CFI code usage in FIX 4.4 onwards

, ,
1

Imported from previous forum

CFICode acceptance
PutOrCall (tag 201) - valid in FIX.4.4 ?
2

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
Hi all,

I’m looking for people’s thoughts on how much adherence there is to the ISO 0962 standard in practice for tag 461 CFICode. We implemented FIX 4.4 for futures, and options, including multileg instruments several years ago and used a relatively limited set of enumerations based on the PRODUCT:DERIVATIVES (FUTURES & OPTIONS) examples in the official FPL spec -

FXXXS for an outright future
FMXXS for a multileg future, e.g. calendar spread
OCXXXS for a single call option
OPXXXS for a single put option

etc

Currently there is some internal discussion about moving to the model proposed in the actual ISO 0962 document. I think that this is more complicated than what is commonly used in practice, especially for vanilla listed derivatives. I would be interested to hear anyone else’s experience on this subject.

Regards,

  • Greg
3

Greg,

I think it was in FIX 5.0 SP1 that we realized the folly of trying to standardize on ISO 10962 (CFI) and have reversed some of the decisions. You’ll see for example in PRODUCT:FOREIGN EXCHANGE section of Vol. 7 that we backed away from CFI and used Product(460) and SecurityType(167). Additionally the PutOrCall(201) was reinstated (was previously deprecated in 4.4) so that it can be used in conjunction with Product and SecurityType.

Hi all,

I’m looking for people’s thoughts on how much adherence there is to the ISO 0962 standard in practice for tag 461 CFICode. We implemented FIX 4.4 for futures, and options, including multileg instruments several years ago and used a relatively limited set of enumerations based on the PRODUCT:DERIVATIVES (FUTURES & OPTIONS) examples in the official FPL spec -

FXXXS for an outright future
FMXXS for a multileg future, e.g. calendar spread
OCXXXS for a single call option
OPXXXS for a single put option

etc

Currently there is some internal discussion about moving to the model proposed in the actual ISO 0962 document. I think that this is more complicated than what is commonly used in practice, especially for vanilla listed derivatives. I would be interested to hear anyone else’s experience on this subject.

Regards,

  • Greg
4

I have captured this on FIXwiki at http://fixwiki.org/fixwiki/CFICode

I have also flagged it as something that needs to be amended in the spec (ie FIX repository) description of CFICode (if this has not already been done).

Greg,

I think it was in FIX 5.0 SP1 that we realized the folly of trying to standardize on ISO 10962 (CFI) and have reversed some of the decisions. You’ll see for example in PRODUCT:FOREIGN EXCHANGE section of Vol. 7 that we backed away from CFI and used Product(460) and SecurityType(167). Additionally the PutOrCall(201) was reinstated (was previously deprecated in 4.4) so that it can be used in conjunction with Product and SecurityType.

Hi all,

I’m looking for people’s thoughts on how much adherence there is to the ISO 0962 standard in practice for tag 461 CFICode. We implemented FIX 4.4 for futures, and options, including multileg instruments several years ago and used a relatively limited set of enumerations based on the PRODUCT:DERIVATIVES (FUTURES & OPTIONS) examples in the official FPL spec -

FXXXS for an outright future
FMXXS for a multileg future, e.g. calendar spread
OCXXXS for a single call option
OPXXXS for a single put option

etc

Currently there is some internal discussion about moving to the model proposed in the actual ISO 0962 document. I think that this is more complicated than what is commonly used in practice, especially for vanilla listed derivatives. I would be interested to hear anyone else’s experience on this subject.

Regards,

  • Greg
5

The ISO 10962 Classification of Financial Instruments is undergoing a review after the 2007 revision failed to gain enough votes to pass. ISITC and FIX Protocol have been very involved in raising issues with the fundamental structure of the CFI Code. FIX, via its liaison “A” status with ISO TC68 SC4 and its leadership within the US Accredited Standards Committee X9 are involved in helping to decide how to move ISO 10962 forward. There is an active working group, TC68 SC4 WG6 being led by Emma Kalliomaki from LSE to address the revision of ISO 10962 in light of the failure for the revision to the standard to be approved. FIX is represented on this working group and also represents the US on this working group.
FIX Protocol working with DTCC and FISD developed and provided an alternative classification scheme. In 2011 there was a study group of TC68 , TC68 SG1 - Study Group on identifiers, that compiled a set of recommendations for classification that was provided to the TC68 SC4 WG6 working group.
Separately, Martin Sexton is working with ISITC Europe and has developed a proposal that, among other things rationalizes OTC derivatives within the overall classification scheme.
As Lisa stated, wthin FIX Protocol have moved away from using the CFI for primary classification and support the field for compatibility and interoperability, going so far as to reinstate fields such as PutOrCall(201) and its related fields.
More to follow as this is a very active area for FIX right now.

6

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
Thanks very much for your responses Lisa and Jim.

Regards,

  • Greg

The ISO 10962 Classification of Financial Instruments is undergoing a review after the 2007 revision failed to gain enough votes to pass. ISITC and FIX Protocol have been very involved in raising issues with the fundamental structure of the CFI Code. FIX, via its liaison “A” status with ISO TC68 SC4 and its leadership within the US Accredited Standards Committee X9 are involved in helping to decide how to move ISO 10962 forward. There is an active working group, TC68 SC4 WG6 being led by Emma Kalliomaki from LSE to address the revision of ISO 10962 in light of the failure for the revision to the standard to be approved. FIX is represented on this working group and also represents the US on this working group.
FIX Protocol working with DTCC and FISD developed and provided an alternative classification scheme. In 2011 there was a study group of TC68 , TC68 SG1 - Study Group on identifiers, that compiled a set of recommendations for classification that was provided to the TC68 SC4 WG6 working group.
Separately, Martin Sexton is working with ISITC Europe and has developed a proposal that, among other things rationalizes OTC derivatives within the overall classification scheme.
As Lisa stated, wthin FIX Protocol have moved away from using the CFI for primary classification and support the field for compatibility and interoperability, going so far as to reinstate fields such as PutOrCall(201) and its related fields.
More to follow as this is a very active area for FIX right now.