Derivatives Support in FIX 4.2

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Imported from previous forum

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Dear All,

Does FIX 4.2 support derivatives?
If so, then upto what extent? are there any limitations?

Thanks in advance,

Regards,

Shakeel

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[ original email was from George Brisco - george.brisco@trialius.com ]
Hi Shakeel,

There is limited support in 4.2 for derivative trading. Some things are very do-able, but others less so. The “multi-leg” extensions in later versions are very handy.

I am sorry, this is a bit of a non-answer as the answer is really “it depends”.

What, specifically are you looking to support?

George

Dear All,

Does FIX 4.2 support derivatives? If so, then upto what extent? are
there any limitations?

Thanks in advance,

Regards,

Shakeel

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Dear George,

I would really appreciate if you could give some examples on what things are do-able and what are not.

I am a bit new to the derivates trading and have no idea about it.

We have used FIX 4.2 for equities and now we are moving to derivatives.

I am just being asked by management whether or not FIX 4.2 can be used to derivatives.

Regards,

Shakeel

Hi Shakeel,

There is limited support in 4.2 for derivative trading. Some things are
very do-able, but others less so. The “multi-leg” extensions in later
versions are very handy.

I am sorry, this is a bit of a non-answer as the answer is really
“it depends”.

What, specifically are you looking to support?

George

Dear All,

Does FIX 4.2 support derivatives? If so, then upto what extent? are
there any limitations?

Thanks in advance,

Regards,

Shakeel

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[ original email was from George Brisco - george.brisco@trialius.com ]
HI Shakeel,

That would be a long answer I thing.

Essentially 4.2 can, with work on your side, and on your trading partner’s side, “trade derivatives”. Later versions make this a much more straightforward process, reducing the amount of work that you and your partners will need to do.

Things like multi-legged orders for example are not available “out-of-the-box” with version 4.2, but are to some extent in 4.3, and better yet in 4.4. Quotes are enhanced from 4.3 if you are doing a quote based model.

As a quick guide, take a look at http://www.fixprotocol.org/functionality. If that is insufficient, try reading the release notes for each version of the protocol, and finally, I am afraid the specs themselves.

George

I am just being asked by management whether or not FIX 4.2 can be used to derivatives.

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I am just being asked by management whether or not FIX 4.2 can be used
to derivatives.

First, you need to define derivatives (eg “listed derivatives” (Futures/Options) vs. “OTC derivatives” (Credit Default Swaps, Interest Rate Swaps, Total Return Swaps, etc) with the latter getting into ISDA contracts and thus FpML).

It is worth noting that FIX 4.2 is the version that the largest Futures and Options exchanges in North America (and other parts of the world) use for their order flow.

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[ original email was from George Brisco - george.brisco@trialius.com ]

It is worth noting that FIX 4.2 is the version that the largest Futures
and Options exchanges in North America (and other parts of the world)
use for their order flow.

Indeed. I have actually spent the afternoon thinking "Well actually, I guess that the majority of derivatives probably are traded over 4.2. Definitely for exchange traded ones…

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Hi All,

We are using Fix 4.2 for writing post trade for an exchange for ‘Packs and Bundles’. I am using the fileds’ tag 6 for average price and 31 for traded price of pack.

Can anybody tell me that which fields can be used to calculated the traded price for underlying future contracts?

~Atul Mehra.

It is worth noting that FIX 4.2 is the version that the largest
Futures and Options exchanges in North America (and other parts of the
world) use for their order flow.

Indeed. I have actually spent the afternoon thinking "Well actually, I
guess that the majority of derivatives probably are traded over 4.2.
Definitely for exchange traded ones…