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

TagFieldNameAbbrNameTypeDescPattern
1377MultilegModelMlegModelintSpecifies the type of multileg order.
1378MultilegPriceMethodMlegPxMethintCode to represent how the multileg price is to be interpreted when applied to the legs. (See Volume : "Glossary" for further value definitions)
1379LegVolatilityLegVolatilityfloatSpecifies the volatility of an instrument leg.
1380DividendYieldDividendYieldPercentageThe continuously-compounded annualized dividend yield of the underlying(s) of an option.
1381LegDividendYieldLegDividendYieldPercentageRefer to definition for DividendYield(1380).
1382CurrencyRatioCurrencyRatiofloatSpecifies 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
1383LegCurrencyRatioLegCurrencyRatiofloatSpecifies 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
1384LegExecInstLegExecInstMultipleCharValueRefer 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.

TagFieldNameAbbrNameTypeDescPattern

New Enums added in this extension pack

TagNew EnumsGroup
18r - Execute as delta neutral using volatility provided
18s - Execute as duration neutral
18t - Execute as FX neutral
13770 - Predefined Multileg Security
13771 - User-defined Multleg Security
13772 - User-defined, Non-Securitized, Multileg
13780 - Net Price
13781 - Reversed Net Price
13782 - Yield Difference
13783 - Individual
13784 - Contract Weighted Average Price
13785 - Multiplied Price

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.

TagNew EnumsGroup

New message contents in messages and components

NameIndTagReqdDescription
ExecutionReport01380No
NewOrderMultileg01377No
NewOrderMultileg01378No
NewOrderMultileg01190No
MultilegOrderCancelReplace01377No
MultilegOrderCancelReplace01378No
MultilegOrderCancelReplace01190No
TradeCaptureReport01188No
TradeCaptureReport01380No
TradeCaptureReport01190No
TradeCaptureReport01382No
InstrmtLegExecGrp11379No
InstrmtLegExecGrp11381No
InstrmtLegExecGrp11383No
InstrmtLegExecGrp11384No
LegOrdGrp11379No
LegOrdGrp11381No
LegOrdGrp11383No
LegOrdGrp11384No
TrdInstrmtLegGrp11379No
TrdInstrmtLegGrp11381No
TrdInstrmtLegGrp11383No
TrdInstrmtLegGrp11384No
BaseTradingRules01377NoUsed 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.
BaseTradingRules01378NoUsed for multileg security only. Defines the method used when applying the multileg price to the legs.
BaseTradingRules0423NoDefines 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.

NameIndTagReqdDescription
Replace this, test is MsgID = 62 and Position = 39
MultilegOrderCancelReplace0InstrumentYes 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.
With this
MultilegOrderCancelReplace0InstrumentNoInsert 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.
Replace this, test is MsgID = 61 and Position = 36
NewOrderMultileg0InstrumentYes 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.
With this
NewOrderMultileg0InstrumentNoInsert 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

MsgTypeNameCategorySectionAbbreviation

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.

MsgTypeNameCategorySectionAbbreviation

New components added this EP

NameCategoryTypeAbbreviation

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.

NameCategoryTypeAbbreviation