Imported from previous forum
[ original email was from Nam Palicha - npalicha@yahoo.com ]
Hi
I wanted to get the opinion of the FIX community on what is the general trend, best way to implement FOREX on equity trades.
We trade some international stocks and the client may want to settle in USD. We are currently receiving orders via FIX and doing some manually. There might be several case scenarios that can happen.
- Our most typical scenario is that the client sends us an order (via FIX or Phone), then they call us to request USD settlement on that trade. This may happen either when we have partially executed the trade or we may have completely filled it.
We currently enter an avg FX rate on the entire order, the client does not receive any of these details on the fix messages. Instead the trade gets booked in our middle office system with an Avg FX, the client receives the confirmations either on Oasys or may receive manual confirms. The confirms indicate the amount in USD.
Currently our executing broker in the local (international market) provides us with the Average FX rate on the order, this is done via the phone or they punch it in our OMS.
We are now looking to communicate with our local broker (in the international market) via FIX. I wanted to know what will be the best practise to achive our requirement.
Based on the Fix specs, i understand that we will receive the following on the order - Tag 121 = Y (ForexReq), We can receive this on a new order or on a modification, we can communicate this with our local broker also via the same messages.
For the executions the FIX specs recommends that the FX details are reported on each of the execution report messages in the following tags
LastShares ,LastPx,SettlCurrAmt ,SettlCurrency,SettlCurrFxRate ,
SettlCurrFxRateCalc
Based on our business requirement , it may not be possible to report the FX details on each of the fills since the FX may take place at any time. I have thought of a solution to this and wanted to get your opinion or any other recommendations
-
If at any point we know that the client wants an USD settlement on that trade we will send a new order or a modification depending on the situation with ForexReq = Y to our local broker.
-
We will agree with our local broker that they give us the Avg Fx once the trade has been completed. We are thinking of receiving this detail in an execution report message in response to a OrderStatus request message (35=H) or an unsolicited execution report -as if responding to an OrderStatus request.
So basically whenever we send them an OrderStatus Request message they will send us an execution report populating the fields related to the FX details in addition to the other fields on that message.
Since the execution report in response to 35=H does not have LastShares, LastPx and it only reports the status of the order along with the CumQty and AvgPx it should be okay to assume that the FX fields are also referring to the AvgFX details.
Please let me know your thoughts and recommendations
regards
Namrata
I think another option would be to use ExecType=“Calculated” on the Execution Report after the series of fills are sent.