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4.2 Changes
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Re: Impact on FIX due to OSI change
Magic Magee / Chicago Board Options Exchange
23 Mar 2009 2:13PM ET > The Global Derivatives Committee worked with the OCC to create the
> following guide: http://fixprotocol.org/documents/4213/FIXImplementatio-
> nGuide_USOptionsSymbology_v1.pdf
>
> > Hi,
> >
> > What would be impact on the FIX implementation due to the Option
> > Symbology Initiative change (driven by the OCC), would really
> > appreciate if can get some sample FIX message on that.
> >
> > Many thanks
The OSI initiative would require that Options Products would need to be identified by full Maturity Date, as opposed to the Maturity Month and Year; this will allow for Options products that have non-standard expiration dates, or products that expire on a non-monthly cycle. Depending on the FIX Message involved, several different tags could be involved. A simple example would be the submission of an Order. If the OSI initiative is in effect, I would expect an Order submitted without tag 205 to be rejected, as below.
Order in:
[8=FIX.4.2^A9=0271^A35=D^A50=SUB:SUB^A34=2^A49=TEST101^A56=DFIX201^A52=20090320-19:35:18^A11=VJP0001-20090320^A76=325^A21=1^A55=ABI^A167=OPT^A200=200810^A201=0^A202=35.00^A207=CBOE^A54=1^A38=500^A40=2^A44=8.3^A59=0^A77=O^A204=0^A60=20041020-12:00:00^A386=1^A336=W_MAIN^A9324=Internal 4294^A109=ABCD^A439=3A6n2^A440=QA2^A10=129^A]
Order Reject out:
[8=FIX.4.2^A9=0329^A35=8^A57=SUB:SUB^A34=2^A49=DFIX201^A56=TEST101^A52=20090320-19:35:18^A6=0^A11=VJP0001-20090320^A14=0^A84=0^A17=0:0.52508741.0^A20=0^A150=8^A31=0^A32=0^A151=0^A200=200810^A37=NONE^A38=500^A103=0^A39=8^A40=2^A44=8.3^A201=0^A167=OPT^A54=1^A202=35^A55=ABI^A58=Invalid Data - MaturityDay(205): [Tag is required to specify an option by symbol]^A9324=Internal 4294^A10=173^A]
Thx
Re: Impact on FIX due to OSI change
Magic Magee / Chicago Board Options Exchange 23 Mar 2009 2:13PM ET
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