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Foreign Exchange
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Re: optional forward deal with execution report
Jay Hurley / Morgan Stanley
1 Feb 2011 9:15PM ET For an outright there is only a single value date as specified by SettlDate (64=). If you are looking for a swap then you need a near and a far date so you would use multi-leg execution report (near and far leg) for FIX5.0. For older FIX versions, there is the now deprecated SettlDate2 field.
> hi,
>
> I am using execution report to match FX optional forward deal.
>
> the value date for FX optional forward deal is the period rather than a single day.
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> eg. deal for aud/usd, 1m.
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> value data start: Mar 01, 2011
> value data end: Mar 31, 2011
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> any business date between start and end could be the value date.
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> No lucky to find fix tag for value data start and value data end in execution report.
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> Anyone can throw some light?
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> Many thanks.
>
> Cheers,
>
> Glen
Re: optional forward deal with execution report
Jay Hurley / Morgan Stanley 1 Feb 2011 9:15PM ET
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@FIXProtocol
