How to represent base price for currency swap
Oksana Zheliabina / B2BITS <>
28 Jul 2008 12:50PM ETDear All,
Could you please help me with correct representation in FIX of currency swaps?
I use FIX44 and Market Data messages (V, W, X) to distribute different prices (Bid, Ask, Last, High, Low, Open, Close, etc.) for currency swaps.
For example, I have swap with CCY1/CCY2_TOD near leg and CCY1/CCY2_TOM far leg.
Market data source provides base swap price (rate for near leg) and then provides all prices (Bid, Ask, Last, ...) as difference between rates for near leg and far leg.
So I am looking to correct way of representing this base swap price in messages.
I see different tags like BidSwapPoints(1065), OfferSwapPoints(1066), LegBidForwardPoints(1067), LegOfferForwardPoints(1068), SwapPoints(1069), LastSwapPoints(1071) in FIX 5.0.
However, it looks like they do not fit.
First of all, they are not defined in Market Data messages. Also there are no possibility to represent other prices except Bid/Offer/Last.
Could you please advise?
Maybe I missed something?
Thank you in advance!
