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Fixed Income
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Limit order at dirty price
Rob Gilliam / Reuters
21 Jun 2007 12:13PM ETWhat is the best way for a price taker to place a limit order for a bond usually traded on its "dirty" price, using a New Order - Single message (35=D)?
The only place a dirty price appears to be supported in FIX 4.4 is the UnderlyingDirtyPrice field of an UnderlyingInstrument (tag 882), which I'm not sure is appropriate for this situation.
I'm thinking they could send the desired price as usual in the Price field (tag 44) and change the PriceType field from PERCENTAGE to FIXED AMOUNT (423=3). Does that make sense or could it be confused for something else?
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