FIX has long supported the ability to identifying the fixing source and information used to determine the rate for FX NDFs and FX forwards. The existing RateSource component has now been added to the following FIX messages:
- NewOrderMultileg(35=AB)
- MultilegOrderCancelReplace(35=AC)
- QuoteResponse(35=AJ)
Additionally, it is now possible to specify discrete rate fixing information for each leg when an FX NDF or forward is part of a multi-leg strategy or swap. A leg level equivalent of the RateSource component was added to various components.
See the EP download page for the artifacts. The visualization tool FIXimate has also been updated to FIX Latest as of EP302.
Please provide questions or comments as feedback in this thread.