FXO Option expiration dates on TradeCaptureReport

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1

Hello!

For FX Options, there are multiple dates in play:

Trade Date
Settle Date
The expiration Date
Delivery Date of the underlying security on an exercised option.

On TradeCaptureReport (AE) messages, Trade and Settle Date are readily apparent, Expiration date appears to be field 41153 but I don’t see what field could/should be used for the Delivery Date. Is there a tag for this as part of the AE message?

Thanks in advance!

Regards

Dan

2

Hi Dan,

If this is a simple option, you can use MaturityDate(541) to specify the expiry date.
For delivery date, i.e. settlement date of the underlying, TradeCaptureReport(35=AE) message has UnderlyingSettlementDate(987) that can be used.

Hope this helps.
Charu

3

Thank you for your help, Charu!