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Foreign Exchange
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Re: How to represent base price for currency swap
Jay Hurley / Morgan Stanley
29 Jul 2008 9:01AM ET The FX committee like all FIX committees is driven by industry practice and demand. At least at the time, there was no demand for streaming swap prices. Typically the RFQ model is used for this product so the fields that you need are missing from market data because the analysis was not done. Perhaps you could explain a bit more about the business driver for streaming swaps.
> Dear 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!
Re: How to represent base price for currency swap
Jay Hurley / Morgan Stanley 29 Jul 2008 9:01AM ET
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