Re: How to represent base price for currency swap
Oksana Zheliabina / B2BITS <>
30 Jul 2008 12:33PM ET
Dear Franck,
Yes, your assumption is correct.
We have a FIX gateway which clients can connect to and subscribe to information (like High, Low, Close, Open, etc.) for different instruments. Currency swaps are among these instruments.
We use Market Data Request message for subscribe/unsubscribe and Market Data - Snapshot/Full Refresh and Market Data - Incremental Refresh messages to distribute information.
It looks clear for me how to send information on equities, for example.
But it is not clear how to send information on swaps.
For example, I have spot-forward swap for CCY1/CCY2.
Let us say that High price for this instrument is 0.0045, and this price in fact is a difference between forward rate and spot rate.
So I suppose that in Market Data messages I need to use MDEntryType(269) = '7' and corresponding MDEntryPx(270) = 0.0045.
However, I need to send spot rate also, and I try to understand which tag should be used for this.
Please let me know if there is not enough information to understand what I try to achieve.
And thank you again for help.
>
> Hi Oksana,
>
> As you saw from Jay's e-Mail the topic of Swap streaming rates is not
> completely clarified in FIX, but this is not to say that it cannot be
> done. We are both working with the FX Technical subcommittee and I would
> like to help if I can.
>
> I assume that you are looking to offer to users a way to connect to your
> FIX gateway and subscribe to a certain currency pair Swap points. These
> points would update every time the market changes and a new market
> message would be sent to the subscriber.
>
> If these assumptions are correct, could you clarify exactly which is
> your problem for formating the message ? It is a benefit to publish a
> Spot price ref for a Swap, and this is possible. Which additional
> element are you looking for ?
>
> Franck MIKULECZ
