Imported from previous forum
We have a requirement to translate FX transaction data (spot and FRA) into FIX. This data relates solely to completed deals for risk management/back office use
The obvious way to do this would seem to be to use the advertisement message, since this is "used to announce completed transactions".
However, the way it is currently implemented suggests that it was only really intended for equity-based deals e.g. field 53 shares (number of shares) is a mandatory field, and this is obviously not relevant for FX transactions.
Similarly there is no mention in the 4.1 spec of optional forex fields for advertisement messages, as there are, for example, for the quote or new order messages.
In order to support FX data, we would need to add maybe 60 or so optional fields to an advertisement, and possibly alter the current mandatory field 53 to something more benign, e.g. volume. This does have precedents - for example a similar thing happened to the new order field OrderQty between revisions 3 and 4 - originally it was mandatory, but was replaced by two fields, of which only one now must be present. However, we are wary of implementing things that would break existing functionality.
One other possible way to deliver the data would be to use the execution report message - this would also require a number of additional fields, which I guess is to be expected. It’s a bit friendlier, in that if we send it as a status message, we aren’t forced to use the LastShare field, which again is meaningless for FX transactions. However, I can’t help but feel that the execution report is intended to be part of the trading conversation between two parties, rather than a means of informing the back office that a deal has taken place.
Does anyone have any information about using FIX for Foreign Exchange? Failing that, does anyone have any strong feelings about how FX deals should be implemented?
Otherwise I guess we just go ahead and define a standard 
Any comments appreciated
Regards
Jason Drane
LogicScope Realisations Ltd.
jason@lscope.co.uk
[ original email was from John Goeller - john.goeller@ssmb.com ]
Look at FpML (www.fpml.org). It is an emerging standard focusing on complex derivatives like FRAs
Please also refer to Scott’s previous post
http://www.fixprotocol.org/cgi-bin/rbox/BBS.cgi?menu=928951581bbs&board=928951581&message=23&thread=22
>
> We have a requirement to translate FX transaction data (spot and FRA) into FIX. This data relates solely to completed deals for risk management/back office use
>
> The obvious way to do this would seem to be to use the advertisement message, since this is “used to announce completed transactions”.
>
> However, the way it is currently implemented suggests that it was only really intended for equity-based deals e.g. field 53 shares (number of shares) is a mandatory field, and this is obviously not relevant for FX transactions.
>
> Similarly there is no mention in the 4.1 spec of optional forex fields for advertisement messages, as there are, for example, for the quote or new order messages.
>
> In order to support FX data, we would need to add maybe 60 or so optional fields to an advertisement, and possibly alter the current mandatory field 53 to something more benign, e.g. volume. This does have precedents - for example a similar thing happened to the new order field OrderQty between revisions 3 and 4 - originally it was mandatory, but was replaced by two fields, of which only one now must be present. However, we are wary of implementing things that would break existing functionality.
>
> One other possible way to deliver the data would be to use the execution report message - this would also require a number of additional fields, which I guess is to be expected. It’s a bit friendlier, in that if we send it as a status message, we aren’t forced to use the LastShare field, which again is meaningless for FX transactions. However, I can’t help but feel that the execution report is intended to be part of the trading conversation between two parties, rather than a means of informing the back office that a deal has taken place.
>
> Does anyone have any information about using FIX for Foreign Exchange? Failing that, does anyone have any strong feelings about how FX deals should be implemented?
>
> Otherwise I guess we just go ahead and define a standard
>
> Any comments appreciated
>
> Regards
>
> Jason Drane
>
> LogicScope Realisations Ltd.
> jason@lscope.co.uk
>
>
>
>
Our firm is in active development to communicate Forex orders, exec rpts, allocations, and allocation acks via FIX. The forex enhancements added to FIX 4.1 did not address the IOI or Advertisement messages. I would be happy to discuss this offline with you.
>
> We have a requirement to translate FX transaction data (spot and FRA) into FIX. This data relates solely to completed deals for risk management/back office use
>
> The obvious way to do this would seem to be to use the advertisement message, since this is “used to announce completed transactions”.
>
> However, the way it is currently implemented suggests that it was only really intended for equity-based deals e.g. field 53 shares (number of shares) is a mandatory field, and this is obviously not relevant for FX transactions.
>
> Similarly there is no mention in the 4.1 spec of optional forex fields for advertisement messages, as there are, for example, for the quote or new order messages.
>
> In order to support FX data, we would need to add maybe 60 or so optional fields to an advertisement, and possibly alter the current mandatory field 53 to something more benign, e.g. volume. This does have precedents - for example a similar thing happened to the new order field OrderQty between revisions 3 and 4 - originally it was mandatory, but was replaced by two fields, of which only one now must be present. However, we are wary of implementing things that would break existing functionality.
>
> One other possible way to deliver the data would be to use the execution report message - this would also require a number of additional fields, which I guess is to be expected. It’s a bit friendlier, in that if we send it as a status message, we aren’t forced to use the LastShare field, which again is meaningless for FX transactions. However, I can’t help but feel that the execution report is intended to be part of the trading conversation between two parties, rather than a means of informing the back office that a deal has taken place.
>
> Does anyone have any information about using FIX for Foreign Exchange? Failing that, does anyone have any strong feelings about how FX deals should be implemented?
>
> Otherwise I guess we just go ahead and define a standard
>
> Any comments appreciated
>
> Regards
>
> Jason Drane
>
> LogicScope Realisations Ltd.
> jason@lscope.co.uk
>
>
>
>