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Foreign Exchange
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Re: Use of TradeCapture Reports for FX
John James / Self Employed
28 Jun 2010 4:55AM ET Hi Mahesh
Thanks for your response. I wasn't completely clear in some of my questions so to clarify:
3. I didn't mean status I meant ExecType (tag 150). So in this scenario the client has not received any TCR messages. The trade is amended after being booked and at that point the client subscribes to trade capture reports. So my assumption should be that the client only receives 1 TradeCaptureReport for that trade with ExecType=G (ie corrected trade).
4. Allocations are definitely there and I wanted to know how to report them. They seem to only exist in what I am (incorrectly) calling the SidesGroup - the TrdCapRptSideGrp component, which starts with tag 552 NoSides. Within this is the TrdAllocGroup (starting tag 78 NoAllocs).
Has anyone has any experience using them for FX allocations ? I'm not clear about why we have this group, in addition to a LegsGroup (see below)
5. The Sides Group is as mentioned above. What I am calling the LegsGroup is called the TrdInstrmntLegGrp Component (just under tag 824 in that link you posted). This group starts with tag 555, NoLegs. This group does not contain any allocations support (where as there is support for pre-allocations in a leg though the LegPreAllocGroup starting with NoLegAllocs, tag 670, in the ExecutionReport).
6. Understood re: OrdStatus, though it does exist in the TradeCaptureReport though the component TradeReportOrderDetail, within the aforementioned TrdCapRptSideGrp component.
I did actually have a good read of the documents you reference which is how I came to these questions in the first place - I didn't seem them really answered there. Before I started defining an approach to this, I wanted to see what experience there was here.
Thanks for your input and appreciate any comments.
-j
> Your implementation of TradeCaptureReports for FX appears correct (I am going by FIX.5.0SP2 specs).
>
> 1. Assuming a client has set up a trade capture feed, if an FX trade gets booked, would the tradeCaptureReport be sent with ExecType (tag 150) = F ?
>
> Yes since its a Partial Fill or a Full Fill
>
> 2. If the trade is amended in the booking system and the client is still connected, would they then expect an TCR with tag 150=G ?
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> Yes G = Trade Correct
>
> 3. If the client subscribes to receive TCRs after a trade is amended post-booking, what would the status be shown as ? I'm assuming 150=G but just wanted to know if that is standard.
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> Which Status are you refering to ? TrdRptStatus ? MatchStatus ? OrdStatus ?
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> 4. Similarly if the trade had allocations, and one or some of the allocations were changed, again does that result in tag 150=G ?
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> I could not find alloc in TradeCaptureReport
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> http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/body_54526569.html
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> Which Component / Tags are u using ? Is this custom usage ?
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> 5. Would the SidesGroup or LegsGroup be used when representing FX Swaps ?
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> I searched http://fixprotocol.org/ for the terms SidesGroup and LegsGroup and the search results
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> http://www.google.com/custom?q=SidesGroup&hl=en&safe=active&cof=AH:left%3BS:http://fixprotocol.org%3BL:http://fixprotocol.org/art/logo.200x52.gif%3BLH:52%3BLW:200%3B&domains=fixprotocol.org&sitesearch=fixprotocol.org&filter=0
>
> http://www.google.com/custom?q=LegsGroup&hl=en&safe=active&cof=AH:left%3BS:http://fixprotocol.org%3BL:http://fixprotocol.org/art/logo.200x52.gif%3BLH:52%3BLW:200%3B&domains=fixprotocol.org&sitesearch=fixprotocol.org&filter=0
>
> contain only your posts as results. Which Component / Tags are these ?
>
> 6. If TCR is used for booked trades would the OrdStatus (tag 39) ever be 8 (rejected).
>
> OrdStatus (39) is not part of TCR. For Tag 150 = 8 Rejected is valid enum.
>
> Also refer :-
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> FIX.5.0_SP2_VOL-5.pdf - Page 82 to 122 (of 203) Section "Category: Trade Capture("STREETSIDE") Reporting
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> FIX.5.0_SP2_VOL-7.pdf - Page 155 to 190 (of 259) Section "Product : Foreign eXchange"
Re: Use of TradeCapture Reports for FX
John James / Self Employed 28 Jun 2010 4:55AM ET
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