Equity SWAPS for FIX

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1

Imported from previous forum

2

Hi,

What would be the best way to identify a Portfolio SWAP / Index SWAP on a FIX message using version 4.0/4/1/4.2 of FIX?

Any help would be appreciated

3

Hello,

I am looking for best approach for portfolio equity swap on fix messages regardless the versions.

background : Broker and Asset Management have portfolio swap contract,
and by having individual fix order messages, AM to instruct broker to restructure , such as to add/remove stocks within portfolio at broker end.
and this same FIX session is already being used for normal equity tradings, will not setup new line for swap.

So broker need flag to specify that order is swap related.

For this case, is there any common standard approach with fix protocol, to identify that order is for swap?

Or just use custom tag to have broker to identify this is portfolio swap related instructions?

Kindly advise if any…

thanks

4

Hello Hiroshi,

While not a perfect fit I would investigate the use of the FIX CollateralAssignment message which is used to manage the portfolio collateralizing an ongoing position such as a Repo. The AM wants to change the makeup of an existing contract rather than enter a new trade, so the trading messages do not seem appropriate here. In CA you refer to the underlying portfolio swap contract through one of the trade references - ClOrdID(11), OrderID(37) or the repeating group.

Dean

Hello,

I am looking for best approach for portfolio equity swap on fix messages regardless the versions.

background : Broker and Asset Management have portfolio swap contract,
and by having individual fix order messages, AM to instruct broker to restructure , such as to add/remove stocks within portfolio at broker end.
and this same FIX session is already being used for normal equity tradings, will not setup new line for swap.

So broker need flag to specify that order is swap related.

For this case, is there any common standard approach with fix protocol, to identify that order is for swap?

Or just use custom tag to have broker to identify this is portfolio swap related instructions?

Kindly advise if any…

thanks