RFQ (Request for Quote)

The RFQ service implements a dealer-driven workflow for fixed-income orders. Bonds rarely have continuous lit liquidity, so traders request quotes from a panel of dealers and execute against the best one. The platform's RFQ service simulates that flow end-to-end.

Why RFQ exists alongside the EMS

The EMS routes orders that can be matched against a continuous order book (equities, futures, derivatives). For bonds, that book usually doesn't exist: liquidity is fragmented across a dealer network, and prices are negotiated rather than discovered. The OMS detects bond orders and forwards them to orders.fi.rfq instead of orders.routed, where the RFQ service picks them up.

Flow

sequenceDiagram
    participant OMS
    participant RFQ as RFQ Service
    participant Dealers as Simulated Dealers
    participant Journal
    participant FIX as fix-archive

    OMS->>RFQ: bond order on orders.fi.rfq
    RFQ->>RFQ: create record (state PENDING)
    RFQ->>Dealers: send RFQ to 3-5 dealers in parallel
    Dealers-->>RFQ: quotes (50-800 ms each)
    RFQ->>RFQ: auto-pick tightest spread after QUOTE_WINDOW_MS
    RFQ->>Journal: orders.filled (mirrors EMS shape)
    RFQ->>FIX: fix.execution
    RFQ->>RFQ: publish rfq.executed + rfq.quote.update

Auto-execution policy

After QUOTE_WINDOW_MS the service picks the tightest spread among the responses and executes against that dealer. Anything still unanswered is timed out. Operators can override the auto-pick by calling POST /rfq/:id/execute with the dealer id of their choice; this is used by sales workflows that prefer a specific relationship over the cheapest tick.

Outputs

Each successful execution fans out across four streams so downstream consumers don't need an RFQ-specific path:

• rfq.executed — full trade record with dealer panel and chosen quote
• orders.filled — mirrors the EMS fill shape so the journal and gateway treat it like any other fill
• fix.execution — picked up by fix-archive for execution-report persistence
• rfq.quote.update — real-time stream for the frontend RFQ panel

The fan-out is the reason the CCP can clear RFQ trades through the same pipeline as lit and dark fills.

HTTP surface

| Path | Purpose | | --- | --- | | GET /health | liveness | | GET /rfq/:id | fetch a single RFQ including all dealer quotes | | GET /rfq | recent RFQs (last 100) | | POST /rfq/:id/execute | manually select a specific dealer quote |

Source

backend/src/rfq/rfq-service.ts