Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the FIA PTWG Related Trades and Positions Proposal. This proposal seeks to create a standard general mechanism for:
A trade to identify one or more related trades
A position to identify one or more related trades
A trade to identify one or more related positions
This will allow the FIX user to express various types of relationships between transactions, supporting diverse business flows without having to change the FIX(space)Protocol semantics.
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.
Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at:
http://www.fixprotocol.org/documents/6146/FIA%20PTWG%20Related%20Trades%20and%20Positions%20Proposal.doc
The public comment period ends on December 8th, 2011.
Request to extend the RelatedTradeGrp component block with an additional field RelatedTradeQty to convey (partial) qty of a related trade. Within a TCR for a trade A, this allows to denote the qty of the related trade B that applies to A. For example trade B is for 100, 20 of which is used to hedge trade A. RelatedTradeQty would allow to convey this relationship explicitly.
Use case is an OTC Volatility Trade where the futures trade needs to reference the options trade and designate the trade quantity of the (previously executed) options trade used for the futures trade. It is defined as follows:
Simultaneous buy of a call option or sell of a put option and sell or buy of the respective future, even though these events do not occur at the same time. The delta of the options trade is used to calculate the number of futures that can be exchanged. The future contract entered must have the same underlying as the option contract for index options. The future contract used must be the underlying of the option contract for interest rate options. The future price used must be between the daily high and low of the future and the quantity must be greater than the minimum defined by the exchange.