Fee Amount & Fee Currency for Eary Termiantion

1

Hi,
Now that we are starting to use TradeContinuation (tag 1937) to indicate post trade events for FX trades, our first one is Early Termination.

We want to send in the Quote msg (35=S) a Fee Currency & Fee Amount instead of rates. This is the cleanest way to price an Early Termination request. The same fields need to be sent on the NOS (35=D) by the client.

I am leaning towards 2 custom fields unless someone has any suggestions for use in Quote, NewOrderSingle (& ExecutionReport).

thanks,
Indigostar108

2

Your “fee” here is the “price” so to speak and that’s what you’re negotiating on. So I would suggest using existing price fields and the appropriate PriceType(423) which helps describe what type if price is in the price field(s) - something like PriceType=3 (fixed amount) might work. Try to avoid custom fields if you can.

3

@ltaikit
Ty for this, that’s a good start. Usually price tags are 1.nnnnn or in edge cases nnn.nnnn . Will have to check if the fix dictionary price tags can handle large amounts, e.g. nnn,nnn.nn

So would you suggest using 44 (Price) to put the fee amt in ? What about fee ccy (i.e. the currency the fee amount is for) ?

4

So in a Quote msg you have either BidPx, OfferPx or Price(44) fields so depending on what you need either of those can be used along with PriceType. I would put your fee currency in Currency(15) unless you’re using that for something else then we’ll have to for something else.

5

@ltaikit

Ty. I will use one of those price fields you mentioned for sure along with PriceType. We have decided to use Settlement Currency (120) which is fit for purpose as normally used for Non Deliverable Forwards but the meaning is the same, i.e. currency in which the settlement will be in for this ‘event’.

Currency (15) is used on the request to tell us which ccy is the Early Termination amount for, e.g. EUR/USD, 15=EUR means we are early terminating the EUR amt by the amount in the Qty fields.