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Re: Fix Message Validator for OSI
Aditya Khandekar / Merrill Lynch
2 Feb 2010 4:39PM ET > 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.
Re: Fix Message Validator for OSI
Aditya Khandekar / Merrill Lynch 2 Feb 2010 4:39PM ET
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@FIXProtocol
