Imported from previous forum
[ original email was from Tim Yates - tyates@patsystems.com ]
In FIX 4.2, the Security Definition Request may be used to request a list of supported instruments. This is done by setting SecurityRequestType to the value "3".
It is clear (from Appendix I) how this is supposed to work for single leg instruments such as futures and options on futures; in the corresponding Security Definition reply message, each future or option is listed as a separate entry in the NoRelatedSym repeating group.
My question is: how are pre-defined calendar spreads or other multi-leg strategies supposed to be listed in response to such a request? This does not seem to be well defined. Should the request recipient send back a separate Security Definition message for each multi-leg instrument, with the repeating group defining the strategy legs? In which case, to what value should SecurityType be set?
In FIX 4.3, this mechanism appears to have been replaced by the Security List request. Is this an indication that the 4.2 mechanism is flawed or did not support listing of pre-defined spreads and strategies?
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
For FIX 4.2 - your approach is the only way it can be done - one Security Definition message per multileg instrument. The repeating group of the security definition holding the legs of the multileg instrument. We greatly improved this in 4.3 and then did some more work on it in 4.4.
> In FIX 4.2, the Security Definition Request may be used to request a list of supported instruments. This is done by setting SecurityRequestType to the value "3".
>
> It is clear (from Appendix I) how this is supposed to work for single leg instruments such as futures and options on futures; in the corresponding Security Definition reply message, each future or option is listed as a separate entry in the NoRelatedSym repeating group.
>
> My question is: how are pre-defined calendar spreads or other multi-leg strategies supposed to be listed in response to such a request? This does not seem to be well defined. Should the request recipient send back a separate Security Definition message for each multi-leg instrument, with the repeating group defining the strategy legs? In which case, to what value should SecurityType be set?
>
> In FIX 4.3, this mechanism appears to have been replaced by the Security List request. Is this an indication that the 4.2 mechanism is flawed or did not support listing of pre-defined spreads and strategies?
>