optional forward deal with execution report

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Imported from previous forum

2

hi,

I am using execution report to match FX optional forward deal.

the value date for FX optional forward deal is the period rather than a single day.

eg. deal for aud/usd, 1m.

value data start: Mar 01, 2011
value data end: Mar 31, 2011

any business date between start and end could be the value date.

No lucky to find fix tag for value data start and value data end in execution report.

Anyone can throw some light?

Many thanks.

Cheers,

Glen

3

[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
For an outright there is only a single value date as specified by SettlDate (64=). If you are looking for a swap then you need a near and a far date so you would use multi-leg execution report (near and far leg) for FIX5.0. For older FIX versions, there is the now deprecated SettlDate2 field.

hi,

I am using execution report to match FX optional forward deal.

the value date for FX optional forward deal is the period rather than a single day.

eg. deal for aud/usd, 1m.

value data start: Mar 01, 2011
value data end: Mar 31, 2011

any business date between start and end could be the value date.

No lucky to find fix tag for value data start and value data end in execution report.

Anyone can throw some light?

Many thanks.

Cheers,

Glen

4

Hi,

thanks for response.

FX optional forward deal is outright deal with single leg but SettlDate is not setting to any explicit date when deal made.

Price taker and maker agree with the period and will pick up one suitable date from this period for settlement.

cheers,

Glen

For an outright there is only a single value date as specified by SettlDate (64=). If you are looking for a swap then you need a near and a far date so you would use multi-leg execution report (near and far leg) for FIX5.0. For older FIX versions, there is the now deprecated SettlDate2 field.

hi,

I am using execution report to match FX optional forward deal.

the value date for FX optional forward deal is the period rather than a single day.

eg. deal for aud/usd, 1m.

value data start: Mar 01, 2011
value data end: Mar 31, 2011

any business date between start and end could be the value date.

No lucky to find fix tag for value data start and value data end in execution report.

Anyone can throw some light?

Many thanks.

Cheers,

Glen