Fixed Income Roll Message?

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Imported from previous forum

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Hello,

I am tasked with determining the best format to allow messaging of market information for roll (2-sided) markets. We currently utilize message type W (MarketDataSnapshotFullRefresh) for messaging of one sided market information. Although the message description indicates it supports 2-sided trades the layout of the message does not seem clear as the instrument/leg information is separate from the MD repeating groups about those legs. How does one correlate the NoLegs (555) repeating group to the NoMDEntries (268) repeating group?

Does anybody have insight on how to use message type W for 2-sided trades? Mortgage TBA rolls, CDX rolls are some examples.

Thank you in advance for any replies

Sincerely,

FJ

3

Frank,

One MDFull message reports attributes of a single instrument identified in the body of the message - either in for an outright or in for a swap. Just describe the swap in two legs of and show the price or yield spread in one of the MDFullGrp entries.

To reduce overhead you might consider using MDIncremental instead. The security definition is within each MDIncGrp entry and need not be repeated if updating a previously-reported market price.

Dean

Hello,

I am tasked with determining the best format to allow messaging of market information for roll (2-sided) markets. We currently utilize message type W (MarketDataSnapshotFullRefresh) for messaging of one sided market information. Although the message description indicates it supports 2-sided trades the layout of the message does not seem clear as the instrument/leg information is separate from the MD repeating groups about those legs. How does one correlate the NoLegs (555) repeating group to the NoMDEntries (268) repeating group?

Does anybody have insight on how to use message type W for 2-sided trades? Mortgage TBA rolls, CDX rolls are some examples.

Thank you in advance for any replies

Sincerely,

FJ