FX – Quotes and Executions

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Imported from previous forum

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Hi there

Here at RBC capital Markets, we are trying to introduce FIX for FX trading. I am a little bit confused and any help / suggestions are greatly appreciated:

So I send a Quote message:
QuoteID=XYZ
Symbol=USD/CAD
BidSpotRate=1.2928
OfferSpotRate=1.2951
BidSize=1000000
OfferSize=1000000

According to my understanding, this means that we are:
Selling the base currency (USD) for 1.2928
Buying the base currency (USD) for 1.2951

The client has to send an execution that looks like this:
ClOrdID=CCC
OrdType=D // previously quoted
QuoteID=XYZ
HandlInst=2 // Automated execution order….
Symbol=USD/CAD
OrderQty=1000000
TransactTime=UTCDateTime
Side=???

So, if the client wants to buy the base currency (USD) Side will be set to 1.
If the client wants to sell the base currency, Side will be set to 2.

Are my assumptions correct? What about the settlement date? Am I missing anything?

Thanks
Florin Brinzan
Florin.Brinzan@rbccm.com

3

Hi Florin…

You don’t mention which version of FIX you are using. The specs for 4.2 and later provide a disucssion (right at the end) on how to handle specifying currencies for F/X trading.

  1. I strongly recommend explicitly including the Currency field for all F/X transactions. Although USD is indeed the default for all FIX messages, it makes for a much clearer F/X message to include it explicitly…particularly since the Symbol field also references currencies. It is never wrong to include Currency.

  2. The Buy and Sell values for the Side field then become Buying and Selling whatever is in the Currency field (which is USD by default). So in your case, you are correct…if the client wants to Buy the Currency (USD), Side should be 1 (Buy)…if they want to Sell the Currency, Side should be 2 (Sell).

  3. To clarify the Symbol field, the format of the Symbol field is not related to Buying or Selling. Rather, it simply defines how the Rate field value is to be interpreted. A Symbol value of USD/CAD means "the value in the Rate field is USD in terms of CAD" (eg. 1.29), regardless of which currency the Order is buying or selling. The same Order could have been transmitted with Symbol=CAD/USD and Rate=0.775.

Regards…

…Bill
Bill Hollings

> Hi there
>
> Here at RBC capital Markets, we are trying to introduce FIX for FX trading. I am a little bit confused and any help / suggestions are greatly appreciated:
>
> So I send a Quote message:
> QuoteID=XYZ
> Symbol=USD/CAD
> BidSpotRate=1.2928
> OfferSpotRate=1.2951
> BidSize=1000000
> OfferSize=1000000
>
> According to my understanding, this means that we are:
> Selling the base currency (USD) for 1.2928
> Buying the base currency (USD) for 1.2951
>
> The client has to send an execution that looks like this:
> ClOrdID=CCC
> OrdType=D // previously quoted
> QuoteID=XYZ
> HandlInst=2 // Automated execution order….
> Symbol=USD/CAD
> OrderQty=1000000
> TransactTime=UTCDateTime
> Side=???
>
> So, if the client wants to buy the base currency (USD) Side will be set to 1.
> If the client wants to sell the base currency, Side will be set to 2.
>
> Are my assumptions correct? What about the settlement date? Am I missing anything?
>
> Thanks
> Florin Brinzan
> Florin.Brinzan@rbccm.com
>
>