Imported from previous forum
Hi,
I’ve been thinking about how to represent a Fixed Income Spread order in FIX 4.4.
On our system a Spread order is a single order that is submitted against a Corporate bond with a Government bond as the "underlying" or "benchmark". When executed, our OMS generates 2 trades, one for each leg of the spread.
The basics of representing this in FIX 4.4 seem quite simple:
44 (Price) = X.X
423 (PriceType) = 6 (spread)
311 (UnderlyingSymbol) = [N/A]
309 (UnderlyingSecurityID) = 123456
305 (UnderlyingSecurityIDSource) = 4 (ISIN)
This is fine, but to place a Spread order on our system we also need to communicate the Order Qty for for Benchmark (Underlying) Leg, and the Settlement Date for the Benchmark (Underlying) Leg.
I’ve been looking at the FIX New Order - Single message and there are two fields:
192 (OrdQty2) and 193 (SettlDate2) but these fields are explicitly documentated as being the Far Qty and Far Value Date for FX Swap orders.
At this point I was hoping for some advice from this group. Do people consider it reasonable to try to place an FI Spread order using New Order - Single, or is the correct route to go to begin to look at New Order - Multileg? I get the impression that the primary purpose of New Order - Multileg is to support things like Strategy trades in the F&O space, but it seems like it could apply to an FI Spread trade…
I am also curious about reporting fills. The documentation on using Execution Report with New Order - Multileg suggests its reasonable to send either two seperate Execution Reports, or a single one containing the details of both legs. Does anyone know of any conventions that may exist in this area?
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Andrew,
For a corporate/treasury swap use the New Order - Multileg describing the sell and buy separately under the NoLegs (555) repeating group. The Symbol(55), Side(54) and OrderQty(38) of the base should be [N/A], 1 (buy), and 1 respectively. The response should be a single Execution Report "new" describing the swap order. On execution there should be two Execution Reports, each describing one side of the trade, and because the two ERs derive from a single order, the ClOrdID and OrderID will be the same in both.
> Hi,
>
> I’ve been thinking about how to represent a Fixed Income Spread order in FIX 4.4.
>
> On our system a Spread order is a single order that is submitted against a Corporate bond with a Government bond as the “underlying” or “benchmark”. When executed, our OMS generates 2 trades, one for each leg of the spread.
>
> The basics of representing this in FIX 4.4 seem quite simple:
>
> 44 (Price) = X.X
> 423 (PriceType) = 6 (spread)
> 311 (UnderlyingSymbol) = [N/A]
> 309 (UnderlyingSecurityID) = 123456
> 305 (UnderlyingSecurityIDSource) = 4 (ISIN)
>
> This is fine, but to place a Spread order on our system we also need to communicate the Order Qty for for Benchmark (Underlying) Leg, and the Settlement Date for the Benchmark (Underlying) Leg.
>
> I’ve been looking at the FIX New Order - Single message and there are two fields:
> 192 (OrdQty2) and 193 (SettlDate2) but these fields are explicitly documentated as being the Far Qty and Far Value Date for FX Swap orders.
>
> At this point I was hoping for some advice from this group. Do people consider it reasonable to try to place an FI Spread order using New Order - Single, or is the correct route to go to begin to look at New Order - Multileg? I get the impression that the primary purpose of New Order - Multileg is to support things like Strategy trades in the F&O space, but it seems like it could apply to an FI Spread trade…
>
> I am also curious about reporting fills. The documentation on using Execution Report with New Order - Multileg suggests its reasonable to send either two seperate Execution Reports, or a single one containing the details of both legs. Does anyone know of any conventions that may exist in this area?
>