Negative value for the Pricing field

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Imported from previous forum

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Is negative value in the FIX - price tag a valid possibility?
If yes, what does that indicate?

-MP

3

Manish,
Probably you won’t see neg prices when handling equities, but for other asset classes you may. According to vol 7 of the FIX spec, page 31:

“Negative Prices permitted for futures and options strategies
The AvgPx(tag #6), LastPx(Tag #31), Price(tag #44), StopPx(tag #99), AllocAvgPx(tag #153), DayAvgPx(tag# 426), LegLastPx(tag# 637), UnderlyingLastPx(tag# 651) fields can be negative to support pricing of futures and options strategies, that due to theoretical pricing can result in “buying” a strategy for a negative price (receiving a credit for the strategy) or “selling” a strategy for a price( receiving a debit for the strategy).”

Also, it is a possibility to see this situation in some fixed income FIX messaging implementations when a bond is priced according to percentage points below par or a reference value, although I believe this is not considered best practice. In this case, I believe the recommendation would be to use the price in conjunction with PriceType = 4 = Discount – percentage points below par, and keep the Price field positive.

Regards,
Jochen

Is negative value in the FIX - price tag a valid possibility? If yes,
what does that indicate?

-MP