Imported from previous forum
[ original email was from Shanx SHANXHAH - sanker.narayan@csfb.com ]
Is there any experience implementing calendar spreads / rolls on FIX ?
and is there a framework already specified in FIX 4.2+?
Thanks
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Sanker,
The FIX for Fixed Income working group has proposed extensions to the New Multileg Order and other messages to support swaps/spreads/rolls of debt instruments and TBAs. See the archived file "FIWG - Gap Analysis - Updated" on the Fixed Income Working Group page. These will be incorporated in FIX 4.4. Please let me know if what you need it not there.
Dean Kauffman
> Is there any experience implementing calendar spreads / rolls on FIX ?
> and is there a framework already specified in FIX 4.2+?
>
> Thanks
>
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
FIX 4.2 provides support for calendar spreads using the Security Definition message. The process is similar to trading on the LIFFE, in that each strategy must be defined as a product proior to trading.
FIX 4.3 greatly extends this capability by adding the Multileg order message. Also, additional security related messages are available for defining and retrieving information on strategies. In FIX 4.3 the requirement to pre-define a strategy prior to trading it has been removed. Also there is a position effect of R - Rolled to indicate the position is being rolled into the next maturity period.
FIX 4.2 has been implemented at the CBOE. The main concern with firms is the need to predefine the strategy using a separate message from the order. FIX 4.3 addresses this and provides and extremely flexible framework for strategy trading.
> Is there any experience implementing calendar spreads / rolls on FIX ?
> and is there a framework already specified in FIX 4.2+?
>
> Thanks
>
>