[This message was posted by Chad Jenkins of Knight Capital Group <[email protected]> to the "US Regulations" discussion forum at http://fixprotocol.org/discuss/48. You can reply to it on-line at http://fixprotocol.org/discuss/read/b874adf9 - PLEASE DO NOT REPLY BY MAIL.]
> I donât believe youâll find a general purpose validator for OSI. Each of > the external entities (exchanges, ECNs, the OCC) may require a different > message model depending on the business function being performed and the > FIX version being used. For example: OSI under FIX 4.2 requires Maturity > Month Year (tag 200) and Maturity Day (tag 205) to indicate the > expiration date. But in FIX 4.4 and greater you would just append the > expiration day to the end of Maturity Month Year and not use Maturity > Day. The OCC and most exchanges publish specifications describing their > interfaces. If you compare these specs youâll see the differences. A > translation of your Investment Bankâs FIX messages may need to take > place in order to match those of the target venue. To perform this > translation the message from the Investment Bank must contain: > - Root option symbol > - Strike price > - Call/put indicator > - Complete expiration date (year, month, day) Given this information the > symbol supported by the venue can be derived. For example take a look > at the April $95 IBM calls which expire on April 17, 2009. They would > have an OSI symbol of âIBM 090417C00095000â but when trading this > option over a FIX connection the message may look like > â8=FIX4.2|22=8|55=IBM|167=OPT|200=0904|201=1|202=95|205=17|â¦â As for > validation, you may only want to validate that you have the necessary > information in your source message. > > I hope this was useful. > > -Greg Greg do you have a contact number I had some more questions regarding the OSI format via FIX. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]]
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