This Extension Pack provides enhancements to the SecurityList(35=y) message to support the Options Clearing Corp.'s requirements to provide theoretical profit and loss data to their customers.

As the sole vendor approved by the SEC to disseminate theoretical profit/loss files for Risk Based Haircut (RBH) and Customer Portfolio Margining (CPM) programs, the OCC is converting their data from flat file to FIXML. This proposal provides enhancements to the SecurityList(35=y) message to meet these data requirements.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

Files list:
FIX Protocol Gap Analysis Proposal SecList Extensions v0.5_ASBUILT.pdfViewDownload

Total Files3
File Size1.60 MB
Create DateJune 20, 2017