[This message was posted by Hanno Klein of Deutsche Börse Systems <[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/73e960bb - PLEASE DO NOT REPLY BY MAIL.]
Actually, PriceType is included in the SecurityDefinition message but it is a little hard to find. With FIX 5 SP1, the area of reference data was significantly extended to capture all kinds of information related to the trading of securities. Previously, this kind of information all had to be documented somewhere whereas you can now convey it electronically. Also, the concept of market segments was introduced. You need to associate the security with at least one market segment to define the default PriceType as follows. Each market segment contains SecurityTradingRules which consist of BaseTradingRules and TradingSessionRules. The base rules contain the PriceType field among a lot of other information. Your SecurityDefinition message only needs to have the following: 48 SecurityID = <identifier> 22 SecurityIDSource = <domain for SecurityID> 1310 NoMarketSegments = 1 1301 > MarketID = <MID code> (recommended to use when defining a segment) 1300 > MarketSegmentID = <your segment name> 423 > PriceType = <default price type for the security> You can then define in your rules of engagement that this default value may be overridden by a value in the order level messages. I do not know whether you allow your clients to tell you the price type they are using or if you set the price type by sending out reference data. Regards, Hanno. > Hi All, > > I'm wondering why the PriceType (423) field is not included in the > SecurityDefinition message. Wouldn't it be useful to specify how a > security is priced? [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]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=.
