Imported from previous forum
Are there any plans to incorporate FX swap related fields in FIX. Is anyone using FIX for FX Swaps?
Pradeep Tyagi
This has been addressed for FIX 4.3 Draft #3. (summarized below) Thank you. [PC20010613_1]
Vol 6: Added new fields Price2 (tag 640) and LastForwardPoints2 (tag 641) to be used in conjunction with OrdType = “Forex – Swap”. Added new fields BidForwardPoints2 (tag 642) and OfferForwardPoints2 (tag 643) for F/X swap quoting.
Vol 3: Added Price2 to QuoteRequest message. Added BidForwardPoints2 and OfferForwardPoints2 to Quote, Mass Quote, and Mass Quote Acknowledgement messages.
Vol 4: Added Price2 to New Order – Single, Order Cancel/Replace Request, and New Order - List messages for Forex swaps. Added LastForwardPoints2 to Execution Report message for Forex swaps.
> Are there any plans to incorporate FX swap related fields in FIX. Is anyone using FIX for FX Swaps?
>
> Pradeep Tyagi
>
Sorry to ask what may be a basic question, I’ve only just started to look at FIX.
With the fields the available it is possible to specify an uneven swap using FIX 4.3?
i.e. leg 1: sell 1M EUR for USD
leg 2: buy 1.1M EUR from USD
And to be able to look at the information in the message without the risk of a rounding error, depending on which amounts were specified by the user sending a New Order or Quote
Thanks in advance for your help,
Tim
> This has been addressed for FIX 4.3 Draft #3. (summarized below) Thank you. [PC20010613_1]
>
> Vol 6: Added new fields Price2 (tag 640) and LastForwardPoints2 (tag 641) to be used in conjunction with OrdType = “Forex – Swap”. Added new fields BidForwardPoints2 (tag 642) and OfferForwardPoints2 (tag 643) for F/X swap quoting.
>
> Vol 3: Added Price2 to QuoteRequest message. Added BidForwardPoints2 and OfferForwardPoints2 to Quote, Mass Quote, and Mass Quote Acknowledgement messages.
>
> Vol 4: Added Price2 to New Order – Single, Order Cancel/Replace Request, and New Order - List messages for Forex swaps. Added LastForwardPoints2 to Execution Report message for Forex swaps.
>
>
> > Are there any plans to incorporate FX swap related fields in FIX. Is anyone using FIX for FX Swaps?
> >
> > Pradeep Tyagi
> >
>
For your example I believe you would specify the following within the New Order - Single:
OrdType=G ("Forex - Swap")
Symbol=EUR/USD
Side=1 (spec states this is to be that of the future value date)
Currency=EUR
OrderQty=1000000
FutSettDate=20020210
OrderQty2=1100000
FutSettDate2=20020331
Note if you were also specifying this as a limit order then you could provide Price (near value date) and Price2 (future value date).
The Execution Report for the above order would also contain: LastSpotRate, LastForwardPoints (near value date), and LastForwardPoints2 (far value date).
> Sorry to ask what may be a basic question, I’ve only just started to look at FIX.
>
> With the fields the available it is possible to specify an uneven swap using FIX 4.3?
>
> i.e. leg 1: sell 1M EUR for USD
> leg 2: buy 1.1M EUR from USD
>
> And to be able to look at the information in the message without the risk of a rounding error, depending on which amounts were specified by the user sending a New Order or Quote
>
> Thanks in advance for your help,
>
> Tim
>
> > This has been addressed for FIX 4.3 Draft #3. (summarized below) Thank you. [PC20010613_1]
> >
> > Vol 6: Added new fields Price2 (tag 640) and LastForwardPoints2 (tag 641) to be used in conjunction with OrdType = “Forex – Swap”. Added new fields BidForwardPoints2 (tag 642) and OfferForwardPoints2 (tag 643) for F/X swap quoting.
> >
> > Vol 3: Added Price2 to QuoteRequest message. Added BidForwardPoints2 and OfferForwardPoints2 to Quote, Mass Quote, and Mass Quote Acknowledgement messages.
> >
> > Vol 4: Added Price2 to New Order – Single, Order Cancel/Replace Request, and New Order - List messages for Forex swaps. Added LastForwardPoints2 to Execution Report message for Forex swaps.
> >
> >
> > > Are there any plans to incorporate FX swap related fields in FIX. Is anyone using FIX for FX Swaps?
> > >
> > > Pradeep Tyagi
> > >
> >
>