Imported from previous forum
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
Now that we have componentized Instrument Block,
Leg Instrument Block, Underlying Instrument Block - the FIA Standards Working Group is proposing to move to a new instrument block that combines the three:
Instrument Block consists of:
Security Information and
Zero or more LegInstrumentBlocks
Zero or more UnderlyingInstrumentBlocks
This structure provides a fully generalized solution for the definition of instruments, while at the same time making the leg and underlying blocks completely optional.
With the move to multileg instruments being defined on the fly in listed derivatives markets this structure is important across the FIX message suite pre-trade through post-trade.
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Jim,
This sounds like it might not work for Fixed Income. When we have a multileg trade (swap, switch, roll) it ends up being two trades on execution, not one trade of a complex instrument. We’ll still need a discrete instrument block within the buy leg and another within the sell leg. As for Repos, the UnderlyingInstrumentBlock was a place holder in 4.3 and we probably will want to go another direction - the Repo BFG is still underway.
Dean
> Now that we have componentized Instrument Block,
> Leg Instrument Block, Underlying Instrument Block - the FIA Standards Working Group is proposing to move to a new instrument block that combines the three:
>
> Instrument Block consists of:
> Security Information and
> Zero or more LegInstrumentBlocks
> Zero or more UnderlyingInstrumentBlocks
>
> This structure provides a fully generalized solution for the definition of instruments, while at the same time making the leg and underlying blocks completely optional.
>
> With the move to multileg instruments being defined on the fly in listed derivatives markets this structure is important across the FIX message suite pre-trade through post-trade.
>
>