Rollback FX forwards FIX Tags

1

Hi,
Looking into mapping the workflow for early terminations/redemptions for FX FWDs in FIX 5.0. Could someone pls revert with how the trade is specified as a rolllback trade in FIX?

2

TradeContinuation(1937)=2 (Trade unwind)

3

@francisswedbank, does that answer your question? Please provide feedback to responses received. Thx.

1 Like
4

yes, fantastic!

1 Like
5

@francisswedbank, @deankauffman

I have to specify fix msgs for FX post trade events like

  1. Rolls Fwd - can be historic rate or market
  2. Rolls Back - can be historic rate or market
  3. Early Termination
  4. Closing (i.e. close off previous trade with equal+opposite deal leaving a net cashflow in one ccy at original settlement date)

All have to go through the same quoting workflow as done for new FX trades.

Instead of hacking SecurityType in QuoteRequest, Quote, NewOrderSingle, ER, I would really like to understand if can use 1937 to represent and which values would suit each of my 4 use cases.

Any help on this quickly will be great as I need to define the specification internally for our dev team to continue.

Thanks in advance
Binny

6

@indigostar108 As per my response to you in the other thread, yes use TradeContinuation in those messages. That field, as a result of the Repo WG work was added to the QuoteRequest, Quote and QuoteResponse messages to be part of the standard in FIX Latest. At the time no one saw a new for it to be in the NewOrderSingle as in REpo world it is all RFQ based trading. If you need to add it to the NOS for your implementation it is way better to do that then to hack SecType. TradeContinuation is already in the ER message as well.

Where possible map what you need to standard enum values in TradeContinuation as long as concept-wise it is talking about the same thing, then extend where there is a gap.

7

@ltaikit ty.

Agreed, i will plan to use it this way then. I saw this old thread specifically for FX rollsso wanted to know what value was used. Unfortunately I cannot find further online on the context of these values in 1937 tag.

I am struggling to find the relevant value that can apply to Roll Fwd vs Roll Back (maybe take up for rolll back). And finally either of these rolls can be done at historic rate or market rate so may have to introduce a custom field for that or just put all 4 combination of rolls as 4 new enum’s.

thanks,
Binny