Imported from previous forum
We are working on an implementation where risk alerts will be transmitted to a trading firm. The alerts will be generated based on open positions and collateral (e.g. 60% of collateral utilised, 80% of collateral utilised, etc.).
Is there a FIX message that can be used to publish these risk alerts to trading firms?
This is not a question of reference data (i.e. the messages used to set up or change the risk limits of a firm via a FIX connection). It is a question of alerting a trading firm that its positions have breached a particular risk level via a FIX connection.
Often 35=C (Email) is useful for such communications.
Lalin,
have you checked out EP128 which extends risk limit messages to include the ability to convey current utilization. The RiskLimitTypesGrp component now has fields RiskLimitUtilizationPercent (1765) and RiskLimitUtilizationAmount (1766). You can use 1765 to express a percentage being used. The only other field you need in this group is RiskLimitType (1530). Your risk limit definition messages (reference data) would not include the utilization fields but RiskLimitAction (1767) and possibly the RiskWarningLevelGrp component to convey what will happen. You can use the same message for both purposes.
Regards,
Hanno.
We are working on an implementation where risk alerts will be transmitted to a trading firm. The alerts will be generated based on open positions and collateral (e.g. 60% of collateral utilised, 80% of collateral utilised, etc.).
Is there a FIX message that can be used to publish these risk alerts to trading firms?
This is not a question of reference data (i.e. the messages used to set up or change the risk limits of a firm via a FIX connection). It is a question of alerting a trading firm that its positions have breached a particular risk level via a FIX connection.
Thanks Hanno. That is very helpful.
Where could I find EP 128? I can’t find it under http://fixprotocol.org/proposals/ or http://fixprotocol.org/proposals/completed.
However, it did find a Risk Limits Extension proposal (http://fixprotocol.org/documents/5374/FIX%20Protocol%20Gap%20Analysis%20-%20Risk%20Limit%20Extensions%20v0.5.doc) under Global Technical Committee>Documents (http://fixprotocol.org/committees/gtc/documents). Is that EP 128?
Lalin,
have you checked out EP128 which extends risk limit messages to include the ability to convey current utilization. The RiskLimitTypesGrp component now has fields RiskLimitUtilizationPercent (1765) and RiskLimitUtilizationAmount (1766). You can use 1765 to express a percentage being used. The only other field you need in this group is RiskLimitType (1530). Your risk limit definition messages (reference data) would not include the utilization fields but RiskLimitAction (1767) and possibly the RiskWarningLevelGrp component to convey what will happen. You can use the same message for both purposes.
Regards,
Hanno.We are working on an implementation where risk alerts will be transmitted to a trading firm. The alerts will be generated based on open positions and collateral (e.g. 60% of collateral utilised, 80% of collateral utilised, etc.).
Is there a FIX message that can be used to publish these risk alerts to trading firms?
This is not a question of reference data (i.e. the messages used to set up or change the risk limits of a firm via a FIX connection). It is a question of alerting a trading firm that its positions have breached a particular risk level via a FIX connection.
The pages you mention are only relevant during the approval process and do not necessarily contain the final version. All Extension Packs (as of SP2) can be found under the “Technical / Specifications” page. Please refer to http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2. EP128 is still undergoing final QA but the ASBUILT version you can find there is 99% final. It is quite a powerful extension so please give yourself some time to understand the underlying concepts. Feel free to post any questions to this forum.
Thanks Hanno. That is very helpful.
Where could I find EP 128? I can’t find it under http://fixprotocol.org/proposals/ or http://fixprotocol.org/proposals/completed.
However, it did find a Risk Limits Extension proposal (http://fixprotocol.org/documents/5374/FIX%20Protocol%20Gap%20Analysis%20-%20Risk%20Limit%20Extensions%20v0.5.doc) under Global Technical Committee>Documents (http://fixprotocol.org/committees/gtc/documents). Is that EP 128?