FIX Standard Errors and Omissions


#1

This is a new thread suggested at the October GTC meeting to capture errors and omissions discovered in the FIX Standard, e.g. misspellings or gaffes in the description. Bugs found in the website should not be reported here but in the Bug Reports thread; bugs in FIX44 XML, in Bug in FIX44 XML specification, etc.

  1. ValuationBusinessCenter(2087) - “GLOB” should be “GBLO” [the code for London]

  2. Codelists, in general - the link provided consistently returns the dreaded 404 error, e.g.

  1. ConfirmationAck(35=AU) Text(58) usage text - should read “Can include explanation for ConfirmationRejReason = 99 (Other).”

#2

RelativeValueType(2530) - should have additional enumerations for two often-used relative values:

  • <tbd> = DV01/PV01
    [Elaboration: The maximum currency value change resulting from a move of one basis point in the yield curve. This limits the interest rate risk exposure. Also known as “basis point value” or BPV.]
  • <tbd> = CS01
    [Elaboration: Credit spread sensitivity. Represents the change in market value of a CDS for a one basis point change in the credit spread.]

#3

My own errors and omissions in the EP235 Gap Analysis for CFTC. Discovered in mapping MiFID II requirements.

  1. PaymentStreamFloatingRate(tbd) - missing two fields:
  • PaymentStreamRateIndex2(tbd) / @Ndx2 / String / The second floating rate index.
  • PaymentStreamRateIndex2Source / @Ndx2Src / int [=PaymentStreamRateIndexSource(40790)] / The source for the second floating rate index.
    Correct field name in usage text:
  • PaymentStreamRateIndex2CurvePeriod(41194) - … PaymentStreamRateIndex2CurveUnit(41195) is specified.
  • PaymentStreamRateIndex2CurveUnit(41195) - … PaymentStreamRateIndex2CurvePeriod(41194) is specified.
  1. LegPaymentStreamFloatingRate - missing two fields:
  • LegPaymentStreamRateIndex2(tbd) / @Ndx2 / String / The second floating rate index.
  • LegPaymentStreamRateIndex2Source(tbd) / @Ndx2Src / int [=PaymentStreamRateIndexSource(40790)] / The source for the second floating rate index.
    Correct field name in usage text:
  • LegPaymentStreamRateIndex2CurveUnit(41563) - … LegPaymentStreamRateIndex2CurvePeriod(41564) is specified.
  • LegPaymentStreamRateIndex2CurvePeriod(41564) - … LegPaymentStreamRateIndex2CurveUnit(41563) is specified.
  1. UnderlyingPaymentStreamFloatingRate - missing two fields:
  • UnderlyingPaymentStreamRateIndex2(tbd) / @Ndx2 / String / The second floating rate index.
  • UnderlyingPaymentStreamRateIndex2Source(tbd) / @Ndx2Src / int [=PaymentStreamRateIndexSource(40790)] / The source for the second floating rate index.
    Correct field name in usage text:
  • UnderlyingPaymentStreamRateIndex2CurveUnit(41911) - … UnderlyingPaymentStreamRateIndex2CurvePeriod(41912) is specified.
  • UnderlyingPaymentStreamRateIndex2CurvePeriod(41912) - … UnderlyingPaymentStreamRateIndex2CurveUnit(41911) is specified.