Options over FIX

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1

Imported from previous forum

2

Hi all,

I’m now working on a project to move our Options trading business onto FIX. Just want to see in general practice if the ExDestination, Strike Price and Maturity have to be provided by buy-side when sending order over. If I’m sending RIC can they brokers look up the above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would be appreciated.

Thanks
K. C.

3

[ original email was from Cindy Chan - cindy.chan@csfb.com ]
Buy side will have to supply Symbol, MaturityMonthYear, StrikePrice, PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading business onto
FIX. Just want to see in general practice if the ExDestination, Strike
Price and Maturity have to be provided by buy-side when sending order
over. If I’m sending RIC can they brokers look up the above info from
the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would be
appreciated.

Thanks
K. C.

4

Buy side will have to supply Symbol, MaturityMonthYear, StrikePrice,
PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading business onto
FIX. Just want to see in general practice if the ExDestination, Strike
Price and Maturity have to be provided by buy-side when sending order
over. If I’m sending RIC can they brokers look up the above info from
the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would be
appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the Strike, Maturity and ExDestination is that a general practice for buy-side to provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike price and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my remember is correct) and thats able to tell whats the root product, maturity and the exchange

Correct me if my understanding is wrong.

5

[ original email was from Jim Northey - jnorthey@jandj.com ]
> > Buy side will have to supply Symbol, MaturityMonthYear, StrikePrice,

PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading business
onto FIX. Just want to see in general practice if the ExDestination,
Strike Price and Maturity have to be provided by buy-side when
sending order over. If I’m sending RIC can they brokers look up the
above info from the symbol?

It would be acceptable in the case of using RICs to not have to specify the extra fields for listed options. The issue becomes will all of your counterparties be able to interpret RICs. A better approach would be to use Exchange Symbol, StrikePrice, MMY, PutCall + SecurityType (for 4.1, 4.2) or CFICode (4.3, 4.4). If you want to include the RICs you could include it as the SecurityIdentifier and specific the SecurityIDType enum to RIC.

In general, though marked as optional, usual practice is to consider the following conditionally required for listed options:

4.1, 4.2: Symbol, MMY, StrikePrice, PutCall, SecurityType

4.3, 4.4: Symbol, MMY, StrikePrice, CFICode (contains both Option and Put or Call codes).

Other identifiers can be added to the SecurityID and the AltSecurityID block.

Note: We have a proposal coming from the FIA Electronic Order Routing Subcomittee and the FIX Global Derivatives Committee to re-introduce PutCall, SecurityType=“FUT” / “OPT” to provide backward compatibility. This has not been approved yet by the Global Technical Committee. It would be great to get some additional opinions from the FIX community on re-introducing PutCall and SecurityType=“FUT”, “OPT”.

Since I’m new to the F&O FIX so any help or idea sharing would be
appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the Strike,
Maturity and ExDestination is that a general practice for buy-side to
provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike price
    and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my remember
    is correct) and thats able to tell whats the root product, maturity
    and the exchange

Correct me if my understanding is wrong.

6

If you will need to work with messages sent by Options Clearing Corp., as we are using the 4.4 version, we are strongly in favor of using the CFI Code to convey the derivative instrument type (options vs. futures), the Put/Call indicator, the Exercise Style and other product attributes.

For options, in addition to the CFI Code you would still have to query the Sym, MMY (or MatDt) and the StrkPx FIXML fields to uniquely identify the option series.

Buy side will have to supply Symbol, MaturityMonthYear, StrikePrice,
PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading business
onto FIX. Just want to see in general practice if the ExDestination,
Strike Price and Maturity have to be provided by buy-side when
sending order over. If I’m sending RIC can they brokers look up the
above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would be
appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the Strike,
Maturity and ExDestination is that a general practice for buy-side to
provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike price
    and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my remember
    is correct) and thats able to tell whats the root product, maturity
    and the exchange

Correct me if my understanding is wrong.

7

[ original email was from Jim Northey - jnorthey@jandj.com ]
Just to clarify my previous statement the purpose for bringing back PutOrCall and SecurityType “OPT” / “FUT” is for backward compatibility with previous versions to help transition from 4.2 to 4.4 for front office applications. The use of CFICode is considered strategic, despite its “arcanity”. In fact, the GTC just finished working with the ISO organization to extend CFI to support FX and FX derivatives.

If you will need to work with messages sent by Options Clearing Corp.,
as we are using the 4.4 version, we are strongly in favor of using the
CFI Code to convey the derivative instrument type (options vs. futures),
the Put/Call indicator, the Exercise Style and other product attributes.

For options, in addition to the CFI Code you would still have to query
the Sym, MMY (or MatDt) and the StrkPx FIXML fields to uniquely identify
the option series.

Buy side will have to supply Symbol, MaturityMonthYear, StrikePrice,
PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading business
onto FIX. Just want to see in general practice if the
ExDestination, Strike Price and Maturity have to be provided by
buy-side when sending order over. If I’m sending RIC can they
brokers look up the above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would be
appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the Strike,
Maturity and ExDestination is that a general practice for buy-side to
provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike price
    and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my
    remember is correct) and thats able to tell whats the root product,
    maturity and the exchange

Correct me if my understanding is wrong.

8

Hi Jim,

Where can I find some info with regards to or sample CFI codes for FX and derivatives? We adopted the ISO standard for Option/Future OMS and are planning to extend it to cover FX as well.

I would really appreciate any info.

Thanks,
Viktor.

Just to clarify my previous statement the purpose for bringing back
PutOrCall and SecurityType “OPT” / “FUT” is for backward compatibility
with previous versions to help transition from 4.2 to 4.4 for front
office applications. The use of CFICode is considered strategic, despite
its “arcanity”. In fact, the GTC just finished working with the ISO
organization to extend CFI to support FX and FX derivatives.

If you will need to work with messages sent by Options Clearing Corp.,
as we are using the 4.4 version, we are strongly in favor of using the
CFI Code to convey the derivative instrument type (options vs.
futures), the Put/Call indicator, the Exercise Style and other product
attributes.

For options, in addition to the CFI Code you would still have to query
the Sym, MMY (or MatDt) and the StrkPx FIXML fields to uniquely
identify the option series.

Buy side will have to supply Symbol, MaturityMonthYear,
StrikePrice, PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading
business onto FIX. Just want to see in general practice if the
ExDestination, Strike Price and Maturity have to be provided by
buy-side when sending order over. If I’m sending RIC can they
brokers look up the above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would
be appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the Strike,
Maturity and ExDestination is that a general practice for buy-side
to provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike
    price and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my
    remember is correct) and thats able to tell whats the root
    product, maturity and the exchange

Correct me if my understanding is wrong.

9

Hi Viktor
The CFICode consists of six alphabetic characters combined into a string and was introduced in FIX 4.3.
Please check the following document (page 6) for examples:
http://www.fixprotocol.org/documents/923/FPL_GDC_Newsletter_2004_09.pdf
regards
Grace

Hi Jim,

Where can I find some info with regards to or sample CFI codes for FX
and derivatives? We adopted the ISO standard for Option/Future OMS and
are planning to extend it to cover FX as well.

I would really appreciate any info.

Thanks, Viktor.

Just to clarify my previous statement the purpose for bringing back
PutOrCall and SecurityType “OPT” / “FUT” is for backward compatibility
with previous versions to help transition from 4.2 to 4.4 for front
office applications. The use of CFICode is considered strategic,
despite its “arcanity”. In fact, the GTC just finished working with
the ISO organization to extend CFI to support FX and FX derivatives.

If you will need to work with messages sent by Options Clearing
Corp., as we are using the 4.4 version, we are strongly in favor of
using the CFI Code to convey the derivative instrument type (options
vs. futures), the Put/Call indicator, the Exercise Style and other
product attributes.

For options, in addition to the CFI Code you would still have to
query the Sym, MMY (or MatDt) and the StrkPx FIXML fields to
uniquely identify the option series.

Buy side will have to supply Symbol, MaturityMonthYear,
StrikePrice, PutOrCall and SecurityType to identify the option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading
business onto FIX. Just want to see in general practice if the
ExDestination, Strike Price and Maturity have to be provided
by buy-side when sending order over. If I’m sending RIC can
they brokers look up the above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing would
be appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the
Strike, Maturity and ExDestination is that a general practice for
buy-side to provide these tags? Why I’m wondering is because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike
    price and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my
    remember is correct) and thats able to tell whats the root
    product, maturity and the exchange

Correct me if my understanding is wrong.

10

Thanks for the link Grace.

It is a great overview for those who don’t own a copy of the original ISO 10962 document.

It appears the CFI standard remains to be Equity, Dept, Rights, Futures and Options centric so far. I was pleasantly surprised to find in Jim’s post that CFICode was being extended to cover Foreign Exchange and FX derivative instruments, but unfortunately I was not able to find any information that would back it up.

If anyone has some info with regards to added support for FX and FX derivatives in the CFI Code I’d really appreciate if you could share it with us.

Thanks again,

Viktor

Hi Viktor The CFICode consists of six alphabetic characters combined
into a string and was introduced in FIX 4.3. Please check the following
document (page 6) for examples:
http://www.fixprotocol.org/documents/923/FPL_GDC_Newsletter_2004_09.pdf
regards Grace

Hi Jim,

Where can I find some info with regards to or sample CFI codes for FX
and derivatives? We adopted the ISO standard for Option/Future OMS and
are planning to extend it to cover FX as well.

I would really appreciate any info.

Thanks, Viktor.

Just to clarify my previous statement the purpose for bringing back
PutOrCall and SecurityType “OPT” / “FUT” is for backward
compatibility with previous versions to help transition from 4.2 to
4.4 for front office applications. The use of CFICode is considered
strategic, despite its “arcanity”. In fact, the GTC just finished
working with the ISO organization to extend CFI to support FX and FX
derivatives.

If you will need to work with messages sent by Options Clearing
Corp., as we are using the 4.4 version, we are strongly in favor
of using the CFI Code to convey the derivative instrument type
(options
vs. futures), the Put/Call indicator, the Exercise Style and other
product attributes.

For options, in addition to the CFI Code you would still have to
query the Sym, MMY (or MatDt) and the StrkPx FIXML fields to
uniquely identify the option series.

Buy side will have to supply Symbol, MaturityMonthYear,
StrikePrice, PutOrCall and SecurityType to identify the
option.

Hope this help.

Hi all,

I’m now working on a project to move our Options trading
business onto FIX. Just want to see in general practice if
the ExDestination, Strike Price and Maturity have to be
provided by buy-side when sending order over. If I’m sending
RIC can they brokers look up the above info from the symbol?

Since I’m new to the F&O FIX so any help or idea sharing
would be appreciated.

Thanks
K. C.

Thanks for your advise.

You’re right we will send the SecurityType. However for the
Strike, Maturity and ExDestination is that a general practice
for buy-side to provide these tags? Why I’m wondering is
because:

  • I can see from the 4.2 spec the Tag MaturityMonthYear, Strike
    price and ExDestination are optional
  • Also the RIC has it pre-defined format (RRRRSSSSSMY.EE if my
    remember is correct) and thats able to tell whats the root
    product, maturity and the exchange

Correct me if my understanding is wrong.