[This message was posted by Matt Simpson of CME Group <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/9907ae8a - PLEASE DO NOT REPLY BY MAIL.]
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? [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
