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Foreign Exchange
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Re: How to represent base price for currency swap
Franck MIKULECZ / BAXTER Financial Services Ltd. <>
29 Jul 2008 7:37PM ETHi Oksana,
As you saw from Jay's e-Mail the topic of Swap streaming rates is not completely clarified in FIX, but this is not to say that it cannot be done.
We are both working with the FX Technical subcommittee and I would like to help if I can.
I assume that you are looking to offer to users a way to connect to your FIX gateway and subscribe to a certain currency pair Swap points.
These points would update every time the market changes and a new market message would be sent to the subscriber.
If these assumptions are correct, could you clarify exactly which is your problem for formating the message ?
It is a benefit to publish a Spot price ref for a Swap, and this is possible. Which additional element are you looking for ?
Franck MIKULECZ
> 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
Franck MIKULECZ / BAXTER Financial Services Ltd. 29 Jul 2008 7:37PM ET
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