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Re: fix value for OSI Series Key
Jim Northey / The LaSalle Technology Group <>
23 Jun 2009 2:09PM ET Tayloe Draughon, GDC Co-chair had us prepare this document to assist hte industry: http://fixprotocol.org/documents/4213/FIXImplementationGuide_USOptionsSymbology_v1.pdf
Regarding using 48 for the underlying security symbol - I have not seen that used widely for US listed derivatives markets.
> And of course MaturityDay(205) will also be required to identify the
> option. Provided you are using FIX 4.2.
>
> If you are using 4.4 then you would append the maturity day to
> MaturityMonthYear giving it the format "YYYYMMDD" and not
> populate tag 205.
>
> -Greg
>
> > There will not be an enumerated value for the OSI option symbol for
> > use in tag 22. As of OSI (Feb 12) all options should be identified by
> > the 4 tags: Symbol(55), MaturityMonthYear(200), PutOrCall(201) and
> > StrikePrice(202). Please note that Symbol(55) should contain the root
> > option symbol which may be different than the underlying symbol. Tags
> > 22 and 48 are optional and will most likeley be ignored by your
> > counterparty. If you must use tags 22 and 48 for some reason, I would
> > set tag 22='8' to indicate exchange symbol and tag 48=the underlying
> > equity symbol. But as always, you should check with your
> > counterparties.
> >
> > -Greg
Re: fix value for OSI Series Key
Jim Northey / The LaSalle Technology Group 23 Jun 2009 2:09PM ET
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@FIXProtocol
