EP021 – FX FIX Gap Analysis

Defines the Phase 1 FIX workflow and field model for FX price discovery, orders, executions and limited trade capture. It distinguishes one-off quotes from streaming prices, using Quote messages for short-lived RFQs and Market Data messages for subscriptions. It models FX swaps through multileg structures, adds standard tenor expressions, dealt- and settlement-currency guidance, spot and forward-point fields, contra-currency quantities and aggressor indication. It also begins deprecating the older “number 2” swap fields in favour of leg-based representation.