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Foreign Exchange
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Re: Market Data Message Set Gaps
Lisa Taikitsadaporn / Brook Path Partners, Inc. <>
17 Oct 2007 1:30PM ETThe recommendations in the gap analysis has been incorporated into FIX 5.0 that was released in December 2006. I suggest that you take a look at FIX 5.0's Market Data messages as well as the Foreign Exchange section in Volume 7 of the 5.0 documentation set. The FX section in Vol. 7 will explain in further detail how to use some of these fields from an FX point of view.
> Dear All,
>
> I've recently been assigned to an FX fix project and I had a question.
>
> I've been reading the spec for 4.2 and 4.4 and as have also been
> consulting the Foreign Exchange FIX Wokflow and Technical Gap Analysis.
> As pointed out in the gap analysis there are indeed many tags which are
> lacking from certain messages.
>
> Since I will be dealing with the Market Data Message set my questions
> are pointed toward this area.
>
> First of all, dealing with messages W (Market Data Snapshot/Full
> Refresh) and X (Market Data Incremental Refresh), of the additions
> pointed out in the gap analysis it is important that I am able to use
> tags 537(Quote type), 63 (Settl Type) and 64 (Settl Date).
>
> My question in this regard is, what is the current situation regarding
> the alterations suggested in the gap analysis? It is important for my
> project that I am able to use these tags. In the event that I cannot use
> them what are the current workarounds for the tags listed above? I
> believe that I could use tags 37 (OrderID) and 299 (QuoteID) in a
> mutually exclusive fashion to signify whether a rate is executable or
> indicative. Is there any reason I should not adopt this approach?
>
> I'd be very grateful to receive any responses to these questions before
> i progress further. Many thanks
Re: Market Data Message Set Gaps
Lisa Taikitsadaporn / Brook Path Partners, Inc. 17 Oct 2007 1:30PM ET
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