Cash RFQ FIX: no allocation direction for multi-allocation spot request
Hi
Seems like there is an issue with multi-allocation spot request:
net side is Buy, and second allocation has opposite direction to the net
FIX request is:
8=FIX.4.4|9=772|35=R|49=...|56=...|34=36|52=20220819-09:31:49.886|131=137452192|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXSPOT|31992=2|9234=N|1913=1|15=EUR|9240=N|453=3|...|
555=1|
654=1|687=5000.00|556=EUR|588=20220823|675=EUR|6215=SPOT|30255=5493004U2OZSNOP2ML97137452192L0|30463=N|600=EUR/USD|609=FXSPOT|
670=3|
672=0|671=RFQ1|9252=5493004U2OZSNOP2ML97137452192L0A0|9255=LEIACCT1012345678900|673=10000.00|1367=EUR|
672=1|671=RFQ2|9252=5493004U2OZSNOP2ML97137452192L0A1|9255=LEIACCT1012345678900|673=20000.00|1367=EUR|
672=2|671=RFQ3|9252=5493004U2OZSNOP2ML97137452192L0A2|9255=LEIACCT1012345678900|673=15000.00|1367=EUR|
60=20220819-09:31:49.876|10=148|
And there are no tags like 9212 or 30473 to determine the direction of the allocation
Could you please advise how to deal with allocations directions without mentioned tags?
Thanks
Answers
-
The similar happened with multi-allocation swap:
8=FIX.4.4|9=1106|35=R|49=...|56=...|34=16|52=20220819-11:29:17.554|131=137497930|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXSWAP|31992=2|9234=N|1913=1|38=0.00|15=EUR|9240=N|25044=LEIACCT1012345678900|31345=N|31344=DEAL|453=3|...|
555=2|
654=1|687=10000.00|556=EUR|588=20220823|675=EUR|6215=SPOT|30255=635400MQZIPRVPDDZK76137497930L0|30442=N|30463=N|600=EUR/USD|609=FXSPOT|
670=2|
672=0|671=RFQ1|9252=635400MQZIPRVPDDZK76137497930L0A0|9255=LEIACCT1012345678900|30462=N|673=20000.00|1367=EUR|
672=1|671=RFQ2|9252=635400MQZIPRVPDDZK76137497930L0A1|9255=LEIACCT1012345678900|30462=N|673=30000.00|1367=EUR|
654=2|687=10000.00|556=EUR|588=20220923|675=EUR|6215=1M|30255=635400MQZIPRVPDDZK76137497930L1|30442=N|30463=N|600=EUR/USD|609=FXFWD|
670=2|
672=0|671=RFQ1|9252=635400MQZIPRVPDDZK76137497930L1A0|9255=LEIACCT1012345678900|30462=N|673=20000.00|1367=EUR|
672=1|671=RFQ2|9252=635400MQZIPRVPDDZK76137497930L1A1|9255=LEIACCT1012345678900|30462=N|673=30000.00|1367=EUR|
60=20220819-11:29:17.541|10=107|
0 -
The tags, such as 9212 or 30473, will not be necessary in this case. As pair EUR/USD we're buying USD with our EUR, or, if looking from other side - we're SELLING our EUR for USD , it will already deal with allocation directions.
Please contact CashRFQFIX@lseg.com know if further clarification is need.Kind regards,
James
0
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