|
Derivatives
< Previous Next >
Re: Sell-side used FIX Messages for listed derivatives
Tayloe Draughon / Calyon Financial <>
26 Jun 2008 10:57AM ETCFICode is being widely used in post execution messages for Futures & Options. However, for order execution many firms are choosing not to use CFICode and rather staying with the Security Type (167) FUT or OPT (and the 201 tags for put/call code). To this end, the GTC last year approved an errata to re-introduce these values back into 4.4 and 5.0. This errata should be out sometime this year.
Cheers,
Tayloe Draughon
> Hi,
>
> Thanks for your help with this. I had one more question to the group: Is
> CFICode (461) being adopted widely for Futures & Options security
> identification instead of SecurityType(167)?
>
> Thanks, Deb
> > Hi All;
> >
> > For Futures and Options on Futures we use the allocation report (AS)
> > to confirm our the activity related to an allocation instruction (J).
> > I am aware of at least 4 sell side (Future Commission Merchants) who
> > do the same thinng.
> >
> > Cheers, Tayloe Draughon
> >
> >
> > > Hi Robert, Thanks for the letting me know, but would
> > > AllocationReport (AS) be the message used for Futures/Options or
> > > should Confirmation (AK) be the one or something different.
> > > AllocationReport (AK) would be definitely used for Fixed Income
> > > since the message is more meaningful from a FI trade perspective but
> > > would it be true for Futures/Options also.
> > >
> > > Appreciate all your help.
> > >
> > > Thanks Deb
> > > > My mistake. I meant to say that an acknowledgment of the
> > > > allocation instruction is followed by an allocation report.
> > > > Confirmation is not used.
> > > >
> > > > > Hi Robert,
> > > > >
> > > > > Thank you for the details. I understand Confirmation (AK) to be
> > > > > used for sell-side to confirm buy-side's allocations, but why
> > > > > would an AllocationReport (AS) follow an AK? Aren't those the
> > > > > messages which conveys the same details? Another question which
> > > > > I had was could AK be used for CFD's too?
> > > > >
> > > > > Thanks again for your help. Deb
> > > > >
> > > > > > Hi Deb,
> > > > > >
> > > > > > It would be the AK followed by an allocation report.
> > > > > >
> > > > > > Robert
> > > > > >
> > > > > > > Hi, I wanted to check with the group and sell-side members
> > > > > > > on the FIX message (in version 4.4) mostly used by sell-side
> > > > > > > firms for sending confirmations in response to an Investment
> > > > > > > Manager's Allocations of a Broker/Dealer executed listed
> > > > > > > Option or Future (listed derivatives) trade: would it be a
> > > > > > > Confirmation (MsgType=AK) message or some other message?
> > > > > > >
> > > > > > > Thanks in advance for your help.
> > > > > > >
> > > > > > > Debashis Das Omgeo LLC.
Re: Sell-side used FIX Messages for listed derivatives
Tayloe Draughon / Calyon Financial 26 Jun 2008 10:57AM ET
|
