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Re: fix value for OSI Series Key
Greg Malatestinic / Jordan & Jordan <>
24 Jun 2009 12:09PM ET You are right, Jim. My source for the tag 48 statement was from an out of date OSI document published by one of the options exchanges. I just checked with them and they say they will ignore tag 48.
-Greg
> 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
Greg Malatestinic / Jordan & Jordan 24 Jun 2009 12:09PM ET
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