FIX Version FIX.Latest Extension Pack EP271

Approval Date 2022-02-01T00:00:00

Description Errors and omissions 2022


Datatype Changes


Updated Datatypes

Name

BaseType

Description

Example

XML

int723 in field 21 would be mapped as |21=723|. -723 in field 12 would be mapped as |12=-723|. 1 xs:integer 723 in field 21 would be mapped as |21=723|. -723 in field 12 would be mapped as |12=-723|.
DayOfMonthint field representing a day during a particular month (values 1 to 31). 0 xs:integer int field representing a day during a particular month (values 1 to 31).
TagNum 0 xs:nonNegativeInteger int field representing a tag number. Value must be positive and may not contain leading zeros.
UTCDateOnly 0 xs:date string field representing Date represented in UTC (Universal Time Coordinated, also known as GMT) in YYYY-MM-DD format specified in ISO 8601. This special-purpose field is paired with UTCTimeOnly to form a proper UTCTimestamp for bandwidth-sensitive messages. Valid values: YYYY = 0000-9999, MM = 01-12, DD = 01-31. MDEntryDate="2003-09-10"

Deprecated Datatypes

Name

Datatypes removed

Name

Datatypes Added

Name

BaseType

Description

Example

XML


Field Changes

Updated Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaborationDeprecated
213XMLDataActual XML data stream (e.g. FIXML). See appropriate XML reference (e.g. FIXML). Note: may contain embedded SOH characters.
290Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1.
305Identifies class or source of the UnderlyingSecurityID(309) value.
385Specifies the direction of the message.
423
456Reserved100PlusIdentifies class or source of the SecurityAltID(455) value.
459Reserved100PlusIdentifies class or source of the UnderlyingSecurityAltID(458) value. Required if UnderlyingSecurityAltID is specified.
475The ISO 3166 Country code (2 character) identifying which country the beneficial investor is resident for tax purposes.
477Reserved1000PlusIdentifies the payment method for a (fractional) distribution. Used for CIV.
492Identifies the settlement payment method.
495Identifies the type of tax exempt account in which purchases shares/units are to be held. Used for CIV.
585Specifies the type or scope of the mass order status request.
606Reserved100PlusAlternate identifier for individual leg security of a multileg instrument. See SecurityAltIDSource(456) field for complete definition.
674int660Identifies the source of the LegAllocAccount(671).
687This field is deprecated and has been replaced by LegOrderQty(685). This field will likely be removed from the FIX standard in a future version.
761Identifies class or source of the BenchmarkSecurityID(699) value. Required if BenchmarkSecurityID is specified.
872Attribute value appropriate to the InstrAttribType (871) field.
965Indicates the current state of the instrument.
998Underlying unit of measure. See UnitOfMeasure(996) for complete definition.
999Multileg instrument unit of measure. See UnitOfMeasure(996) for complete definition.
1023Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo(290) which is used to convey the position of an order within a price level.
1008SideTrdSubType
1146Minimum price increment amount associated with MinPriceIncrement(969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement(969) with ContractMultiplier(231).
1214Ticker symbol. Common, human understood representation of the security. See Symbol(55) for complete definition.
1215Additional information about the security (e.g. preferred, warrants, etc.). See SymbolSfx(65) for complete definition.
1216Security identifier value (e.g. CUSIP, SEDOL, ISIN, etc). Requires DerivativeSecurityIDSource(1217). See SecurityID(48) for complete definition.
1217Identifies class or source of the DerivativeSecurityID(1217) value. See SecurityIDSource(22) for complete definition.
1218Number of alternate derivative security IDs.
1219Alternate derivative security identifier value of DerivativeSecurityAltIDSource(1220) type. Requires DerivativeSecurityAltIDSource(1220).
1220Reserved100PlusIdentifies class or source of the DerivativeSecurityAltID(1219) value.
1225Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount. See OptPayoutAmount(1195) for complete definition.
1228Identifies an entire suite of products for a given market. See ProductComplex(1227) for complete definition.
1243Used to indicate if a product or group of product supports the creation of flexible securities. See FlexProductEligibilityIndicator(1242) for complete definition.
1246The type of product the security is associated with. See Product(460) for complete definition.
1247An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions. See SecurityGroup(1151) for complete definition.
1248The type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. See CFICode(461) for complete definition.
1249The type of security. See SecurityType(167) for complete definition.
1250Sub-type qualification/identification of the security type. See SecuritySubType(762) for complete definition.
1251Month and Year of the maturity (used for standardized futures and options). See MaturityMonthYear(200) for complete definition.
1252Date of maturity. See MaturityDate(541) for complete definition.
1253Time of security's maturity expressed in local time with offset to UTC specified. See MaturityTime(1079) for complete definition.
1254Indicator to determine if instrument is settle on open. See SettleOnOpenFlag(966) for complete definition.
1255Method under which assignment was conducted. See InstrmtAssignmentMethod(1049) for complete definition.
1256Indicates the current state of the derivative instrument. See SecurityStatus(965) for complete definition.
1257Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value ZZ to specify physical ownership of the security (e.g. stock certificate). See InstrRegistry(543) for complete definition.
1258ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). See CountryOfIssue(470) for complete definition.
1259A two-character state or province abbreviation. See StateOrProvinceOfIssue(471) for complete definition.
1260Identifies the locale or region of issue. See LocaleOfIssue(472) for complete definition.
1261Strike price for an option. See StrikePrice(202) for complete definition.
1262Currency in which the strike price is denominated. See StrikeCurrency(947) for complete definition.
1263Multiplier applied to the strike price for the purpose of calculating the settlement value. See StrikeMultiplier(967) for complete definition.
1264The number of shares/units for the financial instrument involved in the option trade. See StrikeValue(968) for complete definition.
1265Provided to support versioning of option contracts as a result of corporate actions or events. Use of this field is defined by counterparty agreement or market conventions. See OptAttribute(206) for complete definition.
1266Specifies the ratio or multiply factor to convert from nominal units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc.). See ContractMultiplier(231) for complete definition.
1267Minimum price increase for a given exchange-traded Instrument. See MinPriceIncrement(969) for complete definition.
1268Minimum price increment amount associated with the minimum price increment. See MinPriceIncrementAmount(1146) for complete definition.
1269The unit of measure of the underlying commodity upon which the contract is based. See UnitOfMeasure(996) for complete definition.
1270Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based. See UnitOfMeasureQty(1147) for complete definition.
1271Unit of time associated with the contract. NOTE: Additional values may be used by mutual agreement of the counterparties. See TimeUnit(997) for complete definition.
1272Market used to help identify a security. See SecurityExchange(207) for complete definition.
1273Position limit for a given exchange-traded product. See PositionLimit(970) for complete definition.
1274Position limit in the near-term contract for a given exchange-traded product. See NTPositionLimit(971) for complete definition.
1275Name of security issuer. See Issuer(106) for complete definition.
1276The date on which the security is issued. See IssueDate(225) for complete definition.
1277Byte length of encoded (non-ASCII characters) DerivativeEncodedSecurityDesc (1281) field. See EncodedIssuerLen(348) for complete definition.
1278Encoded (non-ASCII characters) representation of the DerivativeIssuer(1275) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DerivativeIssuer(1275) field. See EncodedIssuer(349) for complete definition.
1279Can be used by the venue or one of the trading parties to provide a non-normative textual description for the financial instrument. See SecurityDesc(107) for complete definition.
1280Byte length of encoded (non-ASCII characters) DerivativeEncodedSecurityDesc (1281) field. See EncodedSecurityDescLen(350) for complete definition.
1281Encoded (non-ASCII characters) representation of the DerivativeSecurityDesc(1279) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DerivativeSecurityDesc(1279) field. See EncodedSecurityDesc(351) for complete definition.
1282The length of the DerivativeSecurityXML(1283) data block. See SecurityXMLLen(1184) for complete definition.
1283XMLDataXML definition for the security. See SecurityXML(1185) for complete definition.
1284The schema used to validate the contents of DerivativeSecurityXML(1283). See SecurityXMLSchema(1186) for complete definition.
1285Specifies when the contract (i.e. MBS/TBA) will settle. See ContractSettlMonth(667) for complete definition.
1286Number of repeating DerivativeEventType entries.
1287Code to represent the type of event. See EventType(865) for complete definition.
1288Date of event. See EventDate(866) for complete definition.
1289Specific time of event. To be used in combination with DerivativeEventDate(1288). See EventTime(1145) for complete definition.
1290Predetermined price of issue at event. See EventPx(867) for complete definition.
1291Comments related to the event. See EventText(868) for complete definition.
1292Number of repeating derivative instrument party entries.
1293Party identifier/code. See PartyID(448) for complete definition.
1294Identifies class or source of the DerivativeInstrumentPartyID (1293) value. Required if DerivativeInstrumentPartyID(1293) is specified. See PartyIDSource(447) for complete definition.
1295Identifies the type or role of the DerivativeInstrumentPartyID (1293) specified. See PartyRole(452) for complete definition.
1296Number of derivative instrument party sub IDs.
1297Party sub-identifier. See PartySubID(523) for complete definition.
1298Type of party sub-identifier. See PartySubIDType(803) for complete definition.
1299Type of exercise. See ExerciseStyle(1194) for complete definition.
1311Number of instrument attributes.
1313Type of instrument attribute. See InstrAttribType(871) for complete definition.
1314Attribute value appropriate to the DerivativeInstrAttribValue(1313) field. See InstrAttribValue(872) for complete definition.
1315Used to express the UOM of the price if different from the contract. See PriceUnitOfMeasureQty(1191) for complete definition.
1316Used to express the UOM Quantity of the price if different from the contract. See PriceUnitOfMeasureQty(1192) for complete definition.
1317Settlement method for a contract or instrument. See SettlMethod(1193) for complete definition.
1318Specifies the method for price quotation. See PriceQuoteMethod(1196) for complete definition.
1319Specifies the method for price quotation. See ValuationMethod(1197) for complete definition.
1320Indicates whether instruments are pre-listed only or can also be defined via user request. See ListMethod(1198) for complete definition.
1321Used to express the ceiling price of a capped call. See CapPrice(1199) for complete definition.
1322Used to express the floor price of a capped put. See FloorPrice(1200) for complete definition.
1323Indicates whether an option contract is a put, call, chooser or undetermined. See PutOrCall(201) for complete definition.
1336Reserved100Plus
1436Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(614) is expressed in.
1438Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit DerivativeContractMultiplier(1266)is expressed in. See ContractMultiplierUnit(1435) for complete definition.
1442The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak". See FlowScheduleType(1439) for complete definition.
1468EncListDescLen0Byte length of encoded (non-ASCII characters) EncodedSecurityListDesc(1469) field.
1469EncListDesc0Encoded (non-ASCII characters) representation of the SecurityListDesc(1467) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the SecurityListDesc(1467) field.
1473Category of news message.
154222Reserved100PlusUsed to limit instrument scope to specified security alternate identifier source. See SecurityAltIDSource(456) field for complete definition.
1576Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency(tag 15) to express the currency of a product when the former is implemented as the FX dealt currency. See PriceQuoteCurrency(1524) for complete definition.
1620EncDescLen0
1621EncDesc0Encoded (non-ASCII characters) representation of the InstrumentScopeSecurityDesc(1556) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the InstrumentScopeSecurityDesc(1556) field.
1652167
1722Indicates the currency of the unit of measure. Conditionally required when DerivativeUnitOfMeasure(1269) = Ccy. See UnitOfMeasureCurrency(1716) for complete definition.
1723Indicates the currency of the price unit of measure. Conditionally required when DerivativePriceUnitOfMeasure(1315) = Ccy. See PriceUnitOfMeasureCurrency(1717) for complete definition.
17330
17340
1777NumInGroup
1905Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entity identifier may be assigned by a regulator.
1994UnderlyingObligationID(1994) is reserved for the reference entity for baskets or pools. In a CDS single name the reference entity is identified in instrument ID and the obligations are identified in UnderlyingObligationID(1994).
2011Indicates the current state of the underlying instrument.
2087Identifies the business center whose calendar is used for valuation, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
2109The AttachmentEncodingType(2109) is a distinct and separate concept from MessageEncoding(347) that defines how FIX fields of type data are encoded. The MessageEncoding(347) is used to embed text in another character set (e.g. Unicode or Shift-JIS) within FIX.
2148Indicates the current state of the leg instrument.
2377Used to further qualify the value of DerivativeInstrumentPartyRole(1295).
2424Unique message identifier for the response to a mass order request as assigned by the receiver of the orders.
2676MaximumPriceDeviationMaxPxDeviatn
2684Specifies an option instrument's "in the money" condition in general terms. See InTheMoneyCondition(2681) for complete definition.
2688Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of DerivativeInTheMoneyCondition(2684). When not specified, the eligibility is undefined or not applicable. See ContraryInstructionEligibilityIndicator(2685) for complete definition.
2798EncodedMatchExceptionText
2892Uniquely identifies the product of a derivative instrument using ISO 4914. See UPICode(2891) for complete definition.
40028When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
40030When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.
40045Specifies the applicable key into the relevant contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the ContractualMatrixTerm(40045) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
40197
40206The number of business days used in the determination of physical settlement. Its precise meaning depends on the context in which this element is used.
40207A maximum number of business days. Its precise meaning depends on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
40323Time unit multiplier for the relative rate cut-off date offset.This is generally the number of days preceding the period end date or termination date, as appropriate, for the specified floating rate index.
40535
40649UnderlyingPaymentStreamNonDeliverableFixingDatesBizDayConvention
40698UnderlyingPaymentScheduleInterimExchangeDatesBizDayConvention
40960NoStreamEffectiveDateBusinessCenters
40968NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters
41352When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
41354When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.
41602The number of business days used in the determination of physical settlement. Its precise meaning depends on the context in which this is used.
41603A maximum number of business days. Its precise meaning depends on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.
41617A named string value referenced from UnderlyingProtectionTermXIDRef(41314).
41631Day type for events that specify a period and unit.
41873EncodedUnderlyingMarketDisruptionFallbackUnderlierSecDescLen
41885The number to be multiplied by the derived floating rate of the underlying's payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.
42049When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
42051When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.
42064A named string value referenced by UnderlyingSettlTermXIDRef(41315).
4208340197
42143UnderlyingProvisionOptionRelevantUnderlyingDateBizDayConvention
42206Specifies the applicable key into the relevant contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the LegContractualMatrixTerm(42206) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.
43109FrmlaLen
43110FrmlaLen
43111FrmlaLen



New Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaboration
43112PaymentStreamRateIndex2StringNdx20The payment stream's second floating rate index.
43113PaymentStreamRateIndex2SourceintNdx2Src040790The source of the payment stream's second floating rate index.
43114PaymentStreamRateIndex2IDStringNdx2ID0Security identifier of the second floating rate index.
43115PaymentStreamRateIndex2IDSourceStringNdx2IDSrc022Source for the second floating rate index identified in PaymentStreamRateIndex2ID(43114).
43116LegPaymentStreamRateIndex2StringNdx20The payment stream's second floating rate index.
43117LegPaymentStreamRateIndex2SourceintNdx2Src040790The source of the payment stream's second floating rate index.
43118LegPaymentStreamRateIndex2IDStringNdx2ID0Security identifier of the second floating rate index.
43119LegPaymentStreamRateIndex2IDSourceStringNdx2IDSrc022Source for the second floating rate index identified in LegPaymentStreamRateIndex2ID(43118).
43120UnderlyingPaymentStreamRateIndex2StringNdx20The payment stream's second floating rate index.
43121UnderlyingPaymentStreamRateIndex2SourceintNdx2Src040790The source of the payment stream's second floating rate index.
43122UnderlyingPaymentStreamRateIndex2IDStringNdx2ID0Security identifier of the second floating rate index.
43123UnderlyingPaymentStreamRateIndex2IDSourceStringNdx2IDSrc022Source for the second floating rate index identified in UnderlyingPaymentStreamRateIndex2ID(43122).


Enumerations

Updated Enumerations

TagValueSymbolicNameGroupSortDescriptionElaborationDeprecated
35AMThe Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.
63BUse within FX to specify a non-standard tenor. The use of SettlDate(64) is required to specify the actual settlement date when SettlType(63) = B (Broken date).
882IncorrectAveragePrice
885Unknown OrderID(37)
886Unknown ListID(66)
8810Unknown or Stale ExecID(17)
8812Unknown ClOrdID(11)
8814DuplicateOrMissingIndividualAllocID15Duplicate or missing IndividualAllocID(467)
881516
881617
881718
881819
881920
882021
882122
882223
882324
882425
882526
882627
882728
882829
8899100
10321AlgorithmRiskThresholdBreached
277ANOfficialClosingPriceDupOfficial Closing Price (duplicate enumeration - use 'AJ' instead)
37317NonDataValueIncludesFieldDelimiter
37318InvalidUnsupportedApplVer
3942"Disclosed" style (e.g. Japanese)
45281Broker clearing identifier
5321Invalid or unknown security
5322InvalidOrUnknownUnderlyingSecurityInvalid or unknown underlying security
5323Invalid or unknown product
5324Invalid or unknown CFI Code
5325Invalid or unknown security type
5326Invalid or unknown trading session
5327Invalid or unknown market
5328Invalid or unknown market segment
5329Invalid or unknown security group
53210Invalid or unknown security issuer
53211Invalid or unknown issuer of underlying security
5851Status for orders for a security
5852Status for orders for an underlying security
5853Status for orders for a product)
5854Status for orders for a CFI Code
5855Status for orders for a security type
5858Status for orders for a party identifier
5859Status for security issuer
58510Status for issuer of underlying security
72899OtherUse Text(58) for further explanation.
7709Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry time cannot change during the lifetime of the order.
9399Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details are deemed verified by the SDR but have not been confirmed by the trading parties.
10362DontKnow
1430VVoice negotiation
21090
21091Raw binary
242944
25945SystematicInternaliserOrderSystematic internaliser order
25948In the context of MiFIR Article 4(1)(c) and Article 9(1)(a), when OrderAttributeValue(2595)=Y, it signifies that the order size is large in scale compared to normal market size.
267010In the context of ESMA, as per MiFIR Article 4(1)(d) and Article 9(1)(a), a transaction arising from an order that was not fully pre-trade transparent due to all or part of it being held in a trading venue order management facility, such as a reserve order.
27251Commission sharing agreement (CSA)
27632PercentOfVolumeAveragePrice

Deprecated Enumerations

TagValue
1600
1602
1603

Enumerations Deleted

TagValue
13070
13071
13072
13073
13074
13075
13076
13077
13078
13079
17630
17631
17632

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionElaboration
477999Other999Other
492999Other999Other

Messages

Messages Updated

MsgTypeComponentIDNameCategoryIDSectionIDAbbrNameNotReqXMLDescriptionElaborationDeprecated
AMThe Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

Components

Components Changed

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescriptionElaborationDeprecated
2098Session
4043The Fixing Lag Interval (LegPaymentScheduleFixingLagPeriod(41545) and LegPaymentScheduleFixingLagUnit(41546)) and the First Observation Offset Duration (LegPaymentScheduleFixingFirstObservationOffsetPeriod(41547) and LegPaymentScheduleFixingFirstObservationOffsetUnit(41548)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
4039Note that if the floating rate index or the rate calculation goes negative for a calculation period and LegPaymentStreamNegativeRateTreatment(40349)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer. The Calculation Lag Interval (LegPaymentStreamCalculationLagPeriod(41578) and LegPaymentStreamCalculationLagUnit(41579)) and the First Observation Offset Duration (LegPaymentStreamFirstObservationOffsetPeriod(41580) and LegPaymentStreamFirstObservationOffsetUnit(41581)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
4077The Fixing Lag Interval (PaymentScheduleFixingLagPeriod(41176) and PaymentScheduleFixingLagUnit(41177)) and the First Observation Offset Duration (PaymentScheduleFixingFirstObservationOffsetPeriod(41178) and PaymentScheduleFixingFirstObservationOffsetUnit(41179)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
4074Note that if the floating rate index or the rate calculation goes negative for a calculation period and PaymentStreamNegativeRateTreatment(40807)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer. The Calculation Lag Interval (PaymentStreamCalculationLagPeriod(41209) and PaymentStreamCalculationLagUnit(41210)) and the First Observation Offset Duration (PaymentStreamFirstObservationOffsetPeriod(41211) and PaymentStreamFirstObservationOffsetUnit(41212)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
1024Hdr
4067The Fixing Lag Interval (UnderlyingPaymentScheduleFixingLagPeriod(41893) and UnderlyingPaymentScheduleFixingLagUnit(41894)) and the First Observation Offset Duration (UnderlyingPaymentScheduleFixingFirstObservationOffsetPeriod(41895) and UnderlyingPaymentScheduleFixingFirstObservationOffsetUnit(41896)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
4063Note that if the floating rate index or the rate calculation goes negative for a calculation period and UnderlyingPaymentStreamNegativeRateTreatment(40638)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer. The Calculation Lag Interval (UnderlyingPaymentStreamCalculationLagPeriod(41926) and UnderlyingPaymentStreamCalculationLagUnit(41927)) and the First Observation Offset Duration (UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) and UnderlyingPaymentStreamFirstObservationOffsetUnit(41929)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.

Message/Component Content

Message/Components Content Changes

ComponentIDTagTextIndentPositionReqdDescription
911Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11). In the case of quotes can be mapped to: - QuoteID(117) of a single Quote(35=S) - QuoteEntryID(299) of a MassQuote(35=i) - BidID(390) or OfferID(1867) of a two-sided Quote(35=S) - MassOrderReportID(2424) of a MassOrderAck(35=DK)
6415Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).
65585
7715Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).
80774Conditionally required for AffirmStatus(940) = 2 (Confirm rejected).
82PositionQtyInsert here here the set of "PositionQty" fields defined in "Common Components of Application Messages."
82PositionAmountDataInsert here the set of "PositionAmountData" fields defined in "Common Components of Application Messages."
1462423
147ApplicationSequenceControl0For use in drop copy applications. NOT FOR USE in transactional applications.
1472423
1472424
148Parties1
150TargetParties1
151MDStatisticReqGrp1
1003541Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures) may use MaturityMonthYear(200) and/or this field. When using MaturityMonthYear(200), it is recommended that markets and sell sides report the MaturityDate(541) on all outbound messages as a means of data enrichment. For NDFs this represents the fixing date of the contract.
1003996
10611282Must be set if DerivativeSecurityXML(1283) field is specified and must immediately precede it.
10611283
10611284
10651630Number of limit amount occurrences.
2031290
20311023
2032290
21061287
21061289
21201226Ending maturity month year to which the StrikeIncrement applies. Price refers to the price of the underlying.
21241093Defines the lot type assigned to the order. Use as an alternate to RoundLot(561). To be used with MinLotSize(1231). LotType + MinLotSize (max is next level minus 1). Required if NoLotTypeRules(1234) > 0.
21401241
21401215
21401216Takes precedence in identifying security to counterparty over SecurityAltID block
21401217
21401246
21401247
21401248It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.
21401250
21401251Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.
21401252Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field. When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.
21401254
21401256
21401257Can be used in conjunction with ISIN to address ISIN uniqueness issues.
21401258Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.
21401259
21401260
21401261
21401262
21401263
21401264
21401265
21401266
21401267
21401268
21401317
21401318
21401319
21401320
21401321
21401322
21401299
21401225
21401271
21401273
21401274
21401277Must be set if DerivativeEncodedIssuer(1278) field is specified and must immediately precede it.
21401278
21401280Must be set if DerivativeEncodedSecurityDesc(1280) field is specified and must immediately precede it.
21401281
21452052Conditionally required when there are more than one UnderlyingComplexEvent occurrences. A chain of events must be linked together through use of the UnderlyingComplexEventCondition(2052) in which the relationship between any two events is described. For any two occurrences of events the first occurrence will specify the UnderlyingComplexEventCondition(2052) which links it with the second event.
22282052Conditionally required when there are more than one UnderlyingComplexEvent occurrences. A chain of events must be linked together through use of the UnderlyingComplexEventCondition(2052) in which the relationship between any two events is described. For any two occurrences of events the first occurrence will specify the UnderlyingComplexEventCondition(2052) which links it with the second event.
403941563Conditionally required when LegPaymentStreamRateIndex2CurvePeriod(41564) is specified.
403941564Conditionally required when LegPaymentStreamRateIndex2CurveUnit(41563) is specified.
407441194Conditionally required when PaymentStreamRateIndex2CurveUnit(41195) is specified.
407441195Conditionally required when PaymentStreamRateIndex2CurvePeriod(41194) is specified.
406341911Conditionally required when UnderlyingPaymentStreamRateIndex2CurvePeriod(41912) is specified.
406341912Conditionally required when UnderlyingPaymentStreamRateIndex2CurveUnit(41911) is specified.
405840565Conditionally required when UnderlyingStreamCalculationFrequencyUnit(40566) is specified.
412240909Required if NoStreamEffectiveDateBusinessCenters(40960) > 0.
412840650Required if NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters(40968) > 0.

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
127ApplicationSequenceControl01.50
17Stipulations045.50
40394311604.020
40394311704.040
40394311804.060Conditionally required when LegPaymentStreamRateIndex2IDSource(43119) is specified.
40394311904.080Conditionally required when LegPaymentStreamRateIndex2ID(43118) is specified.
40744311204.020
40744311304.040
40744311404.060Conditionally required when PaymentStreamRateIndex2IDSource(43115) is specified.
40744311504.080Conditionally required when PaymentStreamRateIndex2ID(43114) is specified.
40634312004.020
40634312104.040
40634312204.060Conditionally required when UnderlyingPaymentStreamRateIndex2IDSource(43123) is specified.
40634312304.080Conditionally required when UnderlyingPaymentStreamRateIndex2ID(43122) is specified.
205958615.50
2061635114.50