Imported from previous forum
Our instruments have defined increments for strikes, prices, and quantity. For example, a symbol might support strikes every .25, prices every .0025, and quantities in increments of 50.
We would like to put this information into a FIX4.4 Security List message.
I’m looking at Stipulations. There is MINQTY, MININCR, MINDNOM. MINQTY is straigtforward. Does MININCR refer to price or size? What is MINDNOM for? Is there a way to represent strike increment?
I would recommend using the product reference extensions that were released as part of FIX 5.0 SP1. A StrikeRules component allows the strike increment as well as the starting and ending strike price range to be speceified. A TickRules component allows the a price tick increment to specified. A LotTypeRules allows the minimum quantity to be specified. Volume 7 provides a good overview of these capabilities. See the section on Product Reference Model.
I realize this means using FIX 5.0 whereas you are looking to extend your 4.4 implementation. However, reference data is often a seperate domain that can be built out with impacting the transactional domain.
Our instruments have defined increments for strikes, prices, and
quantity. For example, a symbol might support strikes every .25, prices
every .0025, and quantities in increments of 50.We would like to put this information into a FIX4.4 Security List
message.I’m looking at Stipulations. There is MINQTY, MININCR, MINDNOM. MINQTY
is straigtforward. Does MININCR refer to price or size? What is MINDNOM
for? Is there a way to represent strike increment?
I am aware that you are looking at 4.4. Nonetheless, I believe your problem has been solved with FIX 5.0 SP1. Have a look at the latest FIXimate and the blocks SecurityTradingRules and StrikeRules within SecurityList. You should find tick rules and strike rules. A round lot field is already in 4.4. Maybe you can incorporate the fields from SP1 into your 4.4 implementation to ease your transition to 5.0 later.
Stipulations are for fixed income but other types than the ones listed may be used by mutual agreement of the counterparties. Recommended practice would however be to use the explicit fields available as of SP1.
Regards,
Hanno.
Our instruments have defined increments for strikes, prices, and
quantity. For example, a symbol might support strikes every .25, prices
every .0025, and quantities in increments of 50.We would like to put this information into a FIX4.4 Security List
message.I’m looking at Stipulations. There is MINQTY, MININCR, MINDNOM. MINQTY
is straigtforward. Does MININCR refer to price or size? What is MINDNOM
for? Is there a way to represent strike increment?