Imported from previous forum
Hello there,
Could someone let me know how I can implement the FX time option? I have a couple of questions.
which tags are for start value date and maturity value date?
which message type for time option takeup?
is there any simple message sample for time option takeup?
Thanks very much in advance,
Joey
Hello there,
Could someone let me know how I can implement the FX time option? I have a couple of questions.
which tags are for start value date and maturity value date?
which message type for time option takeup?
is there any simple message sample for time option takeup?Thanks very much in advance,
Joey
How did you end up implementing time options?
Is there any guidence now? (given this question is from 2009)
I am interested too
As far as I know, there is no general guidance (provided by FIX org) regarding the quote request ® and deal capture (D/AB) of FX time option. Furthermore, the processing of draw-down / take-up (based on a FX time option trade) is handled very individual.
We will use the user specific FIX tags 5897/5898 to specify the LegStartDateTimeOption/LegStartTenorTimeOption. But it the end it depends on you.
These tags do not seem to be registered on the FIX website (User Defined Fields – FIX Trading Community v2.1). Have you taken a look at the event components that are part of the (Leg/Underlying)Instrument component?
For example, EvntGrp has EventType(865) that allows user-defined values as of 100. These events apply to all orders of an instrument. Or is this about order-specific values that can change from one order to the next?
Dear Hanno Klein
Yes, you are right. So far, the tags are not registered. This based on the fact, that I do not know the process to register (how to)! How does the process look to register a new tag user specific field (tag)? Up to now, I have always come to an agreement with the parties involved.
Regarding your question. In my (personal) view, this is an order/leg-specific attribute that is common in the FX business (European region). The capture of time options trades (Zeitoptionsgeschäfte) and the (partial) draw-down/take-up (Inanspruchnahme/Ziehung) of a time option is a usual FX business use case.
Therefore, in my opinion it should be an optional attribute of the Pre-Trade Quote (S) message and Trade messages NewOrderSingle (D) and NewOrderMultileg (AB) like tag 64, SettlDate. But again, I don’t know the process to initiate such a requirement 
@khahn, all user-defined fields in the ranges 5000-7999 and 9000-9999 (8000-8999 are reserved by FIX) have been registered since a few years but there is no requirement to register. You can use tag numbers 20000-39999 for the user-defined tags with your counterparties. The downside is that others may be using the same tag number in that range for something else.
FIX is interested in extensions to the standard fields (1-4999 and 40000 and above) to cover (new ) business requirements. As a FIX member, you can join one of the working groups to discuss such requirements and ultimately submit proposals to the FIX Global Technical Committee.
Could you provide a link to a German website that defines Zeitoptionsgeschäfte in detail? When you talk about “take-up”, do you mean the exercise of an option (Ausübung) or is “Ziehung” something completely different? Maybe your links can shed some light on the semantics of the business processes and whether they are already covered in FIX.
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Dear gtcpm,
can you introduce me into a working group which deals with the topic of the foreign exchange time option so that I am able to submit a proposal to the FIX Global Technical Committee?
If you are searching for “Devisentermingeschäft mit Laufzeitoption” (via Google) then you will find different Key Information Document (KID; “Basisinformationsblatt”) examples of various leading banks in Germany.
Furthermore, on the web page of S-International BW Nortd you will find a detailed description regarding the asset/product (in German language):
“… Darüber hinaus haben Sie die Möglichkeit sich den Kurs nicht nur auf einen bestimmten zukünftigen Zeitpunkt, sondern sich mit Hilfe eines Devisentermingeschäftes mit Laufzeitoption einen Kurs für einen vorher definierten zukünftigen Zeitraum zu sichern. Hierbei ist es auch möglich den Währungsbetrag in kleineren Tranchen während der Laufzeit abzurufen - am Laufzeitende wird das Devisentermingeschäft mit Laufzeitoption vollständig erfüllt.”
That means the process of foreign exchange time option is as follows: Trader capture forward with value date, added by a additional time option date, which defines the duration for a settlement.
The trader is able to settle a partial or the entire amount from the time option date until the specific value date. This action is called “draw-down” (aka take-up). In German this process step is called “Ziehung” (aka “Ausübung” der Zeitoption).
Please can you cross-check if this workflow is already covered by existing FIX messages/tags.
At the moment I focus on the quote request (Quote message) and deal capture (New order single / Multi-leg) of foreign exchange time option, only. I have noticed that 360T refers back to the tags 916 / 917 in this case (see 360T RFS FIX Market Maker API, FIX Rules of Engagement, Version 1.17.2)!
However, the message typ of draw-down / take-up is not specified so far (as I know). So, I am interested to here from you, how to handle.
Kind regards
Dr. Klaus Hahn
Hi Klaus,
thank you for the background information. After some analysis, I believe this kind of exotic option in the OTC derivatives space is called “flexible forward contracts” in English (apparently there are other names). I would see the draw-down as a trade continuation event that can be expressed with TradeContinuation, for example with the value 24=Delivery. Maybe you can find some information in EP179 if you look at Appendix E - Lifecycle Event Mapping. TradeContinuation supports user-defined values as of 100. However, it requires an in-depth analysis to determine if FIX has any gaps related to your business requirements.
The process of compiling and submitting a formal gap analysis to the FIX Global Technical Committee requires to be a FIX member. FIX has a product committee called FICC (Fixed Income Currencies Commodities) that also oversees the FX asset class.
Regards,
Hanno Klein
FIX Technical Director
GTC Project Management