[This message was posted by gary fong of hsbc <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/7a68899a - PLEASE DO NOT REPLY BY MAIL.]
Each FX SWAP consists of 2 legs (the near leg & far leg). Each leg has its own quantity and price. May I know what's the market practice to put the value in these tags for FX SWAP? Each tag only can store 1 value which can be either near leg or far leg's value. Is it common to have extra extra tags to store these 2 leg's information? E.g. we have a SWAP of 1M and 5M. Forward swap point for 1M is 3pips, Forward swap point for 5M is 7pips. Then this 2 legs (1M & 5M) each has its own All-in rate. If the SWAP is uneven,then the quantity can be different as well. tag 44 (Price) : All-in rate tag 31 (LastPx) : All-in rate tag 6 (AvgPx): All-in rate (same as tag 31) tag 38 (OrderQty) : Refer to near leg ? tag 151 (LeavesQty) tag 14 (CumQty) [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.
