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Additional unit of measure enumerations to support trading using metric volume measurements, which are useful for energy trading. Metric volume: L for liter and kL for kiloliter. Heat energy: thm for therms (100,000 Btu) and GJ for gigajoule (1,000,000,000 joules). Update History [Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for...

Addition of two valid values for position quantity types related to expiry and exercises. On expiration day, the position quantity after the application of trade and post trade activity, but prior to the application of exercises and assignments. The exercise quantity requested that was not allowed, e.g., the exercise quantity requested that exceeded the final...

New messages to convey complete match events from an exchange to a CCP. A match event is a single matching engine transaction comprising multiple instruments (simple and complex), multiple counterparties, and multiple trade prices (outright and implied). The following new messages support submission of matched trades (including complex match events with support for implied matches)...

New value to OrdRejReason(103) to indicate that the order has generated an algorithmic risk management event. Extension submitted by the Risk Management Working Group. As sell side broker risk management systems become more comprehensive, particularly around broker provided execution algorithms, it is important to convey more information regarding algorithm generated risk management events. Update History...

Extension of input source information on Position Maintenance Reports to distinguish requests from programmable and interactive (GUI) interfaces. Update History [Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct...

Add-on to EP140. Although CFTC documentation and feedback called for separate units of measure for all prices and quantities, the working group perceived that the unit of measure for strike price and settlement price for reportable options would always be the same. On January 20, 2012, CFTC concurred that there was no known business case...

Further extension to EP105, EP128, and EP129 to support transactional flow for party detail, risk limits and entitlements. The extension covers the following: Messages to support transactions (Add, Delete, Modify) that define Party Details, e.g. lists of parties, their status, and their relationships with each other. Message to support disseminating incremental updates to Entitlements (e.g....

Extension of instrument attributes to support the industry initiative to accelerate the adoption of FIX for Fixed Income. The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of best...

Extensions to the tradable quote model to support the separate identification of quote sides by the quote issuer. New fields QuoteBidID and QuoteOfferID for the Quote and Quote Status Report messages which allows to convert the accepted quote into two orders (bid and ask)and processed independently. New component group for Quote message to support price...

Extension of quoting message flows to support the industry initiative to accelerate the adoption of FIX for Fixed Income. The Global Fixed Income Technical subcommittee has produced a set of best practices documents (4 volumes), Best Practices: FIX Message Flows and Usage for Interest Rate Swaps (IRS) and Credit Default Swaps (CDS). This set of...