symbol on option trades

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Imported from previous forum

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I have a very basic question - what should the Symbol field be populated with on a listed option trade? Previous postings, and the examples in the spec, indicate that it should be the symbol of the underlying security; the real life examples I have seen seem to use the option symbol if they are different. E.g., MSFT on CBOE has symbol MSQ; I have seen MSQ or even MSQBY on FIX message examples for MSFT option trades. Is there a standard practice?

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I have a very basic question - what should the Symbol field be populated
with on a listed option trade? Previous postings, and the examples in
the spec, indicate that it should be the symbol of the underlying
security; the real life examples I have seen seem to use the option
symbol if they are different. E.g., MSFT on CBOE has symbol MSQ; I have
seen MSQ or even MSQBY on FIX message examples for MSFT option trades.
Is there a standard practice?

Terry,

Assuming that you are interested on the content of a trade message in a post-trade context, below you can find the practice used at OCC (which should be similar with the usage pattern at other institutions).

OCC generates Trade Capture Report messages and distributes them (in FIXML format) to its Clearing Members and Exchanges for option trades received from equity/index options exchanges and cleared at OCC. In these messages the Symbol field (or the Sym field in FIXML terms) contains the symbol of the option itself (referring to your example, you would see the MSQ value). The symbol of the underlying is communicated via a different message type: Security Definition Report or Security Definition Update Report (as part of the underlying block).

Alex

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[ original email was from Greg Maynard - gmaynard@iseoptions.com ]
> I have a very basic question - what should the Symbol field be populated

with on a listed option trade? Previous postings, and the examples in
the spec, indicate that it should be the symbol of the underlying
security; the real life examples I have seen seem to use the option
symbol if they are different. E.g., MSFT on CBOE has symbol MSQ; I have
seen MSQ or even MSQBY on FIX message examples for MSFT option trades.
Is there a standard practice?

There are three options symbology schemes:
OPRA Code: Root_Symbol (3), Expiration_Date_Code (1); Strike_Price (1)
Due to OPRA Code limitations Root Symbol there can be a number of root symbols for an underlyer. Presently MSFT has four: MSQ, MQF, WMF and VMF.
Explicit Strike: Underlyer Symbol (5), P/C, Strike Price, Expiration Month; Year.
Explicit Strike is not yet fully supported
Order Routing: Root_Symbol (3) P/C, Strike Price, Expiration Month; Year

You are probably dealing with the later.

Mark Grinbaum ISE