Portofolio Valuation

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Imported from previous forum

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Hi,

I need a FIXML message for a Securities Portfolio Valuation.
Can anyone tell me what FIXML message I should use this valuation?

Thanks in advance!

3

[ original email was from Robert Stowsky - rstowsky@brookpath.com ]
Hi Ana,

I am curious. What is the business motivation for wanting to use a FIXML message instead of an ISO message for portfolio valuation?

Thanks,

Robert

Hi,

I need a FIXML message for a Securities Portfolio Valuation. Can anyone
tell me what FIXML message I should use this valuation?

Thanks in advance!

4

I am just researching if any of the FIXML messages could be used for this purpose.
I’m not familiar with the ISO message.
What is the best approach for Portfolio valuation?

Thanks!!

Hi Ana,

I am curious. What is the business motivation for wanting to use a FIXML
message instead of an ISO message for portfolio valuation?

Thanks,

Robert

Hi,

I need a FIXML message for a Securities Portfolio Valuation. Can
anyone tell me what FIXML message I should use this valuation?

Thanks in advance!

5

I am implementing an integration solution in a Stock Market and we are using FIXML.

We are working on a portfolio valuation for securities and we are planning on using the SecDef message for this purpose.

Can anyone tell me if there is any other message I should consider instead of this one? Or is SecDef an appropriate message for this purpose?

Thanks!

6

SecDef messages are generally used for product reference. They fully describe the instruments that you more briefly refer to in other messages.

SecDef doesn’t allow you to refer to an account or a position, both of which I assume are needed.

If you require these attributes, then I would look at the PosRpt. It has an instrument block to describe the security, a party block to describe the account, a PosQty block to describe the position, and a PosAmt block to describe the value. You may need to request additional PosAmtTyp enumerations that are specific to your market/implementation.

If you are describing an entire portfolio, not a specific position, then you may want to look at a PosRpt without an instrument or quantity block.

There is also a precedent for using the MktDataFull/Refresh messages to describe the new price of instruments, but like SecDef they are missing account or position blocks.

I am implementing an integration solution in a Stock Market and we are
using FIXML.

We are working on a portfolio valuation for securities and we are
planning on using the SecDef message for this purpose.

Can anyone tell me if there is any other message I should
consider instead of this one? Or is SecDef an appropriate message
for this purpose?

Thanks!