Imported from previous forum
[ original email was from Tommy Hannon - th2005@bondtrac.com ]
I am unclear how the PriceType field is used in the Quote (S) message regarding fixed-income. To which fields does the PriceType apply? All prices (…Px)? Or, is it some kind of indicator when a quote is shown with OfferPx, OfferYield, and component block fields present? Thanks in advance.
PriceType in the Quote message applies to the OfferPx, BidPx and MidPx. If the security is quoted as a spread to a benchmark, as in a corporate bond, then the basis points spread value goes into the OfferPx and Benchmark security identified in the benchmark related fields - the Spread field is not used in this case.
PriceType indicates the price type of the primary price fields while yield related fields and spread/benchmark fields can be used as secondary pricing information. So if the OfferPx field is quoting a yield, then PriceType would indicate it is a yield and OfferYield would not be used.
PriceType is not to be used as an indicator of where to look for the price.
Volume 7 of the FIX 4.4 specification’s FI section provides additional guidance.
I am unclear how the PriceType field is used in the Quote (S) message
regarding fixed-income. To which fields does the PriceType apply? All
prices (…Px)? Or, is it some kind of indicator when a quote is shown
with OfferPx, OfferYield, and component
block fields present? Thanks in advance.