Standard Tenors for Forex trading

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1

Imported from previous forum

2

Hi,

I’ve been reading the FIX 4.4 spec attempting to determine if there is any support for submitting Forex (FX) trades where the Value Dates fall on the Standard Tenors.

I understand an order can contain one or two Value Dates by populating the SettlDate (64) and SettlDate2 (193) tags as appropriate for an Outright or Swap order.

However, our trading model also allows users to specify Swaps that fall on the Standard Tenors, eg, a user could place an order on a "EUR\USD 1 Month Swap". They would specify the near leg as "Spot" and the far leg as "1M" – they do not need to provide the actual dates unless they wish to.

So far the closest match I’ve identified in FIX 4.4 is SettlType (63), which has the following range of values:

0 = Regular
1 = Cash
2 = Next Day (T+1)
3 = T+2
4 = T+3
5 = T+4
6 = Future
7 = When And If Issued
8 = Sellers Option
9 = T+ 5

Unfortunately this does not really cover what is required for FX trading. It might be tempting to try to represent the Spot Date as "T+2" for example, but that does not work in the general case as the Spot Date for USD\CAD is T+1, thus one needs an actual value "Spot". One could use "Regular" for this purpose, but that still leaves no support for most of the other standard tenors.

To illustrate the problem, here is the complete list of Tenors we work with:

Tod, Tom, Spot, 1d, 1w, 2w, 3w, 1m, 2m, 3m, 4m, 5m, 6m, 7m, 8m, 9m, 10m, 11m, 1y

Of that list, only "Tom" (T+1) is really covered by the SettlType field as it stands today.

Questions:

  • Is there currently any plan to add FX Tenor support to FIX (in the next version?)

  • Would it be appropriate to add 18/19 new values to SettlType, or is a new tag needed?

  • Currently FIX does not support a SettlType2 tag: if we want to represent Swap orders defined on standard tenors we would need to add this field in order to be able to specify both legs properly in the general case (particularly FwdFwd Swap)

Thanks for any input on this issue. We would be very interested in learning more about the direction future FIX version will be taking with Forex trading. Is there any formal initiative in this area, similar to the Fixed Income working group?

3

Recently there have been an increase interest in using FIX for FX trading. The idea of forming a working group to identify the enhancements required to FIX 4.4 to support FX has been brought up to a couple of key members of the Global Technical Committee. Any further information regarding this would be made available on this website.

> Hi,
>
> I’ve been reading the FIX 4.4 spec attempting to determine if there is any support for submitting Forex (FX) trades where the Value Dates fall on the Standard Tenors.
>
> I understand an order can contain one or two Value Dates by populating the SettlDate (64) and SettlDate2 (193) tags as appropriate for an Outright or Swap order.
>
> However, our trading model also allows users to specify Swaps that fall on the Standard Tenors, eg, a user could place an order on a "EUR\USD 1 Month Swap". They would specify the near leg as "Spot" and the far leg as "1M" – they do not need to provide the actual dates unless they wish to.
>
> So far the closest match I’ve identified in FIX 4.4 is SettlType (63), which has the following range of values:
>
> 0 = Regular
> 1 = Cash
> 2 = Next Day (T+1)
> 3 = T+2
> 4 = T+3
> 5 = T+4
> 6 = Future
> 7 = When And If Issued
> 8 = Sellers Option
> 9 = T+ 5
>
> Unfortunately this does not really cover what is required for FX trading. It might be tempting to try to represent the Spot Date as "T+2" for example, but that does not work in the general case as the Spot Date for USD\CAD is T+1, thus one needs an actual value "Spot". One could use "Regular" for this purpose, but that still leaves no support for most of the other standard tenors.
>
> To illustrate the problem, here is the complete list of Tenors we work with:
>
> Tod, Tom, Spot, 1d, 1w, 2w, 3w, 1m, 2m, 3m, 4m, 5m, 6m, 7m, 8m, 9m, 10m, 11m, 1y
>
> Of that list, only "Tom" (T+1) is really covered by the SettlType field as it stands today.
>
> Questions:
>
> * Is there currently any plan to add FX Tenor support to FIX (in the next version?)
>
> * Would it be appropriate to add 18/19 new values to SettlType, or is a new tag needed?
>
> * Currently FIX does not support a SettlType2 tag: if we want to represent Swap orders defined on standard tenors we would need to add this field in order to be able to specify both legs properly in the general case (particularly FwdFwd Swap)
>
> Thanks for any input on this issue. We would be very interested in learning more about the direction future FIX version will be taking with Forex trading. Is there any formal initiative in this area, similar to the Fixed Income working group?
>
>

4

Hi & HNY2021,

This is a resurrection of an old thread here, but it looked like the best place to post a suggestion for an enhancement against SettlType.
May we have some tag 63 values to cover standard IMM dates + and ‘end of year’ settlement period.
I’d like to cover FX settlement covering Next-IMM, IMM1/2/3/4 and EOY.
I understand we can explicitly state the settlement date, but not all applications have the necessary calendar to do this.

Regards Mark

5

HI Mark,

HNY to you as well. It’s been a while.

For the IMM months, it seems that the best solution is for FIX to introduce a new pattern, e.g. IMM-Mx where x is the month digit such as 5 for May.

The Next-IMM and EOY probably will need new enums in that SettlType code list. Would you want to submit a Gap Analysis to the GTC for that?

Cheers
Lisa T.

6

Thanks for the reply Lisa, and apologies for me being late back to you.

I agree IMM-Mx looks like it would work, thanks for the suggestion. New enums would be welcome for EOY and Next-IMM too.

If I can grab some free time (!) I’ll raise the GA.

Mark