Mapping 207 and 55 on an ExecutionReport to get the name of the contract.

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Imported from previous forum

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Folks,
we have an application which receives fills via ExecutionReports.
This application retrieves tag 207 (exchange) and tag 55 (symbol)

It combines them and it uses a map to retrive the name of the traded contract.

For example,
207=CME 55=ES maps to 'E-MINI S&P 500 INDEX’
207=CME 55=ED maps to 'CME EURODOLLAR’
207=LFF 55=L maps to ‘LIFFE 3-MONTH £’

and so on…

The questions are:

is this approach acceptable ? in other words is it correct to expect that combinining the values on 207 and 55 uniquely identifies a contract.

if the approach is correct what’s the best way (site) to find this mapping ?
if the approach is not correct can somebody suggest a better one ?

Thanks,
L.

3

The answer is neither yes nor no. It depends on the venues from which you want to process ERs. Some comments:

  • tag 207 should be a MIC value, i.e. CME Globex is GLBX, Liffe is XLIF
  • MTFs in Europe issue their own, unique tag 55 symbols
  • Currency (tag 15) is often used in conjunction with tag 48 SecurityID (and tag 207 if multiple markets are involved) to make it unique

You need to find out what the (different) identification schemes of the venues are from which you want to be able to receive ERs. The superset of fields is likely to be the answer and it will be non-trivial…

Folks,
we have an application which receives fills via ExecutionReports.
This application retrieves tag 207 (exchange) and tag 55 (symbol)

It combines them and it uses a map to retrive the name of the traded contract.

For example,
207=CME 55=ES maps to ‘E-MINI S&P 500 INDEX’
207=CME 55=ED maps to ‘CME EURODOLLAR’
207=LFF 55=L maps to ‘LIFFE 3-MONTH £’

and so on…

The questions are:

is this approach acceptable ? in other words is it correct to expect that combinining the values on 207 and 55 uniquely identifies a contract.

if the approach is correct what’s the best way (site) to find this mapping ?
if the approach is not correct can somebody suggest a better one ?

Thanks,
L.

4

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
Hi Lorenzo,

Pragmatically I think this is a good approach, especially where Bloomberg codes on futures contracts become non-unique without the Yellow Key. A common example is “ES”, where ES Index is the Emini S&P 500 on CME/GLOBEX and ES Comdty is the Euroswiss on LIFFE. As part of our rules of engagement we tell clients that use Bloomberg codes (22=A)that they must provide an exchange identifier so that we know which product to trade.

55=ES + 207=XLIF maps to Euroswiss
55=ES + 207=XIOM maps to Emini S&P 500

Regards,

  • Greg

Folks,
we have an application which receives fills via ExecutionReports.
This application retrieves tag 207 (exchange) and tag 55 (symbol)

It combines them and it uses a map to retrive the name of the traded contract.

For example,
207=CME 55=ES maps to ‘E-MINI S&P 500 INDEX’
207=CME 55=ED maps to ‘CME EURODOLLAR’
207=LFF 55=L maps to ‘LIFFE 3-MONTH £’

and so on…

The questions are:

is this approach acceptable ? in other words is it correct to expect that combinining the values on 207 and 55 uniquely identifies a contract.

if the approach is correct what’s the best way (site) to find this mapping ?
if the approach is not correct can somebody suggest a better one ?

Thanks,
L.