ComplexEvent components

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Imported from previous forum

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[ original email was from John Harris - john.harris@bondmart.com ]
Hi,

Questions concerning ComplexEvent components:

The component block contains the repeating group , which in turn contains the repeating group .

Is this structure a mistake in the specification or purposeful, and if purposeful, what is the business case for the structure? (I am at a loss to understand how these dates or times would repeat for a given event.)

Is there a business-requirements document or gap analysis that would help me understand the proper application for these components? If not, what is their provenance? Perhaps a venue or ISDA document that would provide context?

Finally, for boundary events (e.g., price reaches level), how do we specify any additional conditions the contract may require surrounding the event (e.g., venue where it occurred or minimum trade size)?

I would appreciate any background or collateral information that would help me document how to use these components.

Thank you.

Best,
John

3

John,
please have a look at http://www.fixprotocol.org/documents/4295/FIX%20Protocol%20Gap%20Analysis%20-%20CME%20Exotic%20Option%20Model%20v05.doc which is the source for the extension and was submitted by the CME.
It includes examples and shows that was nested to enable the restriction of dates to non-contiguous time ranges during a given day or range of days, e.g. “Event is effective on a 24 hour basis other than the hours of 1500-1600 when it is ineffective.” Additional conditions would likely require additional fields added to the block and were not part of the business requirements at the time.
Regards,
Hanno.

Hi,

Questions concerning ComplexEvent components:

The component block contains the repeating group , which in turn contains the repeating group .

Is this structure a mistake in the specification or purposeful, and if purposeful, what is the business case for the structure? (I am at a loss to understand how these dates or times would repeat for a given event.)

Is there a business-requirements document or gap analysis that would help me understand the proper application for these components? If not, what is their provenance? Perhaps a venue or ISDA document that would provide context?

Finally, for boundary events (e.g., price reaches level), how do we specify any additional conditions the contract may require surrounding the event (e.g., venue where it occurred or minimum trade size)?

I would appreciate any background or collateral information that would help me document how to use these components.

Thank you.

Best,
John

4

[ original email was from John Harris - john.harris@bondmart.com ]
Will do, Hanno - thank you.

John,
please have a look at http://www.fixprotocol.org/documents/4295/FIX%20Protocol%20Gap%20Analysis%20-%20CME%20Exotic%20Option%20Model%20v05.doc which is the source for the extension and was submitted by the CME.
It includes examples and shows that was nested to enable the restriction of dates to non-contiguous time ranges during a given day or range of days, e.g. “Event is effective on a 24 hour basis other than the hours of 1500-1600 when it is ineffective.” Additional conditions would likely require additional fields added to the block and were not part of the business requirements at the time.
Regards,
Hanno.

Hi,

Questions concerning ComplexEvent components:

The component block contains the repeating group , which in turn contains the repeating group .

Is this structure a mistake in the specification or purposeful, and if purposeful, what is the business case for the structure? (I am at a loss to understand how these dates or times would repeat for a given event.)

Is there a business-requirements document or gap analysis that would help me understand the proper application for these components? If not, what is their provenance? Perhaps a venue or ISDA document that would provide context?

Finally, for boundary events (e.g., price reaches level), how do we specify any additional conditions the contract may require surrounding the event (e.g., venue where it occurred or minimum trade size)?

I would appreciate any background or collateral information that would help me document how to use these components.

Thank you.

Best,
John

5

I need to understand the Exotic Options coverage in FIX format. Is there a latest URL on the CME Exotic Option proposal that I could look at? The above link is redundant.

Thank you in advance.

  • Abde
6

FIX will look into this. This was implemented as Extension Pack 92 that is part of FIX 5.0 SP2. The draft was published back then in the context of the Gap Analysis submission to and review by the FIX Global Technical Committee. Final versions (a.k.a. ASBUILT versions) were only published as of EP 98 on this page.

Maybe the following publicly available CME document (Trade Reporting API - FX) already provides some answers.

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The EP 98 is not available for download. Is there other archive link that i should access?

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Which link did you use? You have to be logged in as a user (sign-up is free) to be able to download. Or did you mean EP92? EPs lower than EP98 have not been published back then but we are now looking into it for cases like EP92 that have diagrams or examples in them.

1 Like
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I meant EP92, I used this link here - https://www.fixtrading.org/extension-packs/.

I could not find anything on ComplexEvent components in EP98 (took a cursory look).

Hoping to get more info in EP92?

Thank you
Abde

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EP92 has just been posted. Please let others know if this EP is helpful to understand complex events.

1 Like
11

Thank you @hanno.klein. Appreciate it.