RFQ forward order price precision

Yevheniia Kharakozova

Hi

I'm getting the quote request on the FIX session for 2W fwd EUR/USD:

35=R|49=...|56=...|34=4|52=20220812-14:49:50.186|131=134962063|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXFWD|31992=2|9234=N|1913=1|15=EUR|9240=N|25044=LEIACCT1012345678900|31345=N|31344=DEAL|453=3|...|555=1|654=1|687=50000.00|556=EUR|588=20220830|675=EUR|6215=2W|30255=635400MQZIPRVPDDZK76134962063L0|30442=N|30463=N|600=EUR/USD|609=FXFWD|670=1|672=0|671=RFQ1|9252=635400MQZIPRVPDDZK76134962063L0A0|9255=LEIACCT1012345678900|30462=N|30423=N|673=50000.00|1367=EUR|60=20220812-14:49:50.178|10=019|

We see that 31994=5 (SpotDPS) , 31995=3 (PointDPS) and 30379=7(AllInDPS)

My outgoing Quote message has the following prices:

35=S|34=11|52=20220812-14:49:51.516|49=...|56=...|131=134962063|117=01234678901234567891000YAA__CAAAAAA|146=1|55=EUR/USD|31022=Y|167=FXFWD|15=EUR|40=D|555=1|654=1|600=EUR/USD|609=FXFWD|687=50000|556=EUR|588=20220830|6215=2W|30386=1.00979|1067=-6.454|30387=1.01121|1068=34.552|670=1|672=0|671=RFQ1|673=50000|10=052|

So in NewOrder I expect to get 566=1.0091446 which is actually a sum of tags 30386 and 1067(value in pips) : 1.00979 + (-0.0006454) = 1.0091446

But it appears that order contains value with AllInDPS=6:

35=D|49=...|56=...|34=5|52=20220812-14:49:52.519|11=134962063-OTD|131=134962063|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|54=2|167=FXFWD|38=50000.00|15=EUR|40=D|588=20220830|6215=2W|566=1.009145|30262=1.00979|30263=-6.454|9240=N|25044=LEIACCT1012345678900|31345=N|31344=DEAL|453=3|...|670=1|672=0|671=RFQ1|9252=635400MQZIPRVPDDZK76134962063L0A0|9255=LEIACCT1012345678900|30462=N|30423=N|673=50000.00|9212=2|1367=EUR|117=01234678901234567891000YAA__CAAAAAA|60=20220812-14:49:52.519|10=186|

which is actually rounded and so doesn't match published one, though spot rate and points values in the order are correct.

Besides, AllIn price in the GUI for this request is shown with dp=7

Could you please help with that?

Thanks

cashrfqfix

Hi Yevheniia,

After investigation together and testing internally we can confirm that this issue was a bug that has been fixed

Kind regards,

Cash RFQ FIX team

Gurpreet

Hi @Yevheniia Kharakozova,

This doesn't seem to be from a Refinitiv product or a service - can you please confirm this. I would recommend that you contact the vendor providing this FIX data to resolve it.

Update: This is a Refinitiv product, and the prod team will provide you an answer shortly.

zoya faberov

Hello @Yevheniia Kharakozova ,

Thanks for your question.

The relevant team has received your question and is looking to address it.

Thanks for the update @Gurpreet

cashrfqfix

Hi @Yevheniia Kharakozova,

As discussed on the calls we have had, the dev teams are investigating this. We will get back to you Once we have the result.

Please email us - CashRFQFIX@lseg.com if you have further question.