FIX Version FIX.5.0SP2 Extension Pack EP174

Approval Date 2013-10-02T12:00:00

Description BenchmarkPriceType Extension




Field Changes

Updated Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaborationDeprecated
269Type of market data entry.





Enumerations

Updated Enumerations

TagValueSymbolicNameGroupSortDescriptionElaborationDeprecated
2693Index valueA reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).
2694Opening price
2695Closing price
2696Settlement price
2697Trading session high price
2698Trading session low price
2699Trading session Volume Weighted Average Price (VWAP)
269AImbalance
269BTrade volume
269COpen interest
269DComposite underlying price
269ESimulated sell price
269FSimulated buy price
269GMargin rate
269HMid-price
269JEmpty book
269KSettle high price
269LSettle low price
269MPrior settle price
269NSession high bid
269OSession low offer
269PEarly prices
269QAuction clearing price
269SSwap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
269RDaily value adjustment for long positions
269TCumulative value adjustment for long positions
269UDaily value adjustment for short positions
269VCumulative value adjustment for short positions
269WFixing price
269XCash rate
269YRecovery rate
269ZRecovery rate for long positions
269aRecovery rate for short positions
269bMarket bid
269cMarket offer
269dShort sale minimum price

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionElaboration
42324InterestRate24Interest rateWhen the price is an interest rate. For example, used with benchmark reference rate.

Message/Component Content

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
2022SpreadOrBenchmarkCurveData15.050