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Foreign Exchange
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Re: MarketDateRequest (35=V) for forward tenor
Pritam Kamat / PapaKilo
5 Jul 2010 6:05AM ET As I understand it full support for forwards in the MarketData set of messages came in FIX 5.0. You could use the approach described in 5.0SP2 volume 7 on a 4.4 session, or alternatively use the QuoteRequest/Quote set of messages.
> I doubt if there is a need to specify tenor information (eg. tenor code or value date, etc) in 35=V under FIX 4.4. In fact, if client subscribes a currency pair like USDJPY, liquidity provider should return USDJPY prices with all pre-agreed tenor(s) to that client. Would all pls correct me if otherwise. Thanks in advance.
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> > Hi all, I would wonder how should specify the tenor in the FIX4.4 MarketDataRequest (35=V)? E.g. for subscribe the Forward tenor (e.g. 2M) or odd-date (e.g. 3 May 2010).
> >
> > In QuoteRequest (35=R), there is tag 64 for us to indicate the tenor value date. But seems for MarketDataRequest(35=V) it is assumed to be spot by default.
> >
> > Thanks for the help.
Re: MarketDateRequest (35=V) for forward tenor
Pritam Kamat / PapaKilo 5 Jul 2010 6:05AM ET
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