question

Upvotes
1 0 1 2

Cash RFQ FIX: no allocation direction for multi-allocation spot request

Hi

Seems like there is an issue with multi-allocation spot request:

1660902703454.png

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


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Upvotes
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The similar happened with multi-allocation swap:

1660910517487.png

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|


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Upvotes
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Hi Yevheniia Kharakozova,

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


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