[This message was posted by Citadel Bank of Confidential <[email protected]> to the "Fixed Income" discussion forum at http://fixprotocol.org/discuss/6. You can reply to it on-line at http://fixprotocol.org/discuss/read/0951236d - PLEASE DO NOT REPLY BY MAIL.]
Many thanks John. That was very helpful. > The term "Par Value" means the dollar (or other currency) value of one > unit of the subject security. For marketable U.S. Treasury securities, > Par Value is currently one-hundred dollars ($100.00). > > The term "Par Amount" means the product of Par Value and the quantity of > units of the subject security. One-thousand units of marketable U.S. > Treasury securities would today equate to a Par Amount of one-hundred- > thousand dollars ($100,000). > > The term "Face Amount" means the same thing as Par Amount, i.e., Par > Amount and Face Amount are perfect synonyms. > > The term "Dollar Price" means the price of the subject security > expressed as a percentage of Par Value. It may be expressed with or > without a dollar sign. > > The term "Dollar Value" means the product of Dollar Price and Par (or > Face) Amount. The Dollar Value of one-thousand units of marketable U.S. > Treasury securities having a Dollar Price of $98.375 would be > $98,375.00. > > Unfortunately, while the above definitions are useful, in the design of > a fixed-income-order-routing or -matching system you will still have to > work out rules of engagement on your own, with your counterparts. > > First, only recently did the Par Value of marketable U.S. Treasury > securities become one-hundred dollars. For years, the Par Value of such > securities was one-thousand dollars. All U.S. Treasury trading systems > with which I am familiar still assume that the Par Value for U.S. > Treasury securities is one-thousand dollars. > > Second, two notions of lot size prevail in the market. > > The dealer-to-customer market assumes a lot size of $1,000 Par Amount. > Typically, in the dealer-to-customer market, a quoted size of "1" > would mean $1,000 Par Amount; a quoted size of "100" would mean > $100,000 Par Amount; a quoted size of "1,000" would mean $1 million > Par Amount; and so forth. > > The inter-dealer market assumes a lot size of $1 million Par Amount. > Typically, in the inter-dealer market, a quoted size of "1" would mean > $1 million Par Amount; a quoted size of "25" would mean $25 million > Par Amount. > > Going back to your original question, "convention" is a fuzzy concept in > the fixed-income market. If you publish a FIX implementation > specification for a system you are developing or are parsing one for a > system with which you intend to connect, you will have no choice but to > confirm these details on a case-by-case basis with your counterparts, > either by telling them what you mean or asking them what they mean. > > > > > > > > Hi All! > > > > > > > > Is there a convention for expressing order quantity in fixed > > > > income? > > > > > > > > Thanks in advance, > > > > > > Quantity is the principal value of the trade, i.e. if you are buying > > > 100,000 US treasuries with a nominal value of USD 100 each, OrderQty > > > (tag 38) would be 10000000 (10 million) > > Thanks Rob. But wouldn't it be more simple to specify quantity in > > terms of face value, if a treasury with a $1000 face value is > > trading at > > 98.750% of par and I want to bid for 1000 of those bonds I would > > specify the price as percent of par (98.750) and quantity as > > 1,000,000 - NOT 987,500. Why wouldn't that work better? > > > > Thanks in advance, [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 -~----------~----~----~----~------~----~------~--~---
