Robert Mitchell |
Hi All! Is there a convention for expressing order quantity in fixed income? Thanks in advance, |
John Cameron |
Not sure if this is relevant but I just did a search for "par" on FIXwiki and came up with the following page: http:/ John > Dean, |
Dean Kauffman |
Jesús, If the number you want is the par value of one bond then I recommend using ContractMultiplier(231)=1 since the established standard for fixed income quantity fields is in units of 1 currency par value. Yes, bonds are thought of to be 100 USD or 1000 EUR par in the wholesale market but if you put that value in the Instrument component for SecurityList then the arithmetic breaks down. Meaning that if you report ContractMultiplier(231)=1000 then the value in the quantity fields will need to par divided by 1000 - not in line with the standard. By the way UnderlyingQty(879) isn't meant for this purpose either - if you are reporting an option to buy 1MM par of a bond then you describe in the bond in UnderlyingInstrument and put 1000000 in that field. Dean > Not sure if this is relevant but I just did a search for "par" on FIXwiki and came up with the following page: http:/ |
Lisa Taikitsadaporn |
Jesús, By specifying that the ContractMultiplier=1 (meaning 1 bond) currently the SecurityList message doesn't prove a place for you to specify what is the par value of that 1 bond is. If you are tempted to specify ContractMultiplier=1000 par value for 1 bond, you have to be careful with the math in the trading messages (e.g. NewOrder) as Dean noted. The ContractMultiplierUnit(1435) in SecurityList doesn't really help you in this regard (another shortcoming of the present message). You can get around these short comings in your firm's implementation documentation, clearly documenting the requirements and the math conversion between Security definition info and what's required for trading messages. You may be wondering why so much short coming with the SecurityList message for FI support, reason being that FI requirements weren't taken into consideration when those messages were proposed as the messages were originally proposed by the listed derivatives community of users. > Jesús, |
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