[This message was posted by Greg Malatestinic of Jordan & Jordan <[email protected]> to the "US Regulations" discussion forum at http://fixprotocol.org/discuss/48. You can reply to it on-line at http://fixprotocol.org/discuss/read/cde17718 - PLEASE DO NOT REPLY BY MAIL.]
I don’t believe you’ll find a general purpose validator for OSI. Each of the external entities (exchanges, ECNs, the OCC) may require a different message model depending on the business function being performed and the FIX version being used. For example: OSI under FIX 4.2 requires Maturity Month Year (tag 200) and Maturity Day (tag 205) to indicate the expiration date. But in FIX 4.4 and greater you would just append the expiration day to the end of Maturity Month Year and not use Maturity Day. The OCC and most exchanges publish specifications describing their interfaces. If you compare these specs you’ll see the differences. A translation of your Investment Bank’s FIX messages may need to take place in order to match those of the target venue. To perform this translation the message from the Investment Bank must contain: - Root option symbol - Strike price - Call/put indicator - Complete expiration date (year, month, day) Given this information the symbol supported by the venue can be derived. For example take a look at the April $95 IBM calls which expire on April 17, 2009. They would have an OSI symbol of “IBM 090417C00095000” but when trading this option over a FIX connection the message may look like “8=FIX4.2|22=8|55=IBM|167=OPT|200=0904|201=1|202=95|205=17|…” As for validation, you may only want to validate that you have the necessary information in your source message. I hope this was useful. -Greg [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 -~----------~----~----~----~------~----~------~--~---
