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Foreign Exchange
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Re: Forex: Value in currency (tag15)
Jay Hurley / Morgan Stanley
20 Sep 2007 11:41PM ET > > > > What would be the value in tag 15 for EUR/USD? Would it be primary
> > > > currency (EUR) or secondary (USD)? Perhaps there is a better way /
> > > > tag that is applicable?
> > > e.g.Order (A) Buy 2M EUR/USD @ 1.37, what is the value in Tag 15?
> > > Prder
> > > (B) Sell 3M EUR/USD @ 1.37, what is the value in Tag 15?
> >
> > 15= is the dealt currency i.e. for 55=EUR/USD, 15=EUR then 54=1 means
> > buying EUR (selling USD) and if 15=USD it means buying USD (selling
> > EUR). For further information, please see the Foreign Exchange
> > Ehancements section of the FIX5.0 spec.
>
> Thank you!
>
> Please confirm the understanding for the following samples:
> 55=EUR/USD|54=1|15=EUR - buy EUR, sell USD; the same as
> 55=USD/EUR|54=1|15=EUR
>
> 55=EUR/USD|54=2|15=EUR - sell EUR, buy USD; the same as
> 55=USD/EUR|54=2|15=EUR
>
> 55=EUR/USD|54=2|15=USD - sell USD, buy EUR; the same as
> 55=USD/EUR|54=2|15=USD
>
> 55=EUR/USD|54=1|15=USD - buy USD, sell EUR; the same as
> 55=USD/EUR|54=1|15=USD
>
> Please clarify.
Your examples are correct but the price (44=) would be different. Here is an alternative example:
55=EUR/USD;54=1;15=EUR;44=1.4000;38=1000000;
is the same as
55=EUR/USD;54=2;15=USD;44=1.4000;38=1400000;
Note how the side and currency both flip around, that the price is still a EUR/USD rate and the quantity is in relation to the dealt currency so using the 1.4000 rate B 1M EUR becomes sell 1.4M USD.
Re: Forex: Value in currency (tag15)
Jay Hurley / Morgan Stanley 20 Sep 2007 11:41PM ET
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