Hi all,
I’ve been trying to find some rating tags in the security definition however I wasn’t able to find any. The ones I’m interested in are:
Rating
Rated By
Issuer Rating
Issuer Rated By
Also if possible I would like to get the fix tags for:
Industry Group
LastTradeableDate
Br,
Aida
Rating of an instrument (i.e. the company behind it) is probably covered by CreditRating(255) but I am not aware of any fields rating the issuer of an instrument and the rating sources. What do you mean by “Industry Group”, can you provide examples? SecurityGroup(1151) is a generic field to put an instrument into any kind of group. For specific groups (of instruments), have a look at AssetGroup(2210), AssetClass(1938), AssetSubClass(1939), AssetType(1940), AssetSubType(2735) which is a hierarchy of groups (in this order). The valid values are mainly so-called external code lists (see https://www.fixtrading.org/codelists/). See also Extension Pack 192 (https://www.fixtrading.org/extension-packs/) for further details.
Last tradeable date is covered by the EvntGrp component inside of the Instrument component:
NoEvents(864) = 1
> EventType(865) = 7 (Last eligible trade date)
> EventDate(866) = [actual date]
To which industrial code do you refer to ?
in MT “y” pls find https://fiximate.fixtrading.org/en/FIX.5.0SP2_EP248/tag1471.html
in SecurityList component.
General LastTradeDate probably dependent on specific market and not mixed up with “delisted”.
Its for bonds. Some examples: Oil&Gas,Electric,Food, Insurance, Banks, Municipal and so on. Should we use SecurityGroup or can we use AssetAttributeGrp and ser our own values?
This is what is provided by bloomberg on the specific columns:
Rating:
BBB+
B+
A-
CCC+
Should we use CreditRating here?
RatedBy:
The company providing the rating. How do we set a fix tag on this?
Also, can we use NoEvents(864) for setting up a call schedule?
@ap86: AssetAttributeType(2305) does not permit user-defined values. The intention is to provide a standard taxonomy of terms. AssetAttributeGrp is not intended for your examples anyway if you take a look at its external codelist. It has items such as “DeliveryType”, “DeliveryMethod” etc. This is below the actual asset, i.e. it provides attributes for a given asset.
The examples you give are probably already covered by the risk taxonomy as part of the Instrument component, e.g.
AssetGroup(2210)= 2 (Commodities)
AssetClass(1938) = 5 (Commodity)
AssetSubClass(1939) = 15 (Energy)
AssetType(1940) = “Oil” or “Natural Gas” or “Electricity”
“The company providing the rating. How do we set a fix tag on this?” If you are a FIX member, then you can join working groups (Working Groups – FIX Trading Community v2.1), e.g. MiFID Reference Data Subgroup which can submit extension proposals to the FIX Global Technical Committee.
I am not familiar with your term “call schedules”. Take a look at the ComplexEventsGrp component if that is what you are looking for. FIX does cover payment and delivery schedules for OTC derivatives.
Is there a list of the different types under AssetType? The link in fiximate seems to be old.
With call schedules I mean callables and puttables. The events on a call, can they be setup by NoEvents?
Not sure why the code list for AssetType(1940) is not on the FIX website. Please see EP235 (https://www.fixtrading.org/packages/ep235/) instead.
EventType(865) = 1 (Put) and 2 (Call) can be used for put or call events. EventType(865) also allows user defined values due to the union data type Reserved100Plus (values 100 or higher).
There is also a repeating group of attributes (AttrbGrp) as part of the InstrumentExtension component. It contains a generic pair of type/value fields (InstrAttribType(871), InstrAttribValue(872)). You could use 871=11 (callable, puttable). 872 is a string field that you can fill with any related information.