Do the legsides (624) of each leg of a calendar spread invert when selling?
For example, when buying with the below tags:
35=AB|54=1|555=2|624=1|602=CONTH2|603=5|654=1|624=2|602=CONTU2|603=5|654=2
Do we just change tag 54 to sell:
35=AB|54=2|555=2|624=1|602=CONTH2|603=5|654=1|624=2|602=CONTU2|603=5|654=2
Or is 54 effectively ignored, and we need to invert 624?:
35=AB|54=2|555=2|624=2|602=CONTH2|603=5|654=1|624=1|602=CONTU2|603=5|654=2
Help much appreciated, especially with a reference the FIX specifications, I wasn’t able to find clarity.
You can use Side(54)=B “As Defined” (for use with multileg instruments). The field usage comment of Side(54) in NewOrderMultileg(35=AB) says “Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.”
Links above are from the FIXimate tool (a major new version was just released this week).
Many thanks for your response. I can see that if 54=B then the 624 values in each leg group can be used to define the strategy and effectively the side. However, it’s important in this case that the client is trying to sell CONTH2-U2, which is an available pre-defined strategy, and not buy CONTU2-H2, which isn’t available.
As I understand, we can legitimately use 54=1, 2 or 5 for multileg requests, which is our preference. From the FIX 4.4 specifications, volume 7:
"The direction of the strategy is indicated by the Side (54) taken. When a strategy is pre-defined by a futures or options market and an inconsistency arises between:
the strategy indicated and the Side, LegSide (624), and/or LegRatioQty (623), or
the Side indicated and any LegSide indicated
the sell-side may either reject the order or accept the order. If the sell-side accepts the order it will be based on the strategy and Side indicated with any inconsistencies in LegSide and/or LegRatioQty being ignored."
Can you confirm that we can/should use the below to sell this calendar spread therefore?
35=AB| 54=2 |555=2| 624=1 |602=CONTH2|603=5|654=1| 624=2 |602=CONTU2|603=5|654=2
Joseph,
It is possible to use Side(54)=1 (Buy) or 2 (Sell) with the LegSide(624) specified for the calendar spread. I had to find some old material I had, so hopefully this might help. I think this is still accurate.
Many thanks Lisa. Would you suggest that this is the default/preferred way to enter orders on calendar spreads in FIX 4.4, or would you recommend 54=B?
I think this depends. I believe in listed derivatives world where the contracts are already standardized when submitting the order to the exchange, you’re going to send it in as a “buy” or “sell” order, but the standard contract defines the near and far legs’ sides.
With over the counter or on execution venues that are not exchanges, I’ve seen it as Side=B to avoid ambiguity.
I guess this pretty much depends on how the counterparty processes this info, and if they will process the side of the spread order itself (as represented in tag 54) or the sides of the legs of the spread (as represented in tags 624).
I would say that for consistency purposes would be good to reflect the side in both 54 and also in the 624 for the appropriate leg (considering that based on spread contracts we might have either ones where the side of the spread applies to the near leg or for others to the far leg).
This should not be a choice when both Side(54) and LegSide(624) are being populated. Then both should be taken into account. Ignoring one or the other may lead to a misinterpretation, hence the table shown by @ltaikit above.
