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FIX Protocol: RFS vs RFQ in FX Trading

Comparison of Request for Stream (RFS) and Request for Quote (RFQ) workflows in foreign exchange trading using the FIX protocol.

Overview

Aspect RFQ (Request for Quote) RFS (Request for Stream)
Full Name Request for Quote Request for Stream
Price Type Single firm quote Continuous streaming prices
Duration One-time (quote expires) Ongoing until cancelled
Trading Style Manual, deliberate Automated, high-frequency
Latency Higher (request → quote → trade) Lower (stream always available)
Use Case Large blocks, infrequent trades Fast execution, frequent trades

RFQ (Request for Quote)

What is RFQ?

A traditional quote-request workflow where: 1. Client requests a quote for specific currency pair and amount 2. Dealer responds with a firm price (bid/ask) 3. Quote is valid for a short time (typically 5-10 seconds) 4. Client accepts (trades) or rejects (times out)

Typical RFQ Workflow

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Client                          Dealer
  |                               |
  |---(1) QuoteRequest---------->|  "Quote me EUR/USD 10M"
  |                               |
  |<--(2) Quote------------------|  "Bid: 1.0850 / Ask: 1.0852"
  |                               |
  |---(3) ExecutionReport------->|  "Hit the bid at 1.0850"
  |                               |
  |<--(4) ExecutionReport--------|  "Fill: 10M @ 1.0850"

FIX Message Examples

1. Client Sends QuoteRequest (MsgType=R)

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8=FIX.4.4|9=185|35=R|49=CLIENT|56=DEALER|34=100|52=20250117-10:15:30|
131=REQ-12345|              # QuoteReqID
146=1|                      # NoRelatedSym
55=EUR/USD|                 # Symbol
54=1|                       # Side (1=Buy, 2=Sell)
38=10000000|                # OrderQty (10 million)
40=D|                       # OrdType (D=Previously quoted)
10=123|

Translation: - "I want a quote to BUY 10M EUR/USD" - QuoteReqID: REQ-12345 (for tracking)

2. Dealer Responds with Quote (MsgType=S)

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8=FIX.4.4|9=225|35=S|49=DEALER|56=CLIENT|34=200|52=20250117-10:15:31|
117=REQ-12345|              # QuoteReqID (matching request)
131=QUOTE-67890|            # QuoteID
55=EUR/USD|                 # Symbol
132=1.0850|                 # BidPx
133=1.0852|                 # OfferPx
134=10000000|               # BidSize
135=10000000|               # OfferSize
62=20250117-10:15:36|       # ValidUntilTime (5 seconds)
10=456|

Translation: - "Here's your quote for EUR/USD:" - Bid: 1.0850 (you can sell EUR to me at this price) - Ask: 1.0852 (you can buy EUR from me at this price) - Size: 10M on both sides - Valid until: 10:15:36 (5 seconds from now)

3. Client Executes on Quote (MsgType=D - NewOrderSingle)

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8=FIX.4.4|9=195|35=D|49=CLIENT|56=DEALER|34=101|52=20250117-10:15:32|
11=ORDER-98765|             # ClOrdID
117=QUOTE-67890|            # QuoteID (referencing dealer's quote)
55=EUR/USD|                 # Symbol
54=2|                       # Side (2=Sell, so hitting the BID)
38=10000000|                # OrderQty
40=D|                       # OrdType (D=Previously quoted)
44=1.0850|                  # Price (must match quote bid)
10=789|

Translation: - "I'm selling 10M EUR/USD at 1.0850 (hitting your bid)" - Referencing your quote: QUOTE-67890

4. Dealer Confirms Fill (MsgType=8 - ExecutionReport)

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8=FIX.4.4|9=245|35=8|49=DEALER|56=CLIENT|34=201|52=20250117-10:15:33|
37=EXEC-11111|              # OrderID
11=ORDER-98765|             # ClOrdID (from client's order)
17=FILL-22222|              # ExecID
150=2|                      # ExecType (2=Fill)
39=2|                       # OrdStatus (2=Filled)
55=EUR/USD|                 # Symbol
54=2|                       # Side
38=10000000|                # OrderQty
14=10000000|                # CumQty (fully filled)
151=0|                      # LeavesQty
31=1.0850|                  # LastPx (execution price)
32=10000000|                # LastQty
10=012|

Translation: - "Your order is FILLED" - 10M EUR/USD @ 1.0850 - Trade ID: FILL-22222

RFQ Characteristics

✅ Advantages: - Firm, binding prices - Good for large block trades - Price certainty before execution - Dealer can assess risk before quoting

❌ Disadvantages: - Higher latency (3-step process) - Quotes expire quickly - Not suitable for high-frequency trading - Manual intervention often required

RFS (Request for Stream)

What is RFS?

A modern streaming workflow where: 1. Client requests a continuous price stream for currency pair 2. Dealer streams live, updateable prices (like a ticker) 3. Client can trade immediately on any streamed price 4. Stream continues until client cancels or market closes

Typical RFS Workflow

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Client                          Dealer
  |                               |
  |---(1) QuoteRequest---------->|  "Stream me EUR/USD 10M"
  |                               |
  |<--(2) Quote (stream)---------|  "Bid: 1.0850 / Ask: 1.0852"
  |<--(3) Quote (stream)---------|  "Bid: 1.0851 / Ask: 1.0853"
  |<--(4) Quote (stream)---------|  "Bid: 1.0850 / Ask: 1.0852"
  |                               |
  |---(5) NewOrderSingle-------->|  "Lift offer at 1.0852"
  |                               |
  |<--(6) ExecutionReport--------|  "Fill: 10M @ 1.0852"

FIX Message Examples

1. Client Requests Price Stream (MsgType=R)

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8=FIX.4.4|9=195|35=R|49=CLIENT|56=DEALER|34=100|52=20250117-10:15:30|
131=STREAM-REQ-001|         # QuoteReqID
146=1|                      # NoRelatedSym
55=EUR/USD|                 # Symbol
38=10000000|                # OrderQty (stream size)
303=1|                      # QuoteRequestType (1=Automatic, request stream)
336=1|                      # TradingSessionID (1=Continuous streaming)
10=123|

Translation: - "Start streaming prices for EUR/USD, 10M size" - Continuous mode (not a one-time quote) - Stream ID: STREAM-REQ-001

2. Dealer Streams Prices (MsgType=S) - Message 1

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8=FIX.4.4|9=235|35=S|49=DEALER|56=CLIENT|34=200|52=20250117-10:15:31.123|
117=STREAM-REQ-001|         # QuoteReqID
131=QUOTE-S-001|            # QuoteID (unique per update)
55=EUR/USD|                 # Symbol
132=1.0850|                 # BidPx
133=1.0852|                 # OfferPx
134=10000000|               # BidSize
135=10000000|               # OfferSize
537=1|                      # QuoteType (1=Indicative, tradable stream)
10=456|

Translation: - Bid: 1.0850 / Ask: 1.0852 (10M size) - This is a streaming quote (not expiring)

3. Dealer Updates Price (MsgType=S) - Message 2 (200ms later)

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8=FIX.4.4|9=235|35=S|49=DEALER|56=CLIENT|34=201|52=20250117-10:15:31.323|
117=STREAM-REQ-001|         # Same stream
131=QUOTE-S-002|            # New QuoteID
55=EUR/USD|
132=1.0851|                 # BidPx (UPDATED +1 pip)
133=1.0853|                 # OfferPx (UPDATED +1 pip)
134=10000000|
135=10000000|
537=1|                      # QuoteType (1=Indicative)
10=457|

Translation: - Price updated: Bid: 1.0851 / Ask: 1.0853 - Stream continues...

4. Client Trades on Stream (MsgType=D)

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8=FIX.4.4|9=195|35=D|49=CLIENT|56=DEALER|34=102|52=20250117-10:15:31.500|
11=ORDER-STREAM-100|        # ClOrdID
117=QUOTE-S-002|            # QuoteID (latest stream price)
55=EUR/USD|
54=1|                       # Side (1=Buy, lifting the offer)
38=10000000|                # OrderQty
40=D|                       # OrdType (D=Previously quoted)
44=1.0853|                  # Price (must match stream offer)
10=789|

Translation: - "I'm buying 10M EUR/USD at 1.0853" (lifting the offer from QUOTE-S-002)

5. Dealer Confirms Fill (MsgType=8)

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8=FIX.4.4|9=245|35=8|49=DEALER|56=CLIENT|34=202|52=20250117-10:15:31.550|
37=EXEC-STREAM-200|         # OrderID
11=ORDER-STREAM-100|        # ClOrdID
17=FILL-STREAM-300|         # ExecID
150=2|                      # ExecType (2=Fill)
39=2|                       # OrdStatus (2=Filled)
55=EUR/USD|
54=1|                       # Side
31=1.0853|                  # LastPx
32=10000000|                # LastQty (filled amount)
14=10000000|                # CumQty
151=0|                      # LeavesQty
10=012|

Translation: - "Fill confirmed: 10M EUR/USD @ 1.0853"

6. Stream Continues (Unless Cancelled)

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8=FIX.4.4|9=235|35=S|49=DEALER|56=CLIENT|34=203|52=20250117-10:15:32.100|
117=STREAM-REQ-001|         # Same stream (still active)
131=QUOTE-S-003|            # Next update
55=EUR/USD|
132=1.0852|                 # BidPx
133=1.0854|                 # OfferPx
134=10000000|
135=10000000|
537=1|
10=458|

Translation: - Stream continues: Bid: 1.0852 / Ask: 1.0854

7. Client Cancels Stream (MsgType=Z - QuoteCancel)

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8=FIX.4.4|9=145|35=Z|49=CLIENT|56=DEALER|34=103|52=20250117-10:16:00|
131=STREAM-REQ-001|         # QuoteReqID to cancel
298=1|                      # QuoteCancelType (1=Cancel for Symbol)
55=EUR/USD|
10=999|

Translation: - "Stop streaming EUR/USD prices"

RFS Characteristics

✅ Advantages: - Ultra-low latency - prices always available - No quote expiration - Ideal for algorithmic/high-frequency trading - Reduced message overhead (no repeated requests) - Real-time market view

❌ Disadvantages: - Prices may be indicative (less firm than RFQ) - Requires more infrastructure (streaming connections) - Higher bandwidth usage - Dealer needs sophisticated risk management

Head-to-Head Comparison

Latency Comparison

RFQ: 

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Request → Quote → Order → Fill
  50ms     50ms     50ms    50ms

Total: ~200ms minimum

RFS: 

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(Stream already active)
Order → Fill
 50ms    50ms

Total: ~100ms (50% faster)

Use Case Examples

Scenario Best Choice Why
Hedge fund trading 100M EUR/USD block RFQ Large size, needs firm price, infrequent
Algo trading 1M EUR/USD 50x per day RFS High frequency, low latency critical
Corporate treasury monthly FX needs RFQ Infrequent, manual, needs certainty
Market maker arbitrage trading RFS Real-time prices, immediate execution
Retirement fund rebalancing RFQ Large size, careful execution
HFT shop stat-arb strategy RFS Speed is everything

Message Flow Summary

RFQ: 4 messages minimum 1. Client → QuoteRequest 2. Dealer → Quote 3. Client → NewOrderSingle 4. Dealer → ExecutionReport

RFS: 3 messages after initial setup 1. Client → QuoteRequest (one-time setup) 2. Dealer → Quote (streaming, many updates) 3. Client → NewOrderSingle (when ready to trade) 4. Dealer → ExecutionReport

Key FIX Fields Reference

Field Tag RFQ Usage RFS Usage
QuoteReqID 131 Per request Persistent stream ID
QuoteID 117 Single quote Updates per tick
QuoteRequestType 303 Not used 1=Automatic (stream)
ValidUntilTime 62 Critical (expiry) Not used (no expiry)
QuoteType 537 Not used 1=Indicative
BidPx 132 Firm price Streaming price
OfferPx 133 Firm price Streaming price

Decision Matrix

Choose RFQ if:

  • ✅ Trading large blocks (> 50M)
  • ✅ Infrequent trades (< 10/day)
  • ✅ Need guaranteed firm prices
  • ✅ Manual trading workflow
  • ✅ Price certainty is critical

Choose RFS if:

  • ✅ High-frequency trading (> 50/day)
  • ✅ Latency-sensitive strategies
  • ✅ Algorithmic execution
  • ✅ Need continuous market view
  • ✅ Small to medium sizes (< 50M)

Modern Hybrid Approach

Many platforms now support both:

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Morning: RFS for algo trading (9am-12pm)
  → Fast execution, tight spreads

Afternoon: RFQ for block trades (2pm-4pm)
  → Large size, firm pricing

Example: Bloomberg FXGO - Supports both RFQ and RFS - Traders switch based on trade size and urgency

Performance Metrics

Real-world benchmarks (major FX bank):

Metric RFQ RFS
Avg latency (request → fill) 185ms 92ms
Trades/second capacity ~50 ~500
Typical spread (EUR/USD) 1.5 pips 0.8 pips
Quote validity 5-10 sec Continuous

Conclusion

RFQ = Traditional, reliable, firm pricing for deliberate trades RFS = Modern, fast, continuous pricing for automated trading

Most institutional traders use: - RFS for 80% of trades (small, frequent) - RFQ for 20% of trades (large, important)

The FIX protocol elegantly supports both workflows with minimal message overhead.