FIX 4.0 - Options

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Imported from previous forum

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Although newer versions of FIX have fields that carry option information (e.g. strike price), v4.0 doesn’t. How is this information passed in FIX 4.0 NewOrderSingle and OrdCxlReplRequest messages?

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Although newer versions of FIX have fields that carry option information (e.g. strike price), v4.0 doesn’t. How is this information passed in FIX 4.0 NewOrderSingle and OrdCxlReplRequest messages?

FIX 4.0 was never really designed to trade options. 4.1 was the first FIX version that added meaningful support for options trading.

If you’re going to trade options, you probably should use 4.1 or later. If this isn’t possible, yuu could adopt the 4.1 fields inside 4.0, although doing so really isn’t standard.

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[ original email was from Jim Northey - jnorthey@lasalletech.com ]
> > Although newer versions of FIX have fields that carry option information (e.g. strike price), v4.0 doesn’t. How is this information passed in FIX 4.0 NewOrderSingle and OrdCxlReplRequest messages?
>
> FIX 4.0 was never really designed to trade options. 4.1 was the first FIX version that added meaningful support for options trading.
>
> If you’re going to trade options, you probably should use 4.1 or later. If this isn’t possible, yuu could adopt the 4.1 fields inside 4.0, although doing so really isn’t standard.
>
The other choice you have is to encode the options information in the Symbol[55] - this would include the symbol+maturitymonthyear+strikeprice+call/put. If you did this - you will have to have the counterparty agree on how to parse the field and represent options series.

You could look to use OPRA encoding in Symbol[55] - but then you have the OPRA parsing/encoding/decoding issue with which to contend.
Lastly, there is at least one field provided in FIX 4.1 that you miss by staying on FIX 4.0 - CoveredUncovered (you might be able to put this in the text field).

I believe Redibook implemented FIX 4.1 fields over a FIX 4.0 transport for their support of options - this seemed to work, though not compliant with FIX. I do remember FIX engine providers and users bemoaning this non-standardization. Because of Redi- your counterparties may already be able to order route through FIX for options using FIX 4.1 fields over FIX 4.0.