Imported from previous forum
[ original email was from Jim Northey - jnorthey@up.net ]
We would like to provide option settlement prices over FIX - is there an existing message that can be used for this purpose (advertisement?) or should a new message be created?
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> We would like to provide option settlement prices over FIX - is there an existing message that can be used for this purpose (advertisement?) or should a new message be created?
Advertisement would probably work.
The Book draft could be modified to explicitly incorporate this through an additional enumeration for settlement price. The fields needing this extension would be:
QuotesOrTrades (5005)
BookEntryType (5007)
Let me know if you’re interested in actually implementing this in the Book message.
There are a number of closing and settlement prices worthy of study.
Session closing price
Daily closing price
Session settlement price
Daily settlement price
Delivery settlement price (on expiry)
Also each may have a provisional then final (official) status.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Session closing price
> Daily closing price
> Session settlement price
> Daily settlement price
> Delivery settlement price (on expiry)
These can certainly be added to QuotesOrTrades and BookEntryType. In addition to their applicability for futures, I can see the session and daily closing price extending into many other instrument types.
> Also each may have a provisional then final (official) status.
This is the kind of thing I had in mind with BookEntryStatus. Provisional and Final can certainly be added to the enumeration.
Again, if anyone is interested in seeing this added to the book draft, please let me know.