Handling an equity trade in a different currency

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1

Imported from previous forum

2

Hi, my company will be implementing FIX for equity trading in the very near future, with usage for both US and non-US equities. I have a question below that I realize is very detailed, thus I apologize in advance if this is not the forum. However, any assistance/direction on this matter is greatly appreciated.

Some of our US clients have a US Dollar constraint, meaning, execution price data must be provided in US dollars. In the current, non-FIX environment, we inform the executing broker over the phone that we need a dollar price; the broker does an FX and gives us the US dollar execution price.

I am curious as to how we can instruct the above via FIX. In researching the forum, I think that the following tags might be involved:

  • 15, Currency. Reference stated that “a message without currency field is interpreted as US dollars”
    -121, ForexReq
    -120, SettlCurrency
    -155, SettlCurrFxRate
    -156, SettlCurrFxRateCalc

So if I wanted to buy a GBP-denominated security for a USD constrained client, am I interpreting the following correct:

  • don’t populate tag 15
  • set tag 121 to Y
  • set tag 120 to USD
  • the broker send us tags 155 and 156 populated
  • the execution price the broker would send us would be in US dollars or GBP ?)

Once again, thank you.

3

[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Hi,

From the tag names this sounds like you are referring to FIX 4.0 - would you anticipate implementing a new connection in such an old version of FIX? Perhaps your counterparty insists on this but it’s 11 or so years old.

Using FIX 4.2 the following paragraph from the specification covers part of this:

“To support forex accommodation trades, two fields, ForexReq and SettlCurrency, are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq = Y and SettlCurrency = “intended settlement currency”. The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt and SettlCurrency fields.”

The execution report message covers another part
“119 SettlCurrAmt Used to report results of forex accommodation trade
120 SettlCurrency Used to report results of forex accommodation trade
155 SettlCurrFxRate
Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
156 SettlCurrFxRateCalc
Specifies whether the SettlCurrFxRate should be multiplied or divided”

The execution price (31, LastPx) should be in the currency that the instrument was actually traded in (Yen, Sterling, Euro or whatever). The alternative would be that your in house staff would not be able to compare the executed price in the market with the price from Reuters or Bloomberg to monitor execution performance.

In FIX 4.0 the spec (page 29) is fairly clear
118 NetMoney Required if miscellaneous fees are reported, in currency of execution
119 SettlCurrAmt Used to report results of forex accommodation trade
120 SettlCurrency Used to report results of forex accommodation trade

So in 4.0 field 118 would be in Yen, Sterling, whatever and 120 would be USD and 119 would be a USD amount.

Hope that helps.

Hi, my company will be implementing FIX for equity trading in the very
near future, with usage for both US and non-US equities. I have a
question below that I realize is very detailed, thus I apologize in
advance if this is not the forum. However, any assistance/direction on
this matter is greatly appreciated.

Some of our US clients have a US Dollar constraint, meaning, execution
price data must be provided in US dollars. In the current, non-FIX
environment, we inform the executing broker over the phone that we need
a dollar price; the broker does an FX and gives us the US dollar
execution price.

I am curious as to how we can instruct the above via FIX. In researching
the forum, I think that the following tags might be involved:

  • 15, Currency. Reference stated that “a message without currency field
    is interpreted as US dollars” -121, ForexReq -120, SettlCurrency -155,
    SettlCurrFxRate -156, SettlCurrFxRateCalc

So if I wanted to buy a GBP-denominated security for a USD constrained
client, am I interpreting the following correct:

  • don’t populate tag 15
  • set tag 121 to Y
  • set tag 120 to USD
  • the broker send us tags 155 and 156 populated
  • the execution price the broker would send us would be in US
    dollars or GBP ?)

Once again, thank you.

4

Hi John,

Thank you for the response, greatly appreciated and very helpful. The tag reference dating to FIX 4.0 was my research, not a counterparty requirement; we will be using FIX 4.4.

Carlos Oliveira
Brandes Investment Partners, LP

Hi,

From the tag names this sounds like you are referring to FIX 4.0 -
would you anticipate implementing a new connection in such an old
version of FIX? Perhaps your counterparty insists on this but it’s 11
or so years old.

Using FIX 4.2 the following paragraph from the specification covers
part of this:

“To support forex accommodation trades, two fields, ForexReq and
SettlCurrency, are included in the message. To request a broker to
execute a forex trade in conjunction with the securities trade, the
institution would set the ForexReq = Y and SettlCurrency = “intended
settlement currency”. The broker would then execute a forex trade from
the execution currency to the settlement currency and report the results
via the execution message in the SettlCurrAmt and SettlCurrency fields.”

The execution report message covers another part “119 SettlCurrAmt Used
to report results of forex accommodation trade 120 SettlCurrency Used to
report results of forex accommodation trade 155 SettlCurrFxRate Foreign
exchange rate used to compute SettlCurrAmt from Currency to
SettlCurrency 156 SettlCurrFxRateCalc Specifies whether the
SettlCurrFxRate should be multiplied or divided”

The execution price (31, LastPx) should be in the currency that the
instrument was actually traded in (Yen, Sterling, Euro or whatever). The
alternative would be that your in house staff would not be able to
compare the executed price in the market with the price from Reuters or
Bloomberg to monitor execution performance.

In FIX 4.0 the spec (page 29) is fairly clear 118 NetMoney Required if
miscellaneous fees are reported, in currency of execution 119
SettlCurrAmt Used to report results of forex accommodation trade 120
SettlCurrency Used to report results of forex accommodation trade

So in 4.0 field 118 would be in Yen, Sterling, whatever and 120 would be
USD and 119 would be a USD amount.

Hope that helps.

Hi, my company will be implementing FIX for equity trading in the very
near future, with usage for both US and non-US equities. I have a
question below that I realize is very detailed, thus I apologize in
advance if this is not the forum. However, any assistance/direction on
this matter is greatly appreciated.

Some of our US clients have a US Dollar constraint, meaning, execution
price data must be provided in US dollars. In the current, non-FIX
environment, we inform the executing broker over the phone that we
need a dollar price; the broker does an FX and gives us the US dollar
execution price.

I am curious as to how we can instruct the above via FIX. In
researching the forum, I think that the following tags might be
involved:

  • 15, Currency. Reference stated that “a message without currency
    field is interpreted as US dollars” -121, ForexReq -120,
    SettlCurrency -155, SettlCurrFxRate -156, SettlCurrFxRateCalc

So if I wanted to buy a GBP-denominated security for a USD constrained
client, am I interpreting the following correct:

  • don’t populate tag 15
  • set tag 121 to Y
  • set tag 120 to USD
  • the broker send us tags 155 and 156 populated
  • the execution price the broker would send us would be in US dollars
    or GBP ?)

Once again, thank you.