[This message was posted by Lisa Taikitsadaporn of Brook Path Partners, Inc. <[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/e677d53a - PLEASE DO NOT REPLY BY MAIL.]
This may be a gap in the Market Data messages related to FX swaps. When the GFX committee enhanced the market data for streaming executable prices we did not consider FX swaps in the streaming model - at that time we didn't think people would do streaming prices of FX swaps. In the Quote message we have the Bid/OfferForwardPoints and Bid/OfferSwapPoints fields (4 fields). In the Market data we only have MDEntryForwardPoints. Seems like we may have a case for "MDEntrySwapPoints". David, may I suggest you drop a quick email to the GFX co-chairs to raise this. > Wouldn't the field 1027 MDEntryForwardPoints cover your requirement, > i.e. two entries with this field, one of them with MDEntryType=0=Bid for > 1065 BidSwapPoints and the other with MDEntryType=1=Offer for 1066 > OfferSwapPoints? You then also have the correct FIX data type for your > values (PriceOffset). > > > I neeed to provide the Swap Rates (or Rollover rates) that are > > applicable on open FX positions. This is equivalent to tags 1065, 1066 > > on the quote message. > > > > I'm using FIX 5.0 SP2 and I see MD Entry Types R = Daily value > > adjustment for long positions U = Daily Value Adjustment for Short > > Positions > > > > This may be the purpose for which these types are intended. > > > > > MDEntryType does not support user-defined (custom) values. What is > > > your requirement? It could very well be that it is covered by the > > > current spec. > > > > > > The normal process is to join a working group, e.g. MDOWG, prepare a > > > formal gap analysis (pre-defined template) and have the working > > > group submit the proposal to the FIX Global Technical Committee for > > > discussion and approval. You can approach the chair(s) of the > > > working group as published on the FPL website directly to find out > > > about meeting schedules. > > > > > > > I have a question about custom values for MD Entry Type. I would > > > > like to stream changes to Swap Rates, the rates different for Bid > > > > and Offer. The current recommendation is to not use Quote messages > > > > for streaming but to use Market Data messages. Probably I should > > > > address this question to the Market Data Optimisation group, what > > > > is the protocol for doing so ? Sending an email to all the members > > > > seems excessive. thanks and regards Dave [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.
