Imported from previous forum
Going through the Fix documentation i could find support for FX-Swaps and FI multileg orders can be used to book Swaps… Is it possible to use to send messages for TRS and CDS (is this one taken care of by the FI multileg orders).
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
CDS and TRS and other derivative products with “swap” in the name trade very differently from FI or FX multileg deals. The latter fly apart at execution time and become independent trades separately reported, allocated, confirmed and settled. Derivative swaps on the other hand stay bound at execution time and particularly in the case of CDS aren’t swaps at all but look more like risk insurance. Folks from FpML and FIX have just looked at the challenge of reporting derivative trades with FpML content over a FIX session and have posted a recommendation http://fixprotocol.org/documents/1349/FIXFpML%20Proposal.doc which you may find useful. I doubt that anyone has tried to map NewOrder for initiating a derivative trade though, so we’d be grateful for any suggestions or insights you have have in that effort.
Going through the Fix documentation i could find support for FX-Swaps
and FI multileg orders can be used to book Swaps… Is it possible to
use to send messages for TRS and CDS (is this one taken care of by the
FI multileg orders).
How can I manage Swap orders? I mean which message manage this kind of orders.
Many Thanks
Alberto
a.sala@maksfinance.com
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Alberto,
I would use New Order Single to initiate an order to trade. The single trade leg of the message would contain an Instrument component block with FpML content in EncodedSecurityDesc (351) defining the Interest Rate Swap trade desired.
Dean
How can I manage Swap orders? I mean which message manage this kind of
orders. Many Thanks Alberto
a.sala@maksfinance.com
[ original email was from Robert Stowsky - rstowsky@brookpath.com ]
Dean and Alberto,
FpML has not specified how to represent a swap for pre-trade. Although a number of firms have been rumoured to have FpML based pre-trade implementations internally, no one has offered them up for public use.
Robert
Alberto,
I would use New Order Single to initiate an order to trade. The single
trade leg of the message would contain an Instrument component block
with FpML content in EncodedSecurityDesc (351) defining the Interest
Rate Swap trade desired.Dean
How can I manage Swap orders? I mean which message manage this kind of
orders. Many Thanks Alberto
a.sala@maksfinance.com