MD Entry Type

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1

Imported from previous forum

2

I have a question about custom values for MD Entry Type.
I would like to stream changes to Swap Rates, the rates different for Bid and Offer.
The current recommendation is to not use Quote messages for streaming but to use Market Data messages.
Probably I should address this question to the Market Data Optimisation group, what is the protocol for doing so ? Sending an email to all the members seems excessive.
thanks and regards
Dave

3

MDEntryType does not support user-defined (custom) values. What is your requirement? It could very well be that it is covered by the current spec.

The normal process is to join a working group, e.g. MDOWG, prepare a formal gap analysis (pre-defined template) and have the working group submit the proposal to the FIX Global Technical Committee for discussion and approval. You can approach the chair(s) of the working group as published on the FPL website directly to find out about meeting schedules.

I have a question about custom values for MD Entry Type. I would like
to stream changes to Swap Rates, the rates different for Bid and Offer.
The current recommendation is to not use Quote messages for streaming
but to use Market Data messages. Probably I should address this
question to the Market Data Optimisation group, what is the protocol
for doing so ? Sending an email to all the members seems excessive.
thanks and regards Dave

4

I neeed to provide the Swap Rates (or Rollover rates) that are applicable on open FX positions. This is equivalent to tags 1065, 1066 on the quote message.

I’m using FIX 5.0 SP2 and I see MD Entry Types
R = Daily value adjustment for long positions
U = Daily Value Adjustment for Short Positions

This may be the purpose for which these types are intended.

MDEntryType does not support user-defined (custom) values. What is
your requirement? It could very well be that it is covered by the
current spec.

The normal process is to join a working group, e.g. MDOWG, prepare a
formal gap analysis (pre-defined template) and have the working group
submit the proposal to the FIX Global Technical Committee for discussion
and approval. You can approach the chair(s) of the working group as
published on the FPL website directly to find out about meeting
schedules.

I have a question about custom values for MD Entry Type. I would like
to stream changes to Swap Rates, the rates different for Bid and
Offer. The current recommendation is to not use Quote messages for
streaming but to use Market Data messages. Probably I should address
this question to the Market Data Optimisation group, what is the
protocol for doing so ? Sending an email to all the members seems
excessive. thanks and regards Dave

5

Wouldn’t the field 1027 MDEntryForwardPoints cover your requirement, i.e. two entries with this field, one of them with MDEntryType=0=Bid for 1065 BidSwapPoints and the other with MDEntryType=1=Offer for 1066 OfferSwapPoints? You then also have the correct FIX data type for your values (PriceOffset).

I neeed to provide the Swap Rates (or Rollover rates) that are
applicable on open FX positions. This is equivalent to tags 1065, 1066
on the quote message.

I’m using FIX 5.0 SP2 and I see MD Entry Types R = Daily value
adjustment for long positions U = Daily Value Adjustment for
Short Positions

This may be the purpose for which these types are intended.

MDEntryType does not support user-defined (custom) values. What is
your requirement? It could very well be that it is covered by the
current spec.

The normal process is to join a working group, e.g. MDOWG, prepare a
formal gap analysis (pre-defined template) and have the working group
submit the proposal to the FIX Global Technical Committee for
discussion and approval. You can approach the chair(s) of the working
group as published on the FPL website directly to find out about
meeting schedules.

I have a question about custom values for MD Entry Type. I would
like to stream changes to Swap Rates, the rates different for Bid
and Offer. The current recommendation is to not use Quote messages
for streaming but to use Market Data messages. Probably I should
address this question to the Market Data Optimisation group, what is
the protocol for doing so ? Sending an email to all the members
seems excessive. thanks and regards Dave

6

This may be a gap in the Market Data messages related to FX swaps. When the GFX committee enhanced the market data for streaming executable prices we did not consider FX swaps in the streaming model - at that time we didn’t think people would do streaming prices of FX swaps.

In the Quote message we have the Bid/OfferForwardPoints and Bid/OfferSwapPoints fields (4 fields). In the Market data we only have MDEntryForwardPoints. Seems like we may have a case for “MDEntrySwapPoints”.

David, may I suggest you drop a quick email to the GFX co-chairs to raise this.

Wouldn’t the field 1027 MDEntryForwardPoints cover your requirement,
i.e. two entries with this field, one of them with MDEntryType=0=Bid for
1065 BidSwapPoints and the other with MDEntryType=1=Offer for 1066
OfferSwapPoints? You then also have the correct FIX data type for your
values (PriceOffset).

I neeed to provide the Swap Rates (or Rollover rates) that are
applicable on open FX positions. This is equivalent to tags 1065, 1066
on the quote message.

I’m using FIX 5.0 SP2 and I see MD Entry Types R = Daily value
adjustment for long positions U = Daily Value Adjustment for Short
Positions

This may be the purpose for which these types are intended.

MDEntryType does not support user-defined (custom) values. What is
your requirement? It could very well be that it is covered by the
current spec.

The normal process is to join a working group, e.g. MDOWG, prepare a
formal gap analysis (pre-defined template) and have the working
group submit the proposal to the FIX Global Technical Committee for
discussion and approval. You can approach the chair(s) of the
working group as published on the FPL website directly to find out
about meeting schedules.

I have a question about custom values for MD Entry Type. I would
like to stream changes to Swap Rates, the rates different for Bid
and Offer. The current recommendation is to not use Quote messages
for streaming but to use Market Data messages. Probably I should
address this question to the Market Data Optimisation group, what
is the protocol for doing so ? Sending an email to all the members
seems excessive. thanks and regards Dave

7

Thanks all for your comments, it’s very helpful.

This may be a gap in the Market Data messages related to FX swaps. When
the GFX committee enhanced the market data for streaming executable
prices we did not consider FX swaps in the streaming model - at that
time we didn’t think people would do streaming prices of FX swaps.

In the Quote message we have the Bid/OfferForwardPoints and
Bid/OfferSwapPoints fields (4 fields). In the Market data we only have
MDEntryForwardPoints. Seems like we may have a case for
“MDEntrySwapPoints”.

David, may I suggest you drop a quick email to the GFX co-chairs to
raise this.

Wouldn’t the field 1027 MDEntryForwardPoints cover your requirement,
i.e. two entries with this field, one of them with MDEntryType=0=Bid
for 1065 BidSwapPoints and the other with MDEntryType=1=Offer for
1066 OfferSwapPoints? You then also have the correct FIX data
type for your values (PriceOffset).

I neeed to provide the Swap Rates (or Rollover rates) that are
applicable on open FX positions. This is equivalent to tags 1065,
1066 on the quote message.

I’m using FIX 5.0 SP2 and I see MD Entry Types R = Daily value
adjustment for long positions U = Daily Value Adjustment for Short
Positions

This may be the purpose for which these types are intended.

MDEntryType does not support user-defined (custom) values. What is
your requirement? It could very well be that it is covered by the
current spec.

The normal process is to join a working group, e.g. MDOWG, prepare
a formal gap analysis (pre-defined template) and have the working
group submit the proposal to the FIX Global Technical Committee
for discussion and approval. You can approach the chair(s) of the
working group as published on the FPL website directly to find out
about meeting schedules.

I have a question about custom values for MD Entry Type. I would
like to stream changes to Swap Rates, the rates different for
Bid and Offer. The current recommendation is to not use Quote
messages for streaming but to use Market Data messages. Probably
I should address this question to the Market Data Optimisation
group, what is the protocol for doing so ? Sending an email to
all the members seems excessive. thanks and regards Dave