[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/db1ffa50 - PLEASE DO NOT REPLY BY MAIL.]
NYMEX supports energy future strips on its ClearPort platform in this way. The starting and ending maturity date is specified for book-end legs and all legs in between are implied. For trade reporting, the TradeInstrmtLegGrp component is used to enumerate the 2 legs. The fact that the product is a strip is specified using SecuritySubType/tag 762. > What's the best way to represent an order for a strip of consecutive > maturities on an instrument? > > The strip is quoted and traded with one overall price for the strip. > > In theory this could be done with a multileg instrument, but that would > get very verbose and redundant. > > Ideally there would be a field like "StripEndMaturityMonthYear", or > "StripLength". [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 -~----------~----~----~----~------~----~------~--~---
