Imported from previous forum
does anyone know what the fix value will be for tag 22 for the OSI Series key?
There will not be an enumerated value for the OSI option symbol for use in tag 22. As of OSI (Feb 12) all options should be identified by the 4 tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201) and StrikePrice(202). Please note that Symbol(55) should contain the root option symbol which may be different than the underlying symbol. Tags 22 and 48 are optional and will most likeley be ignored by your counterparty. If you must use tags 22 and 48 for some reason, I would set tag 22=‘8’ to indicate exchange symbol and tag 48=the underlying equity symbol. But as always, you should check with your counterparties.
-Greg
And of course MaturityDay(205) will also be required to identify the option. Provided you are using FIX 4.2.
If you are using 4.4 then you would append the maturity day to MaturityMonthYear giving it the format “YYYYMMDD” and not populate tag 205.
-Greg
There will not be an enumerated value for the OSI option symbol for use
in tag 22. As of OSI (Feb 12) all options should be identified by the 4
tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201) and
StrikePrice(202). Please note that Symbol(55) should contain the root
option symbol which may be different than the underlying symbol. Tags 22
and 48 are optional and will most likeley be ignored by your
counterparty. If you must use tags 22 and 48 for some reason, I would
set tag 22=‘8’ to indicate exchange symbol and tag 48=the underlying
equity symbol. But as always, you should check with your counterparties.-Greg
Tayloe Draughon, GDC Co-chair had us prepare this document to assist hte industry: http://fixprotocol.org/documents/4213/FIXImplementationGuide_USOptionsSymbology_v1.pdf
Regarding using 48 for the underlying security symbol - I have not seen that used widely for US listed derivatives markets.
And of course MaturityDay(205) will also be required to identify the
option. Provided you are using FIX 4.2.If you are using 4.4 then you would append the maturity day to
MaturityMonthYear giving it the format “YYYYMMDD” and not
populate tag 205.-Greg
There will not be an enumerated value for the OSI option symbol for
use in tag 22. As of OSI (Feb 12) all options should be identified by
the 4 tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201) and
StrikePrice(202). Please note that Symbol(55) should contain the root
option symbol which may be different than the underlying symbol. Tags
22 and 48 are optional and will most likeley be ignored by your
counterparty. If you must use tags 22 and 48 for some reason, I would
set tag 22=‘8’ to indicate exchange symbol and tag 48=the underlying
equity symbol. But as always, you should check with your
counterparties.-Greg
thanks all, we can work around this but I do feel this is not ideal. One of the main wins with OSI (at least I feel) is that everyone will now have a unique identifier to communicate with. if each company/app needs to derive it on the fly, the room for error and maintenane is great. I personally think its better to simply pass the full value in tag 44 and specific it in tag 22
Tayloe Draughon, GDC Co-chair had us prepare this document to assist hte
industry: http://fixprotocol.org/documents/4213/FIXImplementationGuide_-
USOptionsSymbology_v1.pdfRegarding using 48 for the underlying security symbol - I have not seen
that used widely for US listed derivatives markets.And of course MaturityDay(205) will also be required to identify the
option. Provided you are using FIX 4.2.If you are using 4.4 then you would append the maturity day to
MaturityMonthYear giving it the format “YYYYMMDD” and not populate
tag 205.-Greg
There will not be an enumerated value for the OSI option symbol for
use in tag 22. As of OSI (Feb 12) all options should be identified
by the 4 tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201)
and StrikePrice(202). Please note that Symbol(55) should contain the
root option symbol which may be different than the underlying
symbol. Tags 22 and 48 are optional and will most likeley be ignored
by your counterparty. If you must use tags 22 and 48 for some
reason, I would set tag 22=‘8’ to indicate exchange symbol and tag
48=the underlying equity symbol. But as always, you should check
with your counterparties.-Greg
You are right, Jim. My source for the tag 48 statement was from an out of date OSI document published by one of the options exchanges. I just checked with them and they say they will ignore tag 48.
-Greg
Tayloe Draughon, GDC Co-chair had us prepare this document to assist hte
industry: http://fixprotocol.org/documents/4213/FIXImplementationGuide_-
USOptionsSymbology_v1.pdfRegarding using 48 for the underlying security symbol - I have not seen
that used widely for US listed derivatives markets.And of course MaturityDay(205) will also be required to identify the
option. Provided you are using FIX 4.2.If you are using 4.4 then you would append the maturity day to
MaturityMonthYear giving it the format “YYYYMMDD” and not populate
tag 205.-Greg
There will not be an enumerated value for the OSI option symbol for
use in tag 22. As of OSI (Feb 12) all options should be identified
by the 4 tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201)
and StrikePrice(202). Please note that Symbol(55) should contain the
root option symbol which may be different than the underlying
symbol. Tags 22 and 48 are optional and will most likeley be ignored
by your counterparty. If you must use tags 22 and 48 for some
reason, I would set tag 22=‘8’ to indicate exchange symbol and tag
48=the underlying equity symbol. But as always, you should check
with your counterparties.-Greg