[This message was posted by Dean Kauffman of Brookpath <[email protected]> to the "Fixed Income" discussion forum at http://fixprotocol.org/discuss/6. You can reply to it on-line at http://fixprotocol.org/discuss/read/25495c78 - PLEASE DO NOT REPLY BY MAIL.]
Kulendra, Your solution to reporting FI prices is interesting but as you know it goes beyond the standard. My recommendation would be to use the standard ER fields for their intended purpose - Yield(236) reporting the yield derived from LastPx(31) when it is percent-of-par. Then for reporting yield derived from Price(44) when it is percent-of-par and par-price derived from Price(44) when it is yield use user defined fields. Since all the regular UDF tags are taken (5000-9999) you can allocate tag numbers 20000 and above without publishing them on the FIX website, e.g. OrderPxYield(20000) and OrderParPx(20001). Finally a word of caution about all Yield and Coupon fields in FIX – their datatype is Percentage but they are expressed as fractions. To report a yield of 2.25% you must use 236=0.0225. > Hi All > We currently looking at system that allows clients to trade fixed income > instruments on clean price and on yield. We are in the process of defining > the fields to be used when communicating with this system. Here is how we > have done this previously: > > New Order Single: > The client always specifies the Clean Price or Yield-To-Mat. in Price(44) and > qualify the type with PriceType(423) to denote whether it is a yield or a > price. > > Execution Report: > Currently whatever the client specified as Price(44) will be echoed to the > client in Price(44) and the value at which it executed in LastPx(31). The > price type of the LastPx(31) is identical to Price(44) (i.e. either both are > yields or both are clean prices). If LastPx(31) refers to a clean price, then > we communicate the corresponding yield in Yield(236) and if LastPx(31) refers > to YTM, then we communicate the corresponding clean price in LastParPx(669). > This all works fine (so far). > > The complexity comes up because we want to disseminate the yield/price > conversion prior to the trade actually takes place. In this case we need a > Yield field to communicate the yield if the Price(44) refers to a clean price > and something in the lines of a ‘ParPx’ if the Price(44) refers to the yield. > > Question: > Here is what we plan to do > On Execution Report: > Price(44) will refer to the value that the customer submitted. > LastPx(31) will refer to the value at which the order was executed. (Same > price type as Price(44) ) > > Yield(236) will refer to the yield corresponding to Price(44) if it refers to > clean price (i.e. a change from what is mentioned above. This is not > necessarily the yield at which the order was executed). > Any proposals on a field to communicate the clean price if Price(44) refers > to yield? Is it correct to use YieldRedemptionPrice(697)? > > FillYield(1623) will refer to the yield corresponding to LastPx(31) if it > refers to clean price. This will be the yield at which the order executed. > LastParPx(669) will refer to the clean price if LastPx(31) refers to yield. > > Can anyone let know if the proposed usage of the fields are correct? I tried > to find some examples but couldn’t. Sorry if this is a case of pure ignorance. [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.
