Exchange and Market holidays

, ,
1

Imported from previous forum

2

Has any work been done on representing market / exchange holidays as a sequence of announcements? I am sure I read something about doing this in FIX 4 or 5. For some instrument classes the SecurityDefnition can carry the information but where you get periodic instruments - say like MoneyMarket deposits - this does not look so good to me. So is there some preferred way of shipping market wide static data or is it assumed to move oob say via email?

3

Hi,

sorry for reviving this two year old thread. I was wondering how or if you have solved this in the meantime.

I am trying to achieve roughly the same as you and want to send some calendar events (mainly for market holidays) to the FIX counterparty. These will be applicable for the whole market. Hence I do not want to send the same information on e.g. every SecurityDefinition message.

Thanks in advance for any hints.
Cheers
Chris.

Has any work been done on representing market / exchange holidays as a sequence of announcements? I am sure I read something about doing this in FIX 4 or 5. For some instrument classes the SecurityDefnition can carry the information but where you get periodic instruments - say like MoneyMarket deposits - this does not look so good to me. So is there some preferred way of shipping market wide static data or is it assumed to move oob say via email?

4

I’ve already seen counterparts using news messages for that purpose. But it’s not ideal since the text needs to be parsed to decode dates…

Hi,

sorry for reviving this two year old thread. I was wondering how or if you have solved this in the meantime.

I am trying to achieve roughly the same as you and want to send some calendar events (mainly for market holidays) to the FIX counterparty. These will be applicable for the whole market. Hence I do not want to send the same information on e.g. every SecurityDefinition message.

Thanks in advance for any hints.
Cheers
Chris.

Has any work been done on representing market / exchange holidays as a sequence of announcements? I am sure I read something about doing this in FIX 4 or 5. For some instrument classes the SecurityDefnition can carry the information but where you get periodic instruments - say like MoneyMarket deposits - this does not look so good to me. So is there some preferred way of shipping market wide static data or is it assumed to move oob say via email?

5

Perhaps you could include the upcoming holiday information in trading session status messages?

I’ve already seen counterparts using news messages for that purpose. But it’s not ideal since the text needs to be parsed to decode dates…

Hi,

sorry for reviving this two year old thread. I was wondering how or if you have solved this in the meantime.

I am trying to achieve roughly the same as you and want to send some calendar events (mainly for market holidays) to the FIX counterparty. These will be applicable for the whole market. Hence I do not want to send the same information on e.g. every SecurityDefinition message.

Thanks in advance for any hints.
Cheers
Chris.

Has any work been done on representing market / exchange holidays as a sequence of announcements? I am sure I read something about doing this in FIX 4 or 5. For some instrument classes the SecurityDefnition can carry the information but where you get periodic instruments - say like MoneyMarket deposits - this does not look so good to me. So is there some preferred way of shipping market wide static data or is it assumed to move oob say via email?

6

I concur with Dennis to use TradingSessionStatus (h) for that purpose. We might propose to add a standard value of TBD=Holiday for TradingSessionID (336) which you could already add now as a non-standard value (Reserved100Plus).
TradingSessionStatus allows you to define the scope of the holiday to be anything from market wide by using MarketID(1301)all the way down to the instrument level by using Symbol or SecurityID in the the block. TradSesStartTime and TradSesEndTime are generic enough to define a range of one or more complete days.
Another option is to use the new SecurityMassStatus (CO) message where you can define a group of instruments to which the holiday should apply.

Perhaps you could include the upcoming holiday information in trading session status messages?

I’ve already seen counterparts using news messages for that purpose. But it’s not ideal since the text needs to be parsed to decode dates…

Hi,

sorry for reviving this two year old thread. I was wondering how or if you have solved this in the meantime.

I am trying to achieve roughly the same as you and want to send some calendar events (mainly for market holidays) to the FIX counterparty. These will be applicable for the whole market. Hence I do not want to send the same information on e.g. every SecurityDefinition message.

Thanks in advance for any hints.
Cheers
Chris.

Has any work been done on representing market / exchange holidays as a sequence of announcements? I am sure I read something about doing this in FIX 4 or 5. For some instrument classes the SecurityDefnition can carry the information but where you get periodic instruments - say like MoneyMarket deposits - this does not look so good to me. So is there some preferred way of shipping market wide static data or is it assumed to move oob say via email?

7

Hi,

thanks to all of you for your valuable input. I think I’ll use the TradingSessionStatus message. It seems to be the best fit for my purpose.

Cheers
Chris.

I concur with Dennis to use TradingSessionStatus (h) for that purpose. We might propose to add a standard value of TBD=Holiday for TradingSessionID (336) which you could already add now as a non-standard value (Reserved100Plus).
TradingSessionStatus allows you to define the scope of the holiday to be anything from market wide by using MarketID(1301)all the way down to the instrument level by using Symbol or SecurityID in the the block. TradSesStartTime and TradSesEndTime are generic enough to define a range of one or more complete days.
Another option is to use the new SecurityMassStatus (CO) message where you can define a group of instruments to which the holiday should apply.

Perhaps you could include the upcoming holiday information in trading session status messages?

I’ve already seen counterparts using news messages for that purpose. But it’s not ideal since the text needs to be parsed to decode dates…

Hi,

sorry for reviving this two year old thread. I was wondering how or if you have solved this in the meantime.

I am trying to achieve roughly the same as you and want to send some calendar events (mainly for market holidays) to the FIX counterparty. These will be applicable for the whole market. Hence I do not want to send the same information on e.g. every SecurityDefinition message.

Thanks in advance for any hints.
Cheers
Chris.