[This message was posted by David Gibbs of <[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/a9d5130c - PLEASE DO NOT REPLY BY MAIL.]
Thanks all for your comments, it's very helpful. > 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.
