fixing date for NDF's

imported
foreign-exchange
xid_165598

#1

Imported from previous forum


#2

Is there a suggested field to use to pass the fixing date on a New Order Single for an NDF? How about the market source for the fixing price?


#3

[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
> Is there a suggested field to use to pass the fixing date on a New Order

Single for an NDF? How about the market source for the fixing price?

The analysis of NDFs including the recomendation of which field to use for fixing date or the definition of a new field is top of the agenda for phase II of the FX gap analysis. Please contact me if you need any more information.


#4

This was now 12+ years ago, was this resolved? I don’t see any FixingDate or FixingTime in the latest FIX spec.

Thanks,
Zak


#5

Zak,
For FX messaging including NDF in FIX:

  • MaturityDate(541) expresses the fixing date
  • SettlDate(64) expresses the settlement date
  • RateSource component reports the rate source
  • Use PricingDateTime component instead of MaturityDate(541) if you must drill down to the fixing time and business centers
    Dean

Foreign Exchange - Fixing Date & Time
#6

Thanks for your quick reply Dean.


#7

Use of MaturityTime(1079) is another way to specify fixing time in local time as it is a UTC offset field. The combination of MaturityDate + MaturityTime has been the recommendation as a simple approach for the NDF fixing requirement since FIX 5.0 (see FX section of Vol. 7 of the FIX 5.0 or FIX 5.0SP2 pdf specification on the FIX website). Use what is fit for use in your case. PriceDateTime is an embedded component that is jore rich, but if you don’t need that detail, MaturityDate + MaturityTime works just as well.