Re: Use of TradeCapture Reports for FX
Mahesh Kumaraguru <>
26 Jun 2010 9:16AM ET
Your implementation of TradeCaptureReports for FX appears correct (I am going by FIX.5.0SP2 specs).
1. Assuming a client has set up a trade capture feed, if an FX trade gets booked, would the tradeCaptureReport be sent with ExecType (tag 150) = F ?
Yes since its a Partial Fill or a Full Fill
2. If the trade is amended in the booking system and the client is still connected, would they then expect an TCR with tag 150=G ?
Yes G = Trade Correct
3. If the client subscribes to receive TCRs after a trade is amended post-booking, what would the status be shown as ? I'm assuming 150=G but just wanted to know if that is standard.
Which Status are you refering to ? TrdRptStatus ? MatchStatus ? OrdStatus ?
4. Similarly if the trade had allocations, and one or some of the allocations were changed, again does that result in tag 150=G ?
I could not find alloc in TradeCaptureReport
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/body_54526569.html
Which Component / Tags are u using ? Is this custom usage ?
5. Would the SidesGroup or LegsGroup be used when representing FX Swaps ?
I searched http://fixprotocol.org/ for the terms SidesGroup and LegsGroup and the search results
http://www.google.com/custom?q=SidesGroup&hl=en&safe=active&cof=AH:left%3BS:http://fixprotocol.org%3BL:http://fixprotocol.org/art/logo.200x52.gif%3BLH:52%3BLW:200%3B&domains=fixprotocol.org&sitesearch=fixprotocol.org&filter=0
http://www.google.com/custom?q=LegsGroup&hl=en&safe=active&cof=AH:left%3BS:http://fixprotocol.org%3BL:http://fixprotocol.org/art/logo.200x52.gif%3BLH:52%3BLW:200%3B&domains=fixprotocol.org&sitesearch=fixprotocol.org&filter=0
contain only your posts as results. Which Component / Tags are these ?
6. If TCR is used for booked trades would the OrdStatus (tag 39) ever be 8 (rejected).
OrdStatus (39) is not part of TCR. For Tag 150 = 8 Rejected is valid enum.
Also refer :-
FIX.5.0_SP2_VOL-5.pdf - Page 82 to 122 (of 203) Section "Category: Trade Capture("STREETSIDE") Reporting
FIX.5.0_SP2_VOL-7.pdf - Page 155 to 190 (of 259) Section "Product : Foreign eXchange"
