[This message was posted by Jim Northey of The LaSalle Technology 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/dbb71dc7 - PLEASE DO NOT REPLY BY MAIL.]
It depends upon version of FIX: FIX.4.2: Symbol(55)-option symbol - exchange specific SecurityType(167) OPT MaturityMonthYear(tag 200) - YYYYMM StrikePrice(tag 202) - strike price PutOrCall(tag 201) 0-Put, 1-Call For a Flex option: MaturityDay(tag 205) - If the day of the month is required. FIX.4.3 - DO NOT USE FIX.4.3 AT ALL FIX.4.4 through FIX.5.0SP2 - We reintroduced PutOrCall field and SecurityType into FIX.4.4 Symbol(55)-option symbol - exchange specific SecurityType(167) = 'OPT' MaturityMonthYear(tag 200) - YYYYMM (expanded to include - so you can fully specify the maturity date as YYYYMMDD) StrikePrice(tag 202) - strike price PutOrCall(tag 201) 0-Put, 1-Call There are some additional fields that have been used historically, such as: OptAttribute(tag 206) - has been used in some markets to provide versioning of options as a result of corporate actions (mergers, acquisitions, etc.). This field is not widely used. For US listed markets - there is an Options Symbology Initiative being led by The Options Clearing Corporation, which is the issuer and guarantee of equity options (including indices), within the US. The FPL Global Derivatives Committee worked with The OCC and produced the following Implementation Guide: http://fixprotocol.org/documents/4213/FIXImplementationGuide_USOptionsSymbology_v1.pdf Also, in some markets the following fields might be used to identify the instrument - especially for markets that use ISIN for instance. SecurityID(tag 48) SecurityIDSource(tag 22) Final Note: We introduced CFICode (based upon an ISO standard) as part of FIX.4.3. CFICode(tag 461) is widely used for US derivatives post trade reporting and is still a supported field. We have however, moved away from the use of CFICode for identification of derivatives and returned to SecurityType(tag 167)=OPT or FUT and PutOrCall(tag 201). > Hi, > > In case the order is for option trade , what should be the extra tags > provided vs if the order would have been for a Stock order > > Any help with sample fix message would be great. > > Many thanks > > Naresh [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 -~----------~----~----~----~------~----~------~--~---
