Hi
35=AB for swap contains incorrect prices:
8=FIX.4.4|9=998|35=AB|...|11=140745187-OTD|131=140745187|31984=0|31985=0|146=1|55=EUR/USD|31022=Y|31994=5|31995=3|30379=7|30381=2|30382=2|167=FXSWAP|38=0.00|15=EUR|40=D|9240=N|25044=LEIACCT1012345678900|31345=N|31344=DEAL|...|
555=2|
654=1|600=EUR/USD|609=FXSPOT|687=5555.00|556=EUR|30255=635400MQZIPRVPDDZK76140745187L0|30442=N|624=1|588=20220831|6215=SPOT|566=1.009790|30262=1.00979|30263=0.000|
670=1|
672=0|671=ACCT1|9252=635400MQZIPRVPDDZK76140745187L0A0|9255=LEIACCT1012345678900|30462=N|673=5555.00|9212=1|1367=EUR|
654=2|600=EUR/USD|609=FXFWD|687=5555.00|556=EUR|30255=635400MQZIPRVPDDZK76140745187L1|30442=N|624=2|588=20220907|6215=1W|566=1.009865|30262=1.01121|30263=-13.450|
670=1|
672=0|671=ACCT1|9252=635400MQZIPRVPDDZK76140745187L1A0|9255=LEIACCT1012345678900|30462=N|673=5555.00|9212=2|1367=EUR|
117=01234678901234567891001XAA__DAAAAAA|60=20220829-09:06:25.742|10=176|
This order refers to the quote:
8=FIXT.1.1|9=00481|35=S|...|131=140745187|117=01234678901234567891001XAA__DAAAAAA|146=1|55=EUR/USD|31022=Y|167=FXSWAP|15=EUR|40=D|
555=2|
654=1|600=EUR/USD|609=FXSPOT|687=5555|556=EUR|588=20220831|6215=SPOT|30386=1.01121|1067=0.000|30387=1.00979|1068=0.000|
670=1|672=0|671=ACCT1|673=5555|
654=2|600=EUR/USD|609=FXFWD|687=5555|556=EUR|588=20220907|6215=1W|30386=1.01121|1067=-13.450|30387=1.00979|1068=27.557|
670=1|672=0|671=ACCT1|673=5555|
10=234|
Order side is Sell, quote request side is undisclosed.
Bid quote (according to the order side) is based on BidSpotRate (value of tag 30386 from 35=S message)
Leg0 all-in price is bidSpotRate + offer fwd points Leg0: 30386 value + 1068 value = 1.01121 + 0 = 1.01121
Leg1 all-in is BidSpotRate + bid fwd points Leg1: 30386 value + 1067 value = 1.01121 + -(0.0013450) = 1,009865
Leg1 value in tag 566 is correct, but Leg0 value is wrong and according to what I see in tag 30262=1.00979 OfferSpotRate (tag 30387 from 35=S) was used for calculation on your side.
If we take the example from the Quick Start Guide Chapter 6 example for swap we see that 35=S looks similar to what I sent, meaning that there is no swap in bid and offer spot rates for near and far leg, tags 30386 have the same values for near and far leg as well as values for tag 303087
Could you please check that?
Thanks
