Imported from previous forum
Korean FI market prefers CashOrderQty for indicating order quantities rather than OrderQty, and in some cases both of them are used.
However, the IOI message of FIX 4.4 draft version provides only IOIQty(27) without OrderQtyData Component Block.
Is there any reason why OrderQtyData Component Block isn’t included in it?
Korean market has planed to adopt FIX 4.4. indicative/tradable quoting model for FI, for we need the IOI with OrderQtyData Component Block.
And in case of OrderQtyData Component Block included, which field-fair makes sense for indicating order quantities, (OrderQty, CashOrderQty) or (IOIQty,CashOrderQty)?
Please give any comments.
Thank you a lot in advance.
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
[Jeeyoung Park offered the following clarification in a separate email exchange. The GTC has captured this proposal for inclusion in 4.4.]
In the out of the counter bond market in Korea, dealers exchange bond information of ‘Yield (to maturity)’ and ‘CashOrderQty’ including ‘Symbol’ for the transaction. For example, if I want to buy \500,000,000 worth of ‘C015014P2 (bond identification code)’ with 5.15% yield, then FIX messages (IOI, Quote, Quote request) would have to include the following:
236(Yield) =.0515 indicates the maturity yield is 5.15%.
55(Symbol) = C015014P2 is the bond identification code as ISIN.
152(CashOrderQty) = 500000000 means the total amount of money to pay for purchase.
If Yield is known, price can be calculated from other detailed information like face/par value and coupon rate delivered through FIX/non-FIX protocol. Then OrderQty also can be calculated roughly as CashOrderQty/Price. The reverse would be O.K. in mathematics. But the issue is that dealers prefer CashOrderQty to OrderQty and Price. So we’d like to deliver CashOrderQty, OrderQty and Price through FIX.
> Korean FI market prefers CashOrderQty for indicating order quantities rather than OrderQty, and in some cases both of them are used.
> However, the IOI message of FIX 4.4 draft version provides only IOIQty(27) without OrderQtyData Component Block.
> Is there any reason why OrderQtyData Component Block isn’t included in it?
>
> Korean market has planed to adopt FIX 4.4. indicative/tradable quoting model for FI, for we need the IOI with OrderQtyData Component Block.
> And in case of OrderQtyData Component Block included, which field-fair makes sense for indicating order quantities, (OrderQty, CashOrderQty) or (IOIQty,CashOrderQty)?
>
> Please give any comments.
> Thank you a lot in advance.
>
>