[This message was posted by John Cameron of Cameron Edge <[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/f4fd4da0 - PLEASE DO NOT REPLY BY MAIL.]
There is a relevant discussion on this at http://www.fixprotocol.org/discuss/read/19f5aae5 However, one issue that does not seem to be addressed is how do you specify that the underlying of the derivative is an interest rate rather than anything else? CFICode(461) addresses this issue (but it was only introduced in FIX4.3). For example, the code for a call option on interest rates would be OCXDXX. The O indicates option, the C indicates call and the D indicates interest rate. Similarly, a call option on an index would be OCXIXX. A call option on a stock would be OCXSXX. See appendix D of Volume 6 of the spec. In his typically thorough response in the link quoted above, Jim Northey notes that "We have however, moved away from the use of CFICode for identification of derivatives". However, the latest spec still says in Appendix 6D "It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments". It seems to me that without CFICode we do not have a means of indentifying the type of the underlying associated with a derivative instrument - which appears to be important to Sachin in his question. > > In FIX 4.2, a combination of Tag 55 (Symbol), Tag 48 (Security ID) and > Tag 167 (SecurityType), Tag 200 (MaturityMonthYear) will identify the > derivative instrument. For Options, additionally, Tag 201 (PutOrCall) & > Tag 202 (StrikePrice) would be required. > > Regards, Bivas > > > How will I differentiate instrument name as FUTSTK, FUTIDX, FUTINT. As > > the buy side will request tag# 167 = FUT. > > > > Thanks. Sachin. > > > > > I Think the values 'FUT', 'OPT' can be used for Exchange Traded > > > Derivatives like Interest Rate Futures/Options. > > > > > > Regards, Bivas > > > > > > > In FIX 4.2, which value should be used in tag# 167 for interest > > > > rate derivatives w.r.t. Indian Derivatives Market? > > > > > > > > Thanks in advance. Sachin. [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 -~----------~----~----~----~------~----~------~--~---
