[This message was posted by Kulendra Janaka of <[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/c140d220 - PLEASE DO NOT REPLY BY MAIL.]
Hi Dean Thanks for the reply, usage of UDFs was also a possible candidate but I wanted to check and see if there is any standard way of doing all we wanted. Seems like the post-trade computations are standardized like you mentioned but not the pre-trade and I think we will stick to it. I'll keep this thread open for a while anyway in case someone comes up with a different solution. Many thanks for your reply and greetings for the season to everyone :) Kulendra > 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. [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.
