User Defined Tag for Compound Name?

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1

Imported from previous forum

2

Hi All,

In the following situation (in FIX 4.2):

  1. A compound has been traded (A - B = C).
  2. My fix engine publishes a trade for each leg of the compound.

One of my customers has requested that the individual trade for each leg contain the symbol of the “parent” compound in a user defined tag. In this regard, I was wondering if there is already a user defined tag for this purpose. I searched through the existing list of user defined tags and could not find anything to this effect. Anyone have any ideas?

Kind Regards,

Prateek Jain

3

I am not aware of a UDF for this purpose. The basic concept has been introduced with FIX 5.0 SP2 EP103 (OCC extension for large options position reporting) where the requirement was to specify a related instrument that is used in the context of hedging.
A new component block RelatedInstrumentGrp has been added which allows to convey a RelatedSymbol (1649) or RelatedSecurityID (1650). Please check out FIXimate for the latest EP for details (http://www.fixprotocol.org/FIXimate3.0/latestEP/latestEP/index.html). The description will be extended to be more generic in the future as ISE and Eurex need this feature in the TradeReportOrderDetail component of the TCR to reference the instrument complex order for which the TCR reports an execution of one of its legs.
Once again this shows the limited capability of FIX 4.2 (which has no TCR at all) in today’s world and the need to make every effort to transition to FIX 5 (I will not get tired of pointing this out :-)).
Regards,
Hanno.

Hi All,

In the following situation (in FIX 4.2):

  1. A compound has been traded (A - B = C).
  2. My fix engine publishes a trade for each leg of the compound.

One of my customers has requested that the individual trade for each leg contain the symbol of the “parent” compound in a user defined tag. In this regard, I was wondering if there is already a user defined tag for this purpose. I searched through the existing list of user defined tags and could not find anything to this effect. Anyone have any ideas?

Kind Regards,

Prateek Jain