The FIX Global Technical Committee (GTC) announces the addition of new Extension Packs to the FIX Latest specification, the normative specification of the FIX Protocol. The artifacts included for each of the individual Extension Packs are as follows:
- ASBUILT – clean PDF document of the implemented Gap Analysis that includes the assignment of new tags and values;
- ASBUILT with changetracks – same as ASBUILT but with changetracks showing the differences compared to the document submitted to the GTC;
- Orchestra Repository – single XML file of FIX Latest using Orchestra v1.0;
- Unified Repository – XML files of FIX Latest using Repository 2010 Edition;
- Basic Repository – XML files of FIX Latest using basic repository format;
- FIXML Schema – XSD files of FIX Latest using FIXML.
The complete list of Extension Packs is available here.
EP287 Maturity Frequency Extension
This Extension Pack extends maturity information provided for derivative instruments. It adds the capability to convey the frequency with which the contracts of a given instrument expire, e.g. weekly or monthly. Derivative contracts for options at a given strike price may be offered with various maturity dates. They may expire in regular intervals, e.g. weekly or monthly, so that there is one such contract per week or month. The granularity of the intervals between contracts may change over time but there is a minimum granularity used for the near-term contracts that does not change.
EP288 Security Risk Metrics
This Extension Pack includes support for the publication of option Greeks that provide a measure of risk of an option, factors which influence the price of an option. Options require specialized calculations and statistics in order to fully evaluate their current market state. These calculations may include Theoretical Valuations, Implied Volatilities, and other hedge statistics, such as ‘the Greeks,’ (Delta, Gamma, Vega, et al). The FIX Protocol now supports the distribution of this information, e.g. as part of data feeds.
EP289 EU/UK Post-Trade Transparency
This Extension Pack includes support for a number of requirements for equities post-trade transparency in the EU and UK that may also be useful in other jurisdictions.
- Unlimited number of concurrent trade types
- Flag to identify inter-fund transfer trades
- Flag to identify net asset value calculated trade
EP290 Standardisation of FX Reject Codes
This Extension Pack provides the standardisation of reject codes in the FIX Protocol for FX markets. The InvestmentAssociation (IA) took the initiative to propose categories to facilitate the industry’s ability to meet the requirements of the FX Global Code. This Extension Pack maps the IA’s proposed categories to existing FIX fields and values (e.g. existing reject codes) and provides new values where there had been a gap.
EP291 Allocation Timestamps
This Extension Pack provides support for timestamps related to the affirmation of an allocation based on a regulatory requirement from the SEC (amendments to Rule 204-2 under the Advisers Act) when moving from T+2 to T+1. The allocation timestamps are available on the block level and on the individual account level.