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Foreign Exchange
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Market Data Message Set Gaps
Steven Bennison / Credit Suisse
17 Oct 2007 12:47PM ET Dear All,
I've recently been assigned to an FX fix project and I had a question.
I've been reading the spec for 4.2 and 4.4 and as have also been consulting the Foreign Exchange FIX Wokflow and Technical Gap Analysis. As pointed out in the gap analysis there are indeed many tags which are lacking from certain messages.
Since I will be dealing with the Market Data Message set my questions are pointed toward this area.
First of all, dealing with messages W (Market Data Snapshot/Full Refresh) and X (Market Data Incremental Refresh), of the additions pointed out in the gap analysis it is important that I am able to use tags 537(Quote type), 63 (Settl Type) and 64 (Settl Date).
My question in this regard is, what is the current situation regarding the alterations suggested in the gap analysis? It is important for my project that I am able to use these tags. In the event that I cannot use them what are the current workarounds for the tags listed above? I believe that I could use tags 37 (OrderID) and 299 (QuoteID) in a mutually exclusive fashion to signify whether a rate is executable or indicative. Is there any reason I should not adopt this approach?
I'd be very grateful to receive any responses to these questions before i progress further. Many thanks
Market Data Message Set Gaps
Steven Bennison / Credit Suisse 17 Oct 2007 12:47PM ET
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