Imported from previous forum
Hi all
i am debugging an application which communicates using FIX protocol.
I am interested in the content of the ExecutionReport message.
I picked up two random messages, one belonging to a FIX communcation which is based on Quotes, and the other belonging to a FIX communication which is based on sending Orders directly to the market.
I found out that in the ExecutionReport belonging to the ‘Quote’ interaction there are few extra fix tag that i cannot find in the ‘Orer’ interaction:
128 DeliverToCompId
129 DeliverToSubId
145 DeliverToLocationId
Conversely, in the ‘Order’ interaction executionReport i can find tags that are Not in the Execution Report belongint to a ‘Quote’ interaction:
1 - Account
167 - SecurityType
200 - MaturityMonthYear
461 - CFICode
Could anyone explain me why?
regards
marco
Hi Marco,
Since there is no mention of FIX version, I am making the following statements based on FIX.5.0SP2 (All quotes are from FIXimate http://fixprotocol.org/FIXimate3.0/ )
Based on presence of the following tags in the ExecReport of Order, looks like ER of Order belongs to a derivative option whereas ExecReport of the Quote does not.
167 - SecurityType
Required=N
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)
200 - MaturityMonthYear
Required=N
Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified.
461 - CFICode
Required=N
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
The presence of Tag 1 - Account (Required=N : Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary ) indicates that the Order submitter has done pre-Allocation. In Executable Quote model, there is no concept of pre-allocation so Account tag is not present in the Execution of Quote.
=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=
Based on the presence of the following tags in the ExecReport of Quote message, looks like the Quote and its ER are being routed thru third party whereas the ER of Order is a point to point message with no routing.
128 - DeliverToCompId
Required=N
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
129 - DeliverToSubId
Required=N
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
145 - DeliverToLocationId
Required=N
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
A better analysis can be performed if the full FIX messages of Order, Quote and corresponding Exec Reports are posted in parsed format (NOT in wire format copy pasted from log).
HTH
Regards,
Mahesh
Hi all
i am debugging an application which communicates using FIX protocol.
I am interested in the content of the ExecutionReport message.I picked up two random messages, one belonging to a FIX communcation which is based on Quotes, and the other belonging to a FIX communication which is based on sending Orders directly to the market.
I found out that in the ExecutionReport belonging to the ‘Quote’ interaction there are few extra fix tag that i cannot find in the ‘Orer’ interaction:
128 DeliverToCompId
129 DeliverToSubId
145 DeliverToLocationIdConversely, in the ‘Order’ interaction executionReport i can find tags that are Not in the Execution Report belongint to a ‘Quote’ interaction:
1 - Account
167 - SecurityType
200 - MaturityMonthYear
461 - CFICodeCould anyone explain me why?
regards
marco