FIX Repository Extension Pack ReadMe file
This html page contains details of the changes applied by the service pack
New Tags added in this extension pack
Tag | FieldName | AbbrName | Type | Desc | Pattern |
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1377 | MultilegModel | MlegModel | int | Specifies the type of multileg order. | |
1378 | MultilegPriceMethod | MlegPxMeth | int | Code to represent how the multileg price is to be interpreted when applied to the legs.
(See Volume : "Glossary" for further value definitions) | |
1379 | LegVolatility | LegVolatility | float | Specifies the volatility of an instrument leg. | |
1380 | DividendYield | DividendYield | Percentage | The continuously-compounded annualized dividend yield of the underlying(s) of an option. | |
1381 | LegDividendYield | LegDividendYield | Percentage | Refer to definition for DividendYield(1380). | |
1382 | CurrencyRatio | CurrencyRatio | float | Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7 | |
1383 | LegCurrencyRatio | LegCurrencyRatio | float | Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then LegCurrencyRatio = 0.7 | |
1384 | LegExecInst | LegExecInst | MultipleCharValue | Refer to ExecInst(18)
Same values as ExecInst(18) | |
Tags modified in this extension pack
Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'Tag = xxx'> where xxx is a tag number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.
Tag | FieldName | AbbrName | Type | Desc | Pattern |
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New Enums added in this extension pack
Tag | New Enums | Group |
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18 | r - Execute as delta neutral using volatility provided |
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18 | s - Execute as duration neutral |
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18 | t - Execute as FX neutral |
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1377 | 0 - Predefined Multileg Security |
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1377 | 1 - User-defined Multleg Security |
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1377 | 2 - User-defined, Non-Securitized, Multileg |
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1378 | 0 - Net Price |
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1378 | 1 - Reversed Net Price |
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1378 | 2 - Yield Difference |
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1378 | 3 - Individual |
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1378 | 4 - Contract Weighted Average Price |
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1378 | 5 - Multiplied Price |
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Enums modified in this extension pack
Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'Tag = xxx and Enum = yyy'> where xxx is a tag number and yyy is an enum string may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.
New message contents in messages and components
Name | Ind | Tag | Reqd | Description |
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ExecutionReport | 0 | 1380 | No |
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NewOrderMultileg | 0 | 1377 | No |
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NewOrderMultileg | 0 | 1378 | No |
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NewOrderMultileg | 0 | 1190 | No |
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MultilegOrderCancelReplace | 0 | 1377 | No |
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MultilegOrderCancelReplace | 0 | 1378 | No |
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MultilegOrderCancelReplace | 0 | 1190 | No |
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TradeCaptureReport | 0 | 1188 | No |
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TradeCaptureReport | 0 | 1380 | No |
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TradeCaptureReport | 0 | 1190 | No |
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TradeCaptureReport | 0 | 1382 | No |
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InstrmtLegExecGrp | 1 | 1379 | No |
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InstrmtLegExecGrp | 1 | 1381 | No |
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InstrmtLegExecGrp | 1 | 1383 | No |
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InstrmtLegExecGrp | 1 | 1384 | No |
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LegOrdGrp | 1 | 1379 | No |
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LegOrdGrp | 1 | 1381 | No |
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LegOrdGrp | 1 | 1383 | No |
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LegOrdGrp | 1 | 1384 | No |
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TrdInstrmtLegGrp | 1 | 1379 | No |
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TrdInstrmtLegGrp | 1 | 1381 | No |
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TrdInstrmtLegGrp | 1 | 1383 | No |
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TrdInstrmtLegGrp | 1 | 1384 | No |
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BaseTradingRules | 0 | 1377 | No | Used for multileg security only. Defines whether the security is pre-defined or user-defined. Not that value = 2 (User-defined, Non-Securitized, Multileg) does not apply for Securities. |
BaseTradingRules | 0 | 1378 | No | Used for multileg security only. Defines the method used when applying the multileg price to the legs. |
BaseTradingRules | 0 | 423 | No | Defines the default Price Type used for trading. |
Modified existing elements in messages and components
Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx and Position = yyy'> where xxx is a MsgID number and yyy is an Position number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.
Name | Ind | Tag | Reqd | Description |
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Replace this, test is MsgID = 62 and Position = 39
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MultilegOrderCancelReplace | 0 | Instrument | Yes |
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
SecurityType[167] = "MLEG"
CFICode should be set to the type of multileg product, such as "O" - options, "F" - Future or Swap.
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With this |
MultilegOrderCancelReplace | 0 | Instrument | No | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
SecurityType[167] = "MLEG"
CFICode should be set to the type of multileg product, such as "O" - options, "F" - Future or Swap.
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Replace this, test is MsgID = 61 and Position = 36
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NewOrderMultileg | 0 | Instrument | Yes |
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
SecurityType[167] = "MLEG"
CFICode should be set to the type of multileg product, such as "O" - options, "F" - Future or Swap.
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With this |
NewOrderMultileg | 0 | Instrument | No | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
SecurityType[167] = "MLEG"
CFICode should be set to the type of multileg product, such as "O" - options, "F" - Future or Swap.
|
New messages added this EP
MsgType | Name | Category | Section | Abbreviation |
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Modified messages added this EP
Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx'> where xxx is a MsgID number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.
MsgType | Name | Category | Section | Abbreviation |
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New components added this EP
Name | Category | Type | Abbreviation |
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Modified components in this EP
Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx'> where xxx is a MsgID number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.
Name | Category | Type | Abbreviation |
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