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Regulations
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Re: Fix Message Validator for OSI
Naresh Kumar / TCS
25 Mar 2009 11:58PM ET Thanks Greg, it was really helpful.
Regards,
Naresh
I don’t believe you’ll find a general purpose validator for OSI.
> Each of the external entities (exchanges, ECNs, the OCC) may require a
> different message model depending on the business function being
> performed and the FIX version being used. For example: OSI under FIX
> 4.2 requires Maturity Month Year (tag 200) and Maturity Day (tag 205)
> to indicate the expiration date. But in FIX 4.4 and greater you would
> just append the expiration day to the end of Maturity Month Year and
> not use Maturity Day. The OCC and most exchanges publish
> specifications describing their interfaces. If you compare these specs
> you’ll see the differences. A translation of your Investment
> Bank’s FIX messages may need to take place in order to match those
> of the target venue. To perform this translation the message from the
> Investment Bank must contain:
> - Root option symbol
> - Strike price
> - Call/put indicator
> - Complete expiration date (year, month, day) Given this information the
> symbol supported by the venue can be derived. For example take a look
> at the April $95 IBM calls which expire on April 17, 2009. They would
> have an OSI symbol of “IBM 090417C00095000” but when trading this
> option over a FIX connection the message may look like
> “8=FIX4.2|22=8|55=IBM|167=OPT|200=0904|201=1|202=95|205=17|…” As
> for validation, you may only want to validate that you have the
> necessary information in your source message.
>
> I hope this was useful.
>
> -Greg
Re: Fix Message Validator for OSI
Naresh Kumar / TCS 25 Mar 2009 11:58PM ET
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@FIXProtocol
