Customer margins

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Imported from previous forum

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Does anyone know the correct way to express customer margins in a TradeCaptureReport. By customer margin I mean the points added to a market rate that the customer has accepted.

Thanks in advance

Rob

3

[ original email was from Aaron Pryce - pryceaaron@gmail.com ]
> Does anyone know the correct way to express customer margins in a

TradeCaptureReport. By customer margin I mean the points added to a
market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

4

Does anyone know the correct way to express customer margins in a
TradeCaptureReport. By customer margin I mean the points added to a
market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

Really I was after including the margins along with a regular trade. So if the customer submits a spot deal, I want a spot trade report with the customer margins somewhere within

5

[ original email was from Aaron Pryce - pryceaaron@gmail.com ]
> > > Does anyone know the correct way to express customer margins in a

TradeCaptureReport. By customer margin I mean the points added to a
market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

Really I was after including the margins along with a regular trade. So
if the customer submits a spot deal, I want a spot trade report with the
customer margins somewhere within

What version are you using Rob? If its Version 4.4/5 then you could look at Spread (218/828)?

6

Does anyone know the correct way to express customer margins in a
TradeCaptureReport. By customer margin I mean the points added to a
market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

Really I was after including the margins along with a regular trade. So
if the customer submits a spot deal, I want a spot trade report with the
customer margins somewhere within

We use UDFs 5088/5089 Bid/AskDelta and 5188/5189 Bid/AskForwardPointsDelta. I don’t believe there are any standard fields that fit well (at least not in 4.x).

7

[ original email was from Aaron Pryce - pryceaaron@gmail.com ]
> > > > Does anyone know the correct way to express customer margins in a

TradeCaptureReport. By customer margin I mean the points added to
a market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

Really I was after including the margins along with a regular trade.
So if the customer submits a spot deal, I want a spot trade report
with the customer margins somewhere within

We use UDFs 5088/5089 Bid/AskDelta and 5188/5189
Bid/AskForwardPointsDelta. I don’t believe there are any standard fields
that fit well (at least not in 4.x).

You could consider using Spread and NetMoney
in the exec report to carry margin/points and all in rate (including margin/points) respectively?

Otherwise it would seem UDF’s are the remaining option in 4.x

rgds
Aaron

8

Does anyone know the correct way to express customer margins in
a TradeCaptureReport. By customer margin I mean the points added
to a market rate that the customer has accepted.

Thanks in advance

Rob

828, 829 and 423?

Really I was after including the margins along with a regular trade.
So if the customer submits a spot deal, I want a spot trade report
with the customer margins somewhere within

We use UDFs 5088/5089 Bid/AskDelta and 5188/5189
Bid/AskForwardPointsDelta. I don’t believe there are any standard
fields that fit well (at least not in 4.x).

You could consider using Spread and NetMoney in the exec report to carry
margin/points and all in rate (including margin/points) respectively?

Otherwise it would seem UDF’s are the remaining option in 4.x

rgds Aaron

Thanks for these replies. We are using FIXML 5.0. A new requirement developed that requires margins per side rate components, so the solution must be iterative. In theory a forward/forward swap cross can have 9 side rates and therefore potentially 9 margins. We have currently plumped for using . We use 311 to indicate the currency pair, 1045 for the rate and 810 for the margin. We use 307 to provide some context (Spot, leg1 etc).

Regards

Rob