Eurex Option Versions

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1

Imported from previous forum

2

Hi,

I’m looking to support Option Versions for Eurex in FIX 4.2. Tag 206 seems most appropriate for this purpose, however, I also need to support Option Styles (American and European) and I am already using Tag 206 for this purpose. What are the available Tags to represent Option Versions and Option Styles in FIX 4.2 ?

Kind Regards,

Prateek

3

FIX 4.2 is more than 10 years old and therefore quite limited in its coverage compared to higher versions (see also http://fixprotocol.org/discuss/read/079903bc). I am not aware of standard FIX 4.2 fields other than 206 for your purpose. Here are your options for a second field (in recommended order):

  • Use a standard field (1194 ExerciseStyle) from a higher version
  • Use a user-defined field (5689 VersionID)
  • Use generic field (58 Text)

Hi,

I’m looking to support Option Versions for Eurex in FIX 4.2. Tag 206
seems most appropriate for this purpose, however, I also need to support
Option Styles (American and European) and I am already using Tag 206 for
this purpose. What are the available Tags to represent Option Versions
and Option Styles in FIX 4.2 ?

Kind Regards,

Prateek

4

Hi,

what did you go for with 4.2 in the end? Tag 206? Could we consider this to be a de facto standard now?

Thanks for any update

5

The Eurex FIX 4.2 gateway does not require an explicit tag for the version of the option. SecurityID represent the shortcur for the instrument and is more or less all you need for order entry and also all you see on order book updates.
However, if you look at reference data message for the new equity options system of ISE in New York then you will see tag 206 OptAttribute being used. You can assume that this will also be used for a FIX reference data feed when provided by Eurex. Currently, the reference data for the Eurex FIX gateway and Market Data Interface is file-based.
Regards,
Hanno.

Hi,

what did you go for with 4.2 in the end? Tag 206? Could we consider this to be a de facto standard now?

Thanks for any update

6

The Eurex FIX 4.2 gateway does not require an explicit tag for the version of the option. SecurityID represent the shortcur for the instrument and is more or less all you need for order entry and also all you see on order book updates.
However, if you look at reference data message for the new equity options system of ISE in New York then you will see tag 206 OptAttribute being used. You can assume that this will also be used for a FIX reference data feed when provided by Eurex. Currently, the reference data for the Eurex FIX gateway and Market Data Interface is file-based.
Regards,
Hanno.

Hi,
Hanno
May you tell me the name of the file of reference data?
Regards
what did you go for with 4.2 in the end? Tag 206? Could we consider this to be a de facto standard now?

Thanks for any update

7

May you tell me the name of the file of reference data?

Please go through your Eurex support channels for details such as file names of reference data. I believe that the file will also be downloadable for Eurex members from the Eurex website. The Eurex FIX Gateway and Market Data Interface are about to go live so that the details you are looking for should all be defined.