for execution.

The price of 175.21 represents a $0.01 improvement per share over the best bid available on the lit market at the time of initiation. This is the level of detail required to construct an unassailable argument for best execution.

![A futuristic metallic optical system, featuring a sharp, blade-like component, symbolizes an institutional-grade platform. It enables high-fidelity execution of digital asset derivatives, optimizing market microstructure via precise RFQ protocols, ensuring efficient price discovery and robust portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-for-high-fidelity-rfq-execution-and-optimal-price-discovery.jpg)

## References

- O’Hara, Maureen. _Market Microstructure Theory_. Blackwell Publishers, 1995.

- Harris, Larry. _Trading and Exchanges ▴ Market Microstructure for Practitioners_. Oxford University Press, 2003.

- European Parliament and Council. “Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments.” _Official Journal of the European Union_, 2014.

- European Commission. “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.” _Official Journal of the European Union_, 2017.

- Financial Conduct Authority. “Markets in Financial Instruments Directive II (MiFID II) Implementation ▴ Policy Statement II.” PS17/14, 2017.

- Lehalle, Charles-Albert, and Sophie Laruelle, editors. _Market Microstructure in Practice_. World Scientific Publishing, 2013.

- Madhavan, Ananth. “Market microstructure ▴ A survey.” _Journal of Financial Markets_, vol. 3, no. 3, 2000, pp. 205-258.

- ESMA. “Public Statement ▴ ESMA clarifies certain best execution reporting requirements under MiFID II.” ESMA35-42-1345, 13 February 2024.

![A sleek, spherical, off-white device with a glowing cyan lens symbolizes an Institutional Grade Prime RFQ Intelligence Layer. It drives High-Fidelity Execution of Digital Asset Derivatives via RFQ Protocols, enabling Optimal Liquidity Aggregation and Price Discovery for Market Microstructure Analysis](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-optimal-execution-1.jpg)

## Reflection

![Abstractly depicting an Institutional Digital Asset Derivatives ecosystem. A robust base supports intersecting conduits, symbolizing multi-leg spread execution and smart order routing](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-optimization.jpg)

## From Mandate to Mechanism

The intricate data requirements for demonstrating best execution in RFQs should not be viewed as a static compliance burden. Instead, they provide the schematic for building a dynamic execution quality system. The true value of this detailed data capture lies in its potential to create a feedback loop, transforming raw log files into a predictive intelligence layer.

Each trade, with its rich context of competing quotes and market conditions, becomes a training set for a more sophisticated execution model. The framework ceases to be about proving past performance and evolves into a mechanism for refining future strategy.

This perspective shifts the focus from simple data collection to knowledge creation. The assembled data allows an institution to move beyond asking “Did we get the best price?” to addressing more profound questions. Which counterparties are consistently fastest to respond in volatile markets? Is there a pattern of information leakage associated with including certain responders in an RFQ?

How does our execution quality on RFQs compare to a volume-weighted average price (VWAP) strategy on a lit venue under similar conditions? Answering these questions requires a commitment to transforming data into insight, building an operational framework that learns, adapts, and ultimately provides a persistent, structural advantage in the market.

![A precision-engineered metallic institutional trading platform, bisected by an execution pathway, features a central blue RFQ protocol engine. This Crypto Derivatives OS core facilitates high-fidelity execution, optimal price discovery, and multi-leg spread trading, reflecting advanced market microstructure](https://options.greeks.live/wp-content/uploads/2025/08/precision-engineered-institutional-digital-asset-derivatives-execution-core-facilitating-rfq-protocol-driven-optimal-price-discovery-and-multi-leg-spread-trading-for-capital-efficiency.jpg)

## Glossary

<a href="https://prime.greeks.live/area/market-microstructure/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Robust metallic structures, one blue-tinted, one teal, intersect, covered in granular water droplets. This depicts a principal's institutional RFQ framework facilitating multi-leg spread execution, aggregating deep liquidity pools for optimal price discovery and high-fidelity atomic settlement of digital asset derivatives for enhanced capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-optimized-for-high-fidelity-execution.jpg)

## Market Microstructure

Meaning ▴ Market Microstructure, within the cryptocurrency domain, refers to the intricate design, operational mechanics, and underlying rules governing the exchange of digital assets across various trading venues. </a><a href="https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Polished opaque and translucent spheres intersect sharp metallic structures. This abstract composition represents advanced RFQ protocols for institutional digital asset derivatives, illustrating multi-leg spread execution, latent liquidity aggregation, and high-fidelity execution within principal-driven trading environments](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-protocol-optimal-execution-orchestration.jpg)

## Execution Quality

Meaning ▴ Execution quality, within the framework of crypto investing and institutional options trading, refers to the overall effectiveness and favorability of how a trade order is filled. </a><a href="https://prime.greeks.live/area/rfq/?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)

## Rfq

Meaning ▴ A Request for Quote (RFQ), in the domain of institutional crypto trading, is a structured communication protocol enabling a prospective buyer or seller to solicit firm, executable price proposals for a specific quantity of a digital asset or derivative from one or more liquidity providers. </a><a href="https://prime.greeks.live/question/how-does-counterparty-selection-in-an-rfq-mitigate-adverse-selection-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Precision-engineered modular components display a central control, data input panel, and numerical values on cylindrical elements. This signifies an institutional Prime RFQ for digital asset derivatives, enabling RFQ protocol aggregation, high-fidelity execution, algorithmic price discovery, and volatility surface calibration for portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/firm-fx-options-rfq-trade-system-key-microstructure-data-flow-core-engine.jpg)

## Counterparty Selection

Selective disclosure of trade intent to a scored and curated set of counterparties minimizes information leakage and mitigates pricing risk. </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 sophisticated institutional digital asset derivatives platform unveils its core market microstructure. Intricate circuitry powers a central blue spherical RFQ protocol engine on a polished circular surface](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-prime-os-unveiling-rfq-protocol-engine-market-microstructure-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## Best Execution

Meaning ▴ Best Execution, in the context of cryptocurrency trading, signifies the obligation for a trading firm or platform to take all reasonable steps to obtain the most favorable terms for its clients' orders, considering a holistic range of factors beyond merely the quoted price. </a><a href="https://prime.greeks.live/question/how-can-a-leakage-model-differentiate-between-market-impact-and-systemic-information-leakage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![An Execution Management System module, with intelligence layer, integrates with a liquidity pool hub and RFQ protocol component. This signifies atomic settlement and high-fidelity execution within an institutional grade Prime RFQ, ensuring capital efficiency for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/08/prime-os-orchestrating-institutional-digital-asset-derivatives-rfq-protocols-for-optimal-execution.jpg)

## Information Leakage

A leakage model isolates the cost of compromised information from the predictable cost of liquidity consumption. </a><a href="https://prime.greeks.live/area/lit-market/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A proprietary Prime RFQ platform featuring extending blue/teal components, representing a multi-leg options strategy or complex RFQ spread. The labeled band 'F331 46 1' denotes a specific strike price or option series within an aggregated inquiry for high-fidelity execution, showcasing granular market microstructure data points](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-protocol-1.jpg)

## Lit Market

Meaning ▴ A Lit Market, within the crypto ecosystem, represents a trading venue where pre-trade transparency is unequivocally provided, meaning bid and offer prices, along with their associated sizes, are publicly displayed to all participants before execution. </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">
![Abstract architectural representation of a Prime RFQ for institutional digital asset derivatives, illustrating RFQ aggregation and high-fidelity execution. Intersecting beams signify multi-leg spread pathways and liquidity pools, while spheres represent atomic settlement points and implied volatility](https://options.greeks.live/wp-content/uploads/2025/07/architecting-institutional-digital-asset-derivatives-trading-systems-for-optimized-rfq-execution-and-advanced-price-discovery.jpg)

## Transaction Cost Analysis

Meaning ▴ Transaction Cost Analysis (TCA), in the context of cryptocurrency trading, is the systematic process of quantifying and evaluating all explicit and implicit costs incurred during the execution of digital asset trades. </a><a href="https://prime.greeks.live/area/liquidity-sourcing/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Layered abstract forms depict a Principal's Prime RFQ for institutional digital asset derivatives. A textured band signifies robust RFQ protocol and market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-high-fidelity-execution-prime-os-market-microstructure.jpg)

## Liquidity Sourcing

Meaning ▴ Liquidity sourcing in crypto investing refers to the strategic process of identifying, accessing, and aggregating available trading depth and volume across various fragmented venues to execute large orders efficiently. </a><a href="https://prime.greeks.live/area/data-capture/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sharp, layered planes, one deep blue, one light, intersect a luminous sphere and a vast, curved teal surface. This abstractly represents high-fidelity algorithmic trading and multi-leg spread execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-system-microstructure.jpg)

## Data Capture

Meaning ▴ Data capture refers to the systematic process of collecting, digitizing, and integrating raw information from various sources into a structured format for subsequent storage, processing, and analytical utilization within a system. </a><a href="https://prime.greeks.live/area/price-improvement/?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)

## Price Improvement

Meaning ▴ Price Improvement, within the context of institutional crypto trading and Request for Quote (RFQ) systems, refers to the execution of an order at a price more favorable than the prevailing National Best Bid and Offer (NBBO) or the initially quoted price. </a><a href="https://prime.greeks.live/area/transaction-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A luminous central hub with radiating arms signifies an institutional RFQ protocol engine. It embodies seamless liquidity aggregation and high-fidelity execution for multi-leg spread strategies](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-hub-for-optimal-liquidity-aggregation.jpg)

## Transaction Cost

Meaning ▴ Transaction Cost, in the context of crypto investing and trading, represents the aggregate expenses incurred when executing a trade, encompassing both explicit fees and implicit market-related costs. </a><a href="https://prime.greeks.live/area/execution-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A transparent glass bar, representing high-fidelity execution and precise RFQ protocols, extends over a white sphere symbolizing a deep liquidity pool for institutional digital asset derivatives. A small glass bead signifies atomic settlement within the granular market microstructure, supported by robust Prime RFQ infrastructure ensuring optimal price discovery and minimal slippage](https://options.greeks.live/wp-content/uploads/2025/07/institutional-grade-digital-asset-derivatives-rfq-execution-prime-os-intelligence-layer-facilitating-optimal-price-discovery-and-best-execution.jpg)

## Execution Management System

Meaning ▴ An Execution Management System (EMS) in the context of crypto trading is a sophisticated software platform designed to optimize the routing and execution of institutional orders for digital assets and derivatives, including crypto options, across multiple liquidity venues. </a><a href="https://prime.greeks.live/area/order-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A polished spherical form representing a Prime Brokerage platform features a precisely engineered RFQ engine. This mechanism facilitates high-fidelity execution for institutional Digital Asset Derivatives, enabling private quotation and optimal price discovery](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-engine-optimal-execution-digital-asset-derivatives.jpg)

## Order Management System

Meaning ▴ An Order Management System (OMS) is a sophisticated software application or platform designed to facilitate and manage the entire lifecycle of a trade order, from its initial creation and routing to execution and post-trade allocation, specifically engineered for the complexities of crypto investing and derivatives trading. </a><a href="https://prime.greeks.live/area/cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Cost Analysis

Meaning ▴ Cost Analysis is the systematic process of identifying, quantifying, and evaluating all explicit and implicit expenses associated with trading activities, particularly within the complex and often fragmented crypto investing landscape. </a><a href="https://prime.greeks.live/area/tca/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intersecting sleek conduits, one with precise water droplets, a reflective sphere, and a dark blade. This symbolizes institutional RFQ protocol for high-fidelity execution, navigating market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-framework-optimizing-latent-liquidity-discovery-and-atomic-settlement-protocols.jpg)

## Tca

Meaning ▴ TCA, or Transaction Cost Analysis, represents the analytical discipline of rigorously evaluating all costs incurred during the execution of a trade, meticulously comparing the actual execution price against various predefined benchmarks to assess the efficiency and effectiveness of trading strategies. </a>

**Tags:** [Cost Analysis](https://options.greeks.live/area/cost-analysis/), [RFQ Data](https://options.greeks.live/area/rfq-data/), [Price Improvement](https://options.greeks.live/area/price-improvement/), [Liquidity Sourcing](https://options.greeks.live/area/liquidity-sourcing/), [Market Microstructure](https://options.greeks.live/area/market-microstructure/), [Counterparty Analysis](https://options.greeks.live/area/counterparty-analysis/)	

## Discover More

- 
### [How Does the Technology Stack Impact a Firm’s Ability to Meet Best Execution Obligations for Rfq Trades?](https://options.greeks.live/question/how-does-the-technology-stack-impact-a-firms-ability-to-meet-best-execution-obligations-for-rfq-trades/)
![A sleek metallic teal execution engine, representing a Crypto Derivatives OS, interfaces with a luminous pre-trade analytics display. This abstract view depicts institutional RFQ protocols enabling high-fidelity execution for multi-leg spreads, optimizing market microstructure and atomic settlement.](https://options.greeks.live/wp-content/uploads/2025/07/advanced-institutional-digital-asset-derivatives-rfq-protocol-engine-for-high-fidelity-execution-and-market-microstructure-analysis.jpg)

A firm's technology stack dictates its capacity to meet best execution obligations by transforming the RFQ process from a manual negotiation into a data-driven, auditable, and strategic liquidity sourcing operation.

- 
### [What Are the Specific Reporting Differences between CLOB and RFQ Trades under RTS 28?](https://options.greeks.live/question/what-are-the-specific-reporting-differences-between-clob-and-rfq-trades-under-rts-28/)
![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)

RTS 28 reporting translates CLOB data into a narrative of algorithmic efficiency and RFQ data into a defense of discreet, relationship-based liquidity sourcing.

- 
### [How Can Transaction Cost Analysis Be Adapted to Measure the Effectiveness of an RFQ Strategy?](https://options.greeks.live/question/how-can-transaction-cost-analysis-be-adapted-to-measure-the-effectiveness-of-an-rfq-strategy/)
![A dark, precision-engineered module with raised circular elements integrates with a smooth beige housing. It signifies high-fidelity execution for institutional RFQ protocols, ensuring robust price discovery and capital efficiency in digital asset derivatives market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-system-core-high-speed-price-discovery-module.jpg)

Adapting TCA for RFQs means quantifying bilateral negotiation effectiveness to build a superior liquidity sourcing system.

- 
### [How Does the SI Regime Affect a Buy-Side Firm’s Approach to Achieving Best Execution?](https://options.greeks.live/question/how-does-the-si-regime-affect-a-buy-side-firms-approach-to-achieving-best-execution/)
![Intersecting multi-asset liquidity channels with an embedded intelligence layer define this precision-engineered framework. It symbolizes advanced institutional digital asset RFQ protocols, visualizing sophisticated market microstructure for high-fidelity execution, mitigating counterparty risk and enabling atomic settlement across crypto derivatives.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-execution-system-microstructure-dynamics.jpg)

The SI regime forces a buy-side firm to architect a systematic, data-driven process to harness private liquidity for best execution.

- 
### [What Are the Key Differences in Applying Best Execution to RFQ versus Lit Markets?](https://options.greeks.live/question/what-are-the-key-differences-in-applying-best-execution-to-rfq-versus-lit-markets/)
![A sleek, multi-layered institutional crypto derivatives platform interface, featuring a transparent intelligence layer for real-time market microstructure analysis. Buttons signify RFQ protocol initiation for block trades, enabling high-fidelity execution and optimal price discovery within a robust Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-crypto-derivatives-os-precision-execution-rfq-protocol-intelligence-layer.jpg)

Best execution demands protocol-specific analysis: statistical for lit markets, comparative for RFQ negotiations.

- 
### [What Are the Primary Data Points Required to Justify an RFM Trade for Best Execution?](https://options.greeks.live/question/what-are-the-primary-data-points-required-to-justify-an-rfm-trade-for-best-execution/)
![Abstract visualization of institutional RFQ protocol for digital asset derivatives. Translucent layers symbolize dark liquidity pools within complex market microstructure. A central channel ensures high-fidelity execution and atomic settlement. Green nodes denote private quotation endpoints, enabling aggregated inquiry and price discovery.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-6.jpg)

Justifying an RFM trade requires a continuous data narrative proving it was the optimal path to minimize impact and information leakage.

- 
### [How Do Reporting Deferrals for RFQ Platforms Affect a Firm’s Best Execution Obligations?](https://options.greeks.live/question/how-do-reporting-deferrals-for-rfq-platforms-affect-a-firms-best-execution-obligations/)
![A sleek, futuristic apparatus featuring a central spherical processing unit flanked by dual reflective surfaces and illuminated data conduits. This system visually represents an advanced RFQ protocol engine facilitating high-fidelity execution and liquidity aggregation for institutional digital asset derivatives. It embodies precise price discovery, multi-leg spread processing, and atomic settlement within a Prime RFQ framework.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-options-rfq-liquidity-aggregation-interface.jpg)

Reporting deferrals embed market impact mitigation into best execution, demanding a dynamic, evidence-based analysis of delayed data.

- 
### [How Can a Firm’s Technological Infrastructure Be Optimized to Enhance Its Ability to Prove Best Execution for Complex Options?](https://options.greeks.live/question/how-can-a-firms-technological-infrastructure-be-optimized-to-enhance-its-ability-to-prove-best-execution-for-complex-options/)
![A sleek, multi-component device with a dark blue base and beige bands culminates in a sophisticated top mechanism. This precision instrument symbolizes a Crypto Derivatives OS facilitating RFQ protocol for block trade execution, ensuring high-fidelity execution and atomic settlement for institutional-grade digital asset derivatives across diverse liquidity pools.](https://options.greeks.live/wp-content/uploads/2025/08/advanced-mechanism-for-principal-trading-firm-rfq-protocols-and-high-fidelity-digital-asset-derivatives-execution.jpg)

An optimized infrastructure proves best execution by creating a unified, auditable data fabric that evidences a superior decision-making process.

- 
### [What Are the Key Differences in Applying Best Execution to Rfqs for Retail versus Professional Clients?](https://options.greeks.live/question/what-are-the-key-differences-in-applying-best-execution-to-rfqs-for-retail-versus-professional-clients/)
![An intricate, high-precision mechanism symbolizes an Institutional Digital Asset Derivatives RFQ protocol. Its sleek off-white casing protects the core market microstructure, while the teal-edged component signifies high-fidelity execution and optimal price discovery. A detailed circular dial suggests real-time implied volatility and quantitative analysis for portfolio margin.](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-institutional-digital-asset-derivatives-rfq-protocol-high-fidelity-market-microstructure-optimization.jpg)

The primary difference in best execution for RFQs is the shift from a price-centric, protective model for retail clients to a multi-factor, strategic model for professionals.

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        "Market Microstructure",
        "MiFID II",
        "Order Management System",
        "Price Improvement",
        "Request for Quote",
        "RFQ",
        "RFQ Data",
        "RTS 28",
        "TCA",
        "Transaction Cost",
        "Transaction Cost Analysis"
    ]
}
```

```json
{
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    "@type": "WebSite",
    "url": "https://options.greeks.live/",
    "potentialAction": {
        "@type": "SearchAction",
        "target": "https://options.greeks.live/?s=search_term_string",
        "query-input": "required name=search_term_string"
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}
```


---

**Original URL:** https://options.greeks.live/question/what-specific-data-points-must-be-captured-to-prove-best-execution-for-an-rfq-under-rts-28/
