Imported from previous forum
Hi all
One of the clients that I am working with has requested a mechanism where a trader can report trades for multiple instruments in a single message. Is there any kind of message that permits this? Essentially these type of trades refer to a prearranged trade between two parties where a complex hedging process may have taken place. The parties want to report all the trades in a 'bunched' or a basket manner.
A simpler usage of this would be where a trade would be booked by two parties in two FRAs. the parties would agree to 'buy' and 'sell' in two FRAs and would book it as a single trade.
Anyone aware of how to do this without sending a separate message for each instrument?
You can use the TradeMatchReport (MsgType=DC), aka TMR, to do this. Originally introduced for complete matching events of an exchange involving synthetic matching of simple and complex (multi-leg) instruments, sent from the exchange to the clearinghouse. However, it should fit your use case above where you do not want to have to piece together the individual trades of the basket.
Please use the FIX Semantics forum instead of the General Q/A for these kind of questions.
A new proposal is "Multiple Logical FIX messages be permitted in a single Physical FIX message". Would the proposal made long time back (2011-02-06) "Ability to transport multiple HFT application objects in a single HFT Protocol transmission message"
http://www.fixtradingcommunity.org/pg/discussions/topicpost/165288/
fit this usecase? Maybe its time to consider introducting a new message type 35=? to satisfy these kind of requirements.
Hi FIXWorld.net (not sure if one or more individuals are behind this “name”),
two comments to address this. First, it is important to distinguish application and presentation (encoding) layer. FIXML for example allows batching of arbitrary messages in a single physical files. Other encodings do not offer such a feature but could be changed to do so. However, message types belong to the application layer and should not be used generically as “meta-messages” to bundle other messages. That should be left to the specifics of the encoding.
Second, FIX does offer dedicated messages to combine multiple logical elements where it makes sense. Typically, these logical elements have things in common which are expressed as fields on the root level and the elements are expressed as elements of a repeating group. The MassQuote message is an example and allows to bundle quote entries efficiently.
The latest example are the new message types around mass orders which you may have missed. Please have a look at EP188 (http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP188) for details. You will find a lot of information of how to use the new messages. They work with any of the FIX encodings (tag=value, FIXML, FAST, SBE, GPB, ASN.1)
Regards,
Hanno.