Impact on FIX due to OSI change

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Imported from previous forum

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Hi,

What would be impact on the FIX implementation due to the Option Symbology Initiative change (driven by the OCC), would really appreciate if can get some sample FIX message on that.

Many thanks

3

The Global Derivatives Committee worked with the OCC to create the following guide: http://fixprotocol.org/documents/4213/FIXImplementationGuide_USOptionsSymbology_v1.pdf

Hi,

What would be impact on the FIX implementation due to the Option
Symbology Initiative change (driven by the OCC), would really appreciate
if can get some sample FIX message on that.

Many thanks

4

The Global Derivatives Committee worked with the OCC to create the
following guide: http://fixprotocol.org/documents/4213/FIXImplementatio-
nGuide_USOptionsSymbology_v1.pdf

Hi,

What would be impact on the FIX implementation due to the Option
Symbology Initiative change (driven by the OCC), would really
appreciate if can get some sample FIX message on that.

Many thanks
The OSI initiative would require that Options Products would need to be identified by full Maturity Date, as opposed to the Maturity Month and Year; this will allow for Options products that have non-standard expiration dates, or products that expire on a non-monthly cycle. Depending on the FIX Message involved, several different tags could be involved. A simple example would be the submission of an Order. If the OSI initiative is in effect, I would expect an Order submitted without tag 205 to be rejected, as below.

Order in:
[8=FIX.4.2^A9=0271^A35=D^A50=SUB:SUB^A34=2^A49=TEST101^A56=DFIX201^A52=20090320-19:35:18^A11=VJP0001-20090320^A76=325^A21=1^A55=ABI^A167=OPT^A200=200810^A201=0^A202=35.00^A207=CBOE^A54=1^A38=500^A40=2^A44=8.3^A59=0^A77=O^A204=0^A60=20041020-12:00:00^A386=1^A336=W_MAIN^A9324=Internal 4294^A109=ABCD^A439=3A6n2^A440=QA2^A10=129^A]

Order Reject out:
[8=FIX.4.2^A9=0329^A35=8^A57=SUB:SUB^A34=2^A49=DFIX201^A56=TEST101^A52=20090320-19:35:18^A6=0^A11=VJP0001-20090320^A14=0^A84=0^A17=0:0.52508741.0^A20=0^A150=8^A31=0^A32=0^A151=0^A200=200810^A37=NONE^A38=500^A103=0^A39=8^A40=2^A44=8.3^A201=0^A167=OPT^A54=1^A202=35^A55=ABI^A58=Invalid Data - MaturityDay(205): [Tag is required to specify an option by symbol]^A9324=Internal 4294^A10=173^A]

Thx

5

thanks Jim !! thanks Magee for all the help