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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1188 | Volatility | Vol | float | Annualized volatility for option model calculations | |
1189 | TimeToExpiration | TmToExp | float | Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year. | |
1190 | RiskFreeRate | RFR | float | Interest rate. Usually some form of short term rate. | |
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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Replace this, test is Tag = 811 |
811 | PriceDelta | PxDelta | float |
Delta calculated from theoretical price
| |
With this |
811 | PriceDelta | PxDelta | float | The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.
This value is normally between -1.0 and 1.0. | |
New Enums added in this extension pack
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 | 1188 | No | |
ExecutionReport | 0 | 1189 | No | |
ExecutionReport | 0 | 1190 | No | |
ExecutionReport | 0 | 811 | No | |
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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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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