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Discussions > Fixed Income > Specifying Order Quantity for Fixed Income

Specifying Order Quantity for Fixed Income

Complete message thread from old site

Robert Mitchell
1631 days ago,(2009/11/05)

Hi All!

Is there a convention for expressing order quantity in fixed income?

Thanks in advance,

FIX Trading Community
1631 days ago,(2009/11/06)

[ original email was from Rob Gilliam - rob.gilliam@reuters.com ]
> Hi All!
>
> Is there a convention for expressing order quantity in fixed income?
>
> Thanks in advance,

Quantity is the principal value of the trade, i.e. if you are buying 100,000 US treasuries with a nominal value of USD 100 each, OrderQty (tag 38) would be 10000000 (10 million)

Robert Mitchell
1629 days ago,(2009/11/08)

> > Hi All!
> >
> > Is there a convention for expressing order quantity in fixed income?
> >
> > Thanks in advance,
>
> Quantity is the principal value of the trade, i.e. if you are buying
> 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> (tag 38) would be 10000000 (10 million)
Thanks Rob. But wouldn't it be more simple to specify quantity in terms of face value, if a treasury with a $1000 face value is trading at 98.750% of par and I want to bid for 1000 of those bonds I would specify the price as percent of par (98.750) and quantity as 1,000,000 - NOT 987,500. Why wouldn't that work better?

Thanks in advance,

FIX Trading Community
1629 days ago,(2009/11/08)

[ original email was from John Harris - john.harris@bondmart.com ]
The term "Par Value" means the dollar (or other currency) value of one unit of the subject security. For marketable U.S. Treasury securities, Par Value is currently one-hundred dollars ($100.00).

The term "Par Amount" means the product of Par Value and the quantity of units of the subject security. One-thousand units of marketable U.S. Treasury securities would today equate to a Par Amount of one-hundred-thousand dollars ($100,000).

The term "Face Amount" means the same thing as Par Amount, i.e., Par Amount and Face Amount are perfect synonyms.

The term "Dollar Price" means the price of the subject security expressed as a percentage of Par Value. It may be expressed with or without a dollar sign.

The term "Dollar Value" means the product of Dollar Price and Par (or Face) Amount. The Dollar Value of one-thousand units of marketable U.S. Treasury securities having a Dollar Price of $98.375 would be $98,375.00.

Unfortunately, while the above definitions are useful, in the design of a fixed-income-order-routing or -matching system you will still have to work out rules of engagement on your own, with your counterparts.

First, only recently did the Par Value of marketable U.S. Treasury securities become one-hundred dollars. For years, the Par Value of such securities was one-thousand dollars. All U.S. Treasury trading systems with which I am familiar still assume that the Par Value for U.S. Treasury securities is one-thousand dollars.

Second, two notions of lot size prevail in the market.

The dealer-to-customer market assumes a lot size of $1,000 Par Amount. Typically, in the dealer-to-customer market, a quoted size of "1" would mean $1,000 Par Amount; a quoted size of "100" would mean $100,000 Par Amount; a quoted size of "1,000" would mean $1 million Par Amount; and so forth.

The inter-dealer market assumes a lot size of $1 million Par Amount. Typically, in the inter-dealer market, a quoted size of "1" would mean $1 million Par Amount; a quoted size of "25" would mean $25 million Par Amount.

Going back to your original question, "convention" is a fuzzy concept in the fixed-income market. If you publish a FIX implementation specification for a system you are developing or are parsing one for a system with which you intend to connect, you will have no choice but to confirm these details on a case-by-case basis with your counterparts, either by telling them what you mean or asking them what they mean.

> > > Hi All!
> > >
> > > Is there a convention for expressing order quantity in fixed income?
> > >
> > > Thanks in advance,
> >
> > Quantity is the principal value of the trade, i.e. if you are buying
> > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > (tag 38) would be 10000000 (10 million)
> Thanks Rob. But wouldn't it be more simple to specify quantity in terms
> of face value, if a treasury with a $1000 face value is trading at
> 98.750% of par and I want to bid for 1000 of those bonds I would specify
> the price as percent of par (98.750) and quantity as 1,000,000 - NOT
> 987,500. Why wouldn't that work better?
>
> Thanks in advance,

Robert Mitchell
1628 days ago,(2009/11/08)

Many thanks John. That was very helpful.

> The term "Par Value" means the dollar (or other currency) value of one
> unit of the subject security. For marketable U.S. Treasury securities,
> Par Value is currently one-hundred dollars ($100.00).
>
> The term "Par Amount" means the product of Par Value and the quantity of
> units of the subject security. One-thousand units of marketable U.S.
> Treasury securities would today equate to a Par Amount of one-hundred-
> thousand dollars ($100,000).
>
> The term "Face Amount" means the same thing as Par Amount, i.e., Par
> Amount and Face Amount are perfect synonyms.
>
> The term "Dollar Price" means the price of the subject security
> expressed as a percentage of Par Value. It may be expressed with or
> without a dollar sign.
>
> The term "Dollar Value" means the product of Dollar Price and Par (or
> Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> Treasury securities having a Dollar Price of $98.375 would be
> $98,375.00.
>
> Unfortunately, while the above definitions are useful, in the design of
> a fixed-income-order-routing or -matching system you will still have to
> work out rules of engagement on your own, with your counterparts.
>
> First, only recently did the Par Value of marketable U.S. Treasury
> securities become one-hundred dollars. For years, the Par Value of such
> securities was one-thousand dollars. All U.S. Treasury trading systems
> with which I am familiar still assume that the Par Value for U.S.
> Treasury securities is one-thousand dollars.
>
> Second, two notions of lot size prevail in the market.
>
> The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> Typically, in the dealer-to-customer market, a quoted size of "1"
> would mean $1,000 Par Amount; a quoted size of "100" would mean
> $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> Par Amount; and so forth.
>
> The inter-dealer market assumes a lot size of $1 million Par Amount.
> Typically, in the inter-dealer market, a quoted size of "1" would mean
> $1 million Par Amount; a quoted size of "25" would mean $25 million
> Par Amount.
>
> Going back to your original question, "convention" is a fuzzy concept in
> the fixed-income market. If you publish a FIX implementation
> specification for a system you are developing or are parsing one for a
> system with which you intend to connect, you will have no choice but to
> confirm these details on a case-by-case basis with your counterparts,
> either by telling them what you mean or asking them what they mean.
>
>
>
>
> > > > Hi All!
> > > >
> > > > Is there a convention for expressing order quantity in fixed
> > > > income?
> > > >
> > > > Thanks in advance,
> > >
> > > Quantity is the principal value of the trade, i.e. if you are buying
> > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > (tag 38) would be 10000000 (10 million)
> > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > terms of face value, if a treasury with a $1000 face value is
> > trading at
> > 98.750% of par and I want to bid for 1000 of those bonds I would
> > specify the price as percent of par (98.750) and quantity as
> > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> >
> > Thanks in advance,

Jesús Devís
448 days ago,(2013/02/01)

We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
Thank you in advance.

> Many thanks John. That was very helpful.
>
> > The term "Par Value" means the dollar (or other currency) value of one
> > unit of the subject security. For marketable U.S. Treasury securities,
> > Par Value is currently one-hundred dollars ($100.00).
> >
> > The term "Par Amount" means the product of Par Value and the quantity of
> > units of the subject security. One-thousand units of marketable U.S.
> > Treasury securities would today equate to a Par Amount of one-hundred-
> > thousand dollars ($100,000).
> >
> > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > Amount and Face Amount are perfect synonyms.
> >
> > The term "Dollar Price" means the price of the subject security
> > expressed as a percentage of Par Value. It may be expressed with or
> > without a dollar sign.
> >
> > The term "Dollar Value" means the product of Dollar Price and Par (or
> > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > Treasury securities having a Dollar Price of $98.375 would be
> > $98,375.00.
> >
> > Unfortunately, while the above definitions are useful, in the design of
> > a fixed-income-order-routing or -matching system you will still have to
> > work out rules of engagement on your own, with your counterparts.
> >
> > First, only recently did the Par Value of marketable U.S. Treasury
> > securities become one-hundred dollars. For years, the Par Value of such
> > securities was one-thousand dollars. All U.S. Treasury trading systems
> > with which I am familiar still assume that the Par Value for U.S.
> > Treasury securities is one-thousand dollars.
> >
> > Second, two notions of lot size prevail in the market.
> >
> > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > Typically, in the dealer-to-customer market, a quoted size of "1"
> > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > Par Amount; and so forth.
> >
> > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > Par Amount.
> >
> > Going back to your original question, "convention" is a fuzzy concept in
> > the fixed-income market. If you publish a FIX implementation
> > specification for a system you are developing or are parsing one for a
> > system with which you intend to connect, you will have no choice but to
> > confirm these details on a case-by-case basis with your counterparts,
> > either by telling them what you mean or asking them what they mean.
> >
> >
> >
> >
> > > > > Hi All!
> > > > >
> > > > > Is there a convention for expressing order quantity in fixed
> > > > > income?
> > > > >
> > > > > Thanks in advance,
> > > >
> > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > (tag 38) would be 10000000 (10 million)
> > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > terms of face value, if a treasury with a $1000 face value is
> > > trading at
> > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > specify the price as percent of par (98.750) and quantity as
> > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > >
> > > Thanks in advance,

Dean Kauffman
447 days ago,(2013/02/01)

Jesús,
In a NewOrderSingle give the full par value (not number of bonds) in OrderQty(38). In an ExecutionReport give the par value traded in LastQty(32). Prior to FIX 4.3 the latter was named LastShares and the description of OrderQty was "Number of shares ordered". Fixed Income entered the game with 4.3 and these and other field names and descriptions were generalized to include par value of bonds, number derivative contracts, etc. If you are implementing based on 4.2 simply disregard this discrepancy.
Dean

> We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
> Thank you in advance.
>
> > Many thanks John. That was very helpful.
> >
> > > The term "Par Value" means the dollar (or other currency) value of one
> > > unit of the subject security. For marketable U.S. Treasury securities,
> > > Par Value is currently one-hundred dollars ($100.00).
> > >
> > > The term "Par Amount" means the product of Par Value and the quantity of
> > > units of the subject security. One-thousand units of marketable U.S.
> > > Treasury securities would today equate to a Par Amount of one-hundred-
> > > thousand dollars ($100,000).
> > >
> > > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > > Amount and Face Amount are perfect synonyms.
> > >
> > > The term "Dollar Price" means the price of the subject security
> > > expressed as a percentage of Par Value. It may be expressed with or
> > > without a dollar sign.
> > >
> > > The term "Dollar Value" means the product of Dollar Price and Par (or
> > > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > > Treasury securities having a Dollar Price of $98.375 would be
> > > $98,375.00.
> > >
> > > Unfortunately, while the above definitions are useful, in the design of
> > > a fixed-income-order-routing or -matching system you will still have to
> > > work out rules of engagement on your own, with your counterparts.
> > >
> > > First, only recently did the Par Value of marketable U.S. Treasury
> > > securities become one-hundred dollars. For years, the Par Value of such
> > > securities was one-thousand dollars. All U.S. Treasury trading systems
> > > with which I am familiar still assume that the Par Value for U.S.
> > > Treasury securities is one-thousand dollars.
> > >
> > > Second, two notions of lot size prevail in the market.
> > >
> > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > > Typically, in the dealer-to-customer market, a quoted size of "1"
> > > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > > Par Amount; and so forth.
> > >
> > > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > > Par Amount.
> > >
> > > Going back to your original question, "convention" is a fuzzy concept in
> > > the fixed-income market. If you publish a FIX implementation
> > > specification for a system you are developing or are parsing one for a
> > > system with which you intend to connect, you will have no choice but to
> > > confirm these details on a case-by-case basis with your counterparts,
> > > either by telling them what you mean or asking them what they mean.
> > >
> > >
> > >
> > >
> > > > > > Hi All!
> > > > > >
> > > > > > Is there a convention for expressing order quantity in fixed
> > > > > > income?
> > > > > >
> > > > > > Thanks in advance,
> > > > >
> > > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > > (tag 38) would be 10000000 (10 million)
> > > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > > terms of face value, if a treasury with a $1000 face value is
> > > > trading at
> > > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > > specify the price as percent of par (98.750) and quantity as
> > > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > > >
> > > > Thanks in advance,

Jesús Devís
447 days ago,(2013/02/02)

Dean,
Thanks for your answer. Our question has to do with the description of securities more than with specifying quantities in orders and trades. Yes, we use OrderQty(38) and LastQty(32) in the way that you kindly describe. The point is that we are required to include the currency (dollar, euro or other) value of one unit of the subject security -the "Par value" as it was previously defined in this thread- as part of the security details that we must provide in SecurityList messages. We cannot find a suitable field for that and we would like to know about solutions that other people assumed.
Thanks again.

> Jesús,
> In a NewOrderSingle give the full par value (not number of bonds) in OrderQty(38). In an ExecutionReport give the par value traded in LastQty(32). Prior to FIX 4.3 the latter was named LastShares and the description of OrderQty was "Number of shares ordered". Fixed Income entered the game with 4.3 and these and other field names and descriptions were generalized to include par value of bonds, number derivative contracts, etc. If you are implementing based on 4.2 simply disregard this discrepancy.
> Dean
>
>
> > We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
> > Thank you in advance.
> >
> > > Many thanks John. That was very helpful.
> > >
> > > > The term "Par Value" means the dollar (or other currency) value of one
> > > > unit of the subject security. For marketable U.S. Treasury securities,
> > > > Par Value is currently one-hundred dollars ($100.00).
> > > >
> > > > The term "Par Amount" means the product of Par Value and the quantity of
> > > > units of the subject security. One-thousand units of marketable U.S.
> > > > Treasury securities would today equate to a Par Amount of one-hundred-
> > > > thousand dollars ($100,000).
> > > >
> > > > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > > > Amount and Face Amount are perfect synonyms.
> > > >
> > > > The term "Dollar Price" means the price of the subject security
> > > > expressed as a percentage of Par Value. It may be expressed with or
> > > > without a dollar sign.
> > > >
> > > > The term "Dollar Value" means the product of Dollar Price and Par (or
> > > > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > > > Treasury securities having a Dollar Price of $98.375 would be
> > > > $98,375.00.
> > > >
> > > > Unfortunately, while the above definitions are useful, in the design of
> > > > a fixed-income-order-routing or -matching system you will still have to
> > > > work out rules of engagement on your own, with your counterparts.
> > > >
> > > > First, only recently did the Par Value of marketable U.S. Treasury
> > > > securities become one-hundred dollars. For years, the Par Value of such
> > > > securities was one-thousand dollars. All U.S. Treasury trading systems
> > > > with which I am familiar still assume that the Par Value for U.S.
> > > > Treasury securities is one-thousand dollars.
> > > >
> > > > Second, two notions of lot size prevail in the market.
> > > >
> > > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > > > Typically, in the dealer-to-customer market, a quoted size of "1"
> > > > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > > > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > > > Par Amount; and so forth.
> > > >
> > > > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > > > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > > > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > > > Par Amount.
> > > >
> > > > Going back to your original question, "convention" is a fuzzy concept in
> > > > the fixed-income market. If you publish a FIX implementation
> > > > specification for a system you are developing or are parsing one for a
> > > > system with which you intend to connect, you will have no choice but to
> > > > confirm these details on a case-by-case basis with your counterparts,
> > > > either by telling them what you mean or asking them what they mean.
> > > >
> > > >
> > > >
> > > >
> > > > > > > Hi All!
> > > > > > >
> > > > > > > Is there a convention for expressing order quantity in fixed
> > > > > > > income?
> > > > > > >
> > > > > > > Thanks in advance,
> > > > > >
> > > > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > > > (tag 38) would be 10000000 (10 million)
> > > > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > > > terms of face value, if a treasury with a $1000 face value is
> > > > > trading at
> > > > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > > > specify the price as percent of par (98.750) and quantity as
> > > > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > > > >
> > > > > Thanks in advance,

John Cameron
447 days ago,(2013/02/02)

Not sure if this is relevant but I just did a search for "par" on FIXwiki and came up with the following page: http://fixwiki.org/fixwiki/QuantityType/8_PAR - namely value 8 of the QuantityType(465) field.

John

> Dean,
> Thanks for your answer. Our question has to do with the description of securities more than with specifying quantities in orders and trades. Yes, we use OrderQty(38) and LastQty(32) in the way that you kindly describe. The point is that we are required to include the currency (dollar, euro or other) value of one unit of the subject security -the "Par value" as it was previously defined in this thread- as part of the security details that we must provide in SecurityList messages. We cannot find a suitable field for that and we would like to know about solutions that other people assumed.
> Thanks again.
>
> > Jesús,
> > In a NewOrderSingle give the full par value (not number of bonds) in OrderQty(38). In an ExecutionReport give the par value traded in LastQty(32). Prior to FIX 4.3 the latter was named LastShares and the description of OrderQty was "Number of shares ordered". Fixed Income entered the game with 4.3 and these and other field names and descriptions were generalized to include par value of bonds, number derivative contracts, etc. If you are implementing based on 4.2 simply disregard this discrepancy.
> > Dean
> >
> >
> > > We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
> > > Thank you in advance.
> > >
> > > > Many thanks John. That was very helpful.
> > > >
> > > > > The term "Par Value" means the dollar (or other currency) value of one
> > > > > unit of the subject security. For marketable U.S. Treasury securities,
> > > > > Par Value is currently one-hundred dollars ($100.00).
> > > > >
> > > > > The term "Par Amount" means the product of Par Value and the quantity of
> > > > > units of the subject security. One-thousand units of marketable U.S.
> > > > > Treasury securities would today equate to a Par Amount of one-hundred-
> > > > > thousand dollars ($100,000).
> > > > >
> > > > > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > > > > Amount and Face Amount are perfect synonyms.
> > > > >
> > > > > The term "Dollar Price" means the price of the subject security
> > > > > expressed as a percentage of Par Value. It may be expressed with or
> > > > > without a dollar sign.
> > > > >
> > > > > The term "Dollar Value" means the product of Dollar Price and Par (or
> > > > > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > > > > Treasury securities having a Dollar Price of $98.375 would be
> > > > > $98,375.00.
> > > > >
> > > > > Unfortunately, while the above definitions are useful, in the design of
> > > > > a fixed-income-order-routing or -matching system you will still have to
> > > > > work out rules of engagement on your own, with your counterparts.
> > > > >
> > > > > First, only recently did the Par Value of marketable U.S. Treasury
> > > > > securities become one-hundred dollars. For years, the Par Value of such
> > > > > securities was one-thousand dollars. All U.S. Treasury trading systems
> > > > > with which I am familiar still assume that the Par Value for U.S.
> > > > > Treasury securities is one-thousand dollars.
> > > > >
> > > > > Second, two notions of lot size prevail in the market.
> > > > >
> > > > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > > > > Typically, in the dealer-to-customer market, a quoted size of "1"
> > > > > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > > > > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > > > > Par Amount; and so forth.
> > > > >
> > > > > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > > > > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > > > > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > > > > Par Amount.
> > > > >
> > > > > Going back to your original question, "convention" is a fuzzy concept in
> > > > > the fixed-income market. If you publish a FIX implementation
> > > > > specification for a system you are developing or are parsing one for a
> > > > > system with which you intend to connect, you will have no choice but to
> > > > > confirm these details on a case-by-case basis with your counterparts,
> > > > > either by telling them what you mean or asking them what they mean.
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > > > > Hi All!
> > > > > > > >
> > > > > > > > Is there a convention for expressing order quantity in fixed
> > > > > > > > income?
> > > > > > > >
> > > > > > > > Thanks in advance,
> > > > > > >
> > > > > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > > > > (tag 38) would be 10000000 (10 million)
> > > > > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > > > > terms of face value, if a treasury with a $1000 face value is
> > > > > > trading at
> > > > > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > > > > specify the price as percent of par (98.750) and quantity as
> > > > > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > > > > >
> > > > > > Thanks in advance,

Dean Kauffman
447 days ago,(2013/02/02)

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://fixwiki.org/fixwiki/QuantityType/8_PAR - namely value 8 of the QuantityType(465) field.
>
> John
>
> > Dean,
> > Thanks for your answer. Our question has to do with the description of securities more than with specifying quantities in orders and trades. Yes, we use OrderQty(38) and LastQty(32) in the way that you kindly describe. The point is that we are required to include the currency (dollar, euro or other) value of one unit of the subject security -the "Par value" as it was previously defined in this thread- as part of the security details that we must provide in SecurityList messages. We cannot find a suitable field for that and we would like to know about solutions that other people assumed.
> > Thanks again.
> >
> > > Jesús,
> > > In a NewOrderSingle give the full par value (not number of bonds) in OrderQty(38). In an ExecutionReport give the par value traded in LastQty(32). Prior to FIX 4.3 the latter was named LastShares and the description of OrderQty was "Number of shares ordered". Fixed Income entered the game with 4.3 and these and other field names and descriptions were generalized to include par value of bonds, number derivative contracts, etc. If you are implementing based on 4.2 simply disregard this discrepancy.
> > > Dean
> > >
> > >
> > > > We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
> > > > Thank you in advance.
> > > >
> > > > > Many thanks John. That was very helpful.
> > > > >
> > > > > > The term "Par Value" means the dollar (or other currency) value of one
> > > > > > unit of the subject security. For marketable U.S. Treasury securities,
> > > > > > Par Value is currently one-hundred dollars ($100.00).
> > > > > >
> > > > > > The term "Par Amount" means the product of Par Value and the quantity of
> > > > > > units of the subject security. One-thousand units of marketable U.S.
> > > > > > Treasury securities would today equate to a Par Amount of one-hundred-
> > > > > > thousand dollars ($100,000).
> > > > > >
> > > > > > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > > > > > Amount and Face Amount are perfect synonyms.
> > > > > >
> > > > > > The term "Dollar Price" means the price of the subject security
> > > > > > expressed as a percentage of Par Value. It may be expressed with or
> > > > > > without a dollar sign.
> > > > > >
> > > > > > The term "Dollar Value" means the product of Dollar Price and Par (or
> > > > > > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > > > > > Treasury securities having a Dollar Price of $98.375 would be
> > > > > > $98,375.00.
> > > > > >
> > > > > > Unfortunately, while the above definitions are useful, in the design of
> > > > > > a fixed-income-order-routing or -matching system you will still have to
> > > > > > work out rules of engagement on your own, with your counterparts.
> > > > > >
> > > > > > First, only recently did the Par Value of marketable U.S. Treasury
> > > > > > securities become one-hundred dollars. For years, the Par Value of such
> > > > > > securities was one-thousand dollars. All U.S. Treasury trading systems
> > > > > > with which I am familiar still assume that the Par Value for U.S.
> > > > > > Treasury securities is one-thousand dollars.
> > > > > >
> > > > > > Second, two notions of lot size prevail in the market.
> > > > > >
> > > > > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > > > > > Typically, in the dealer-to-customer market, a quoted size of "1"
> > > > > > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > > > > > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > > > > > Par Amount; and so forth.
> > > > > >
> > > > > > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > > > > > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > > > > > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > > > > > Par Amount.
> > > > > >
> > > > > > Going back to your original question, "convention" is a fuzzy concept in
> > > > > > the fixed-income market. If you publish a FIX implementation
> > > > > > specification for a system you are developing or are parsing one for a
> > > > > > system with which you intend to connect, you will have no choice but to
> > > > > > confirm these details on a case-by-case basis with your counterparts,
> > > > > > either by telling them what you mean or asking them what they mean.
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > > > > Hi All!
> > > > > > > > >
> > > > > > > > > Is there a convention for expressing order quantity in fixed
> > > > > > > > > income?
> > > > > > > > >
> > > > > > > > > Thanks in advance,
> > > > > > > >
> > > > > > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > > > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > > > > > (tag 38) would be 10000000 (10 million)
> > > > > > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > > > > > terms of face value, if a treasury with a $1000 face value is
> > > > > > > trading at
> > > > > > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > > > > > specify the price as percent of par (98.750) and quantity as
> > > > > > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > > > > > >
> > > > > > > Thanks in advance,

Lisa Taikitsadaporn
447 days ago,(2013/02/02)

Jesús,
The SecurityList message has shortcomings still when trying to express fixed income quantities for a single bond definition (i.e. trying to define the par quantity for a single bond).

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,
>
> 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://fixwiki.org/fixwiki/QuantityType/8_PAR - namely value 8 of the QuantityType(465) field.
> >
> > John
> >
> > > Dean,
> > > Thanks for your answer. Our question has to do with the description of securities more than with specifying quantities in orders and trades. Yes, we use OrderQty(38) and LastQty(32) in the way that you kindly describe. The point is that we are required to include the currency (dollar, euro or other) value of one unit of the subject security -the "Par value" as it was previously defined in this thread- as part of the security details that we must provide in SecurityList messages. We cannot find a suitable field for that and we would like to know about solutions that other people assumed.
> > > Thanks again.
> > >
> > > > Jesús,
> > > > In a NewOrderSingle give the full par value (not number of bonds) in OrderQty(38). In an ExecutionReport give the par value traded in LastQty(32). Prior to FIX 4.3 the latter was named LastShares and the description of OrderQty was "Number of shares ordered". Fixed Income entered the game with 4.3 and these and other field names and descriptions were generalized to include par value of bonds, number derivative contracts, etc. If you are implementing based on 4.2 simply disregard this discrepancy.
> > > > Dean
> > > >
> > > >
> > > > > We found this old (more than three years)thread and consider is still very interesting. We have a question directly related to this subject. Which field would be the equivalent in the Instrument component block to field UnderlyingQty of the UnderlyingInstrument component block ? In other words, which field you should use in order to provide the "Par Value" of a Fixed Income security ?
> > > > > Thank you in advance.
> > > > >
> > > > > > Many thanks John. That was very helpful.
> > > > > >
> > > > > > > The term "Par Value" means the dollar (or other currency) value of one
> > > > > > > unit of the subject security. For marketable U.S. Treasury securities,
> > > > > > > Par Value is currently one-hundred dollars ($100.00).
> > > > > > >
> > > > > > > The term "Par Amount" means the product of Par Value and the quantity of
> > > > > > > units of the subject security. One-thousand units of marketable U.S.
> > > > > > > Treasury securities would today equate to a Par Amount of one-hundred-
> > > > > > > thousand dollars ($100,000).
> > > > > > >
> > > > > > > The term "Face Amount" means the same thing as Par Amount, i.e., Par
> > > > > > > Amount and Face Amount are perfect synonyms.
> > > > > > >
> > > > > > > The term "Dollar Price" means the price of the subject security
> > > > > > > expressed as a percentage of Par Value. It may be expressed with or
> > > > > > > without a dollar sign.
> > > > > > >
> > > > > > > The term "Dollar Value" means the product of Dollar Price and Par (or
> > > > > > > Face) Amount. The Dollar Value of one-thousand units of marketable U.S.
> > > > > > > Treasury securities having a Dollar Price of $98.375 would be
> > > > > > > $98,375.00.
> > > > > > >
> > > > > > > Unfortunately, while the above definitions are useful, in the design of
> > > > > > > a fixed-income-order-routing or -matching system you will still have to
> > > > > > > work out rules of engagement on your own, with your counterparts.
> > > > > > >
> > > > > > > First, only recently did the Par Value of marketable U.S. Treasury
> > > > > > > securities become one-hundred dollars. For years, the Par Value of such
> > > > > > > securities was one-thousand dollars. All U.S. Treasury trading systems
> > > > > > > with which I am familiar still assume that the Par Value for U.S.
> > > > > > > Treasury securities is one-thousand dollars.
> > > > > > >
> > > > > > > Second, two notions of lot size prevail in the market.
> > > > > > >
> > > > > > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount.
> > > > > > > Typically, in the dealer-to-customer market, a quoted size of "1"
> > > > > > > would mean $1,000 Par Amount; a quoted size of "100" would mean
> > > > > > > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million
> > > > > > > Par Amount; and so forth.
> > > > > > >
> > > > > > > The inter-dealer market assumes a lot size of $1 million Par Amount.
> > > > > > > Typically, in the inter-dealer market, a quoted size of "1" would mean
> > > > > > > $1 million Par Amount; a quoted size of "25" would mean $25 million
> > > > > > > Par Amount.
> > > > > > >
> > > > > > > Going back to your original question, "convention" is a fuzzy concept in
> > > > > > > the fixed-income market. If you publish a FIX implementation
> > > > > > > specification for a system you are developing or are parsing one for a
> > > > > > > system with which you intend to connect, you will have no choice but to
> > > > > > > confirm these details on a case-by-case basis with your counterparts,
> > > > > > > either by telling them what you mean or asking them what they mean.
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > > > > Hi All!
> > > > > > > > > >
> > > > > > > > > > Is there a convention for expressing order quantity in fixed
> > > > > > > > > > income?
> > > > > > > > > >
> > > > > > > > > > Thanks in advance,
> > > > > > > > >
> > > > > > > > > Quantity is the principal value of the trade, i.e. if you are buying
> > > > > > > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty
> > > > > > > > > (tag 38) would be 10000000 (10 million)
> > > > > > > > Thanks Rob. But wouldn't it be more simple to specify quantity in
> > > > > > > > terms of face value, if a treasury with a $1000 face value is
> > > > > > > > trading at
> > > > > > > > 98.750% of par and I want to bid for 1000 of those bonds I would
> > > > > > > > specify the price as percent of par (98.750) and quantity as
> > > > > > > > 1,000,000 - NOT 987,500. Why wouldn't that work better?
> > > > > > > >
> > > > > > > > Thanks in advance,

Ricky Girglani
443 days ago,(2013/02/06)

3 words: rules of engagement

> Hi All!
> Is there a convention for expressing order quantity in fixed income?
> Thanks in advance