[This message was posted by Aditya Khandekar of Merrill Lynch <[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/096ccb7a - PLEASE DO NOT REPLY BY MAIL.]
> I don’t believe you’ll 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 you’ll see the differences. A > translation of your Investment Bank’s 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 “IBM 090417C00095000” but when trading this > option over a FIX connection the message may look like > “8=FIX4.2|22=8|55=IBM|167=OPT|200=0904|201=1|202=95|205=17|…” 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 - is there a place where we can find the OSI standard spec as we go to FIXiMate for the FIX spec. I am seeing an issue wherein maturity day (tag 200) is being sent by someone as "01" (they claim OSI standard is DD) but per FIX valid values for 200 is b/w 1-31. [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.
