MarketDateRequest (35=V) for forward tenor

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Imported from previous forum

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Hi all, I would wonder how should specify the tenor in the FIX4.4 MarketDataRequest (35=V)? E.g. for subscribe the Forward tenor (e.g. 2M) or odd-date (e.g. 3 May 2010).

In QuoteRequest (35=R), there is tag 64 for us to indicate the tenor value date. But seems for MarketDataRequest(35=V) it is assumed to be spot by default.

Thanks for the help.

3

I doubt if there is a need to specify tenor information (eg. tenor code or value date, etc) in 35=V under FIX 4.4. In fact, if client subscribes a currency pair like USDJPY, liquidity provider should return USDJPY prices with all pre-agreed tenor(s) to that client. Would all pls correct me if otherwise. Thanks in advance.

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Hi all, I would wonder how should specify the tenor in the FIX4.4 MarketDataRequest (35=V)? E.g. for subscribe the Forward tenor (e.g. 2M) or odd-date (e.g. 3 May 2010).

In QuoteRequest (35=R), there is tag 64 for us to indicate the tenor value date. But seems for MarketDataRequest(35=V) it is assumed to be spot by default.

Thanks for the help.

4

As I understand it full support for forwards in the MarketData set of messages came in FIX 5.0. You could use the approach described in 5.0SP2 volume 7 on a 4.4 session, or alternatively use the QuoteRequest/Quote set of messages.

I doubt if there is a need to specify tenor information (eg. tenor code or value date, etc) in 35=V under FIX 4.4. In fact, if client subscribes a currency pair like USDJPY, liquidity provider should return USDJPY prices with all pre-agreed tenor(s) to that client. Would all pls correct me if otherwise. Thanks in advance.

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Hi all, I would wonder how should specify the tenor in the FIX4.4 MarketDataRequest (35=V)? E.g. for subscribe the Forward tenor (e.g. 2M) or odd-date (e.g. 3 May 2010).

In QuoteRequest (35=R), there is tag 64 for us to indicate the tenor value date. But seems for MarketDataRequest(35=V) it is assumed to be spot by default.

Thanks for the help.

5

Thanks Pritam. My understanding is now crystal-clear after going thru the Volume 7:

35=V - Tag 63 and Tag 64 are optional. If a request is sent without either Tag 63 or Tag 64 specified, the Initiator could receive a significance amount of information. The Respondent may respond with a price stream of ALL available tenors for the currency pair.

35=W - Tag 63 and Tag 64 are required and will be sent to the Initiator, no matter Initiator has included them or not in the previous 35=V.