Robert –
The scenario you describe sounds like you want to model a
prospective trade, not an actual (executed) trade. While I’m sympathetic to
being able to represent this, is seems to me to be a slightly different animal
than an executed trade. For example, perhaps the parties should be optional in
the prospective trade.
Perhaps we should consider this case explicitly as part of the
pre-trade representation.
From: bpwg@xxxxxxxx [mailto:bpwg@xxxxxxxx] On
Behalf Of Robert Stowsky
Sent: Monday, March 24, 2008 9:11 AM
To: bpwg@xxxxxxxx
Subject: Re: FpML-BP Call for comments: trade execution messages
In deprecating the TradeCreated and its related messages did
we decide that we were no longer going to support A2A processes at all?
I have no problem with the TradeExecutionNotification, however it does
not apply to the internal business process that the TradeCreated message was
fulfilling for some users. In the internal scenario, a strategist or
portfolio manager creates a trade in a modeling system to be executed by the
trading staff. The modeling system generates a TradeCreated message which
disseminates the trade details to other systems such as security master,
compliance and trading. This message will have a generic PartyA or PartyB to
represent the yet to be determined counterparty. Following execution, the
trader enters the counterparty and allocations for the trade into the trading
system which creates a second TradeCreated message that includes the
allocations. I could see the TradeExecutionNotification being used at this
point in the process. Currently, the TradeCreated message with allocations is
sent to the middle office where each allocation is then used to generate a
ContractCreated message. If we are supporting the A2A processes, I would
like to see a new message to support the internal process before we remove the
TradeCreated and its related messages.
Regards,
Robert
matthew.d.rawlings@xxxxxxxxxxxx
wrote:
Pools of
executions to allocate is another concept that happens in the market, but
doesn't yet have support in FpML.
Matthew
Rawlings
+44 7917 596 827
Up to this, the concept of an underlying
order that could be filled with multiple fills hasn't been raised as a
requirement for the OTC derivatives that we're trying to represent in
FpML. The intention here was just to be able to represent an execution of
a trade, for instance on an electronic trading platform or an interdealer
broker. We currently have no concept in FpML that the execution might be
filling a previous order, since we don't currently represent orders in any way
in FpML.
Having said this, it's an area that should probably be covered in the
pre-trade space, if we ever get to enhancing the FpML pre-trade business
process model. A while back I'd identified a number of items that we
could potentially cover, including orders (of a variety of flavors), RFQ
counter-offers, advertisements/indications of interest, etc.
At the moment the greatest interest for pre-trade in FpML seems to be
coming from the FIX-FpML working group, and from what I can gather the focus is
currently more on enhancing FIX to better cover OTC derivatives than enhancing
FpML to better address pretrade.
- Brian
-----Original Message-----
From: bpwg@xxxxxxxx [mailto:bpwg@xxxxxxxx] On Behalf Of Michael
Alexander
Sent: Monday, March 17, 2008 10:46 AM
To: bpwg@xxxxxxxx
Subject: Re: FpML-BP Call for comments: trade execution messages
excuse my ignorance to any prior discussions on this but I have a
comment on the TradeExecutionNotification message: a notion on the
state of the underlying order might facilitate processing - that is if
the order the trade belongs to has been fully filled or is still open.
On Mon, Mar 17, 2008 at 1:10 PM, Marc Gratacos <MGratacos@xxxxxxxx> wrote:
>
>
>
>
> Please, let me know if there are any comments regarding this proposal
before
> next week's Monday 2008-03-24. Otherwise we'll distribute it to the
> Coordination Committee for final approval.
>
>
>
> ________________________________
>
>
> From: bpwg@xxxxxxxx [mailto:bpwg@xxxxxxxx] On Behalf Of Marc
Gratacos
> Sent: Monday, March 10, 2008 9:27 AM
> To: bpwg@xxxxxxxx
> Subject: FpML-BP teleconference 2008-03-12
> Importance: High
>
>
>
> The next BPWG meeting will be Wednesday March 12
>
> Please note that due to the daylight saving time change in the US the
times
> for the meeting are:
>
> 12:00 to 13:00 New York Time
> 16:00 to 17:00 London Time
>
>
>
> Agenda
>
>
>
> 1. Trade Execution Messages (See updated proposal)
>
> 2. Settlement Information Notification (I'll send a proposal before
the
> call)
>
> 3. AOB
>
>
>
>
>
> Call details:
>
>
>
> US: 1 888 481 3032
>
> UK: 0 800 904 7961
>
> Intl: 1 617 801 9600
>
> Code: 8682747
>
>
>
>
>
> Kind Regards,
>
> -Marc
>
>
>
>
>
>
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Best Regards,
Dr. Michael Alexander
WU Wien Dept. of Information Systems
malexand@xxxxxxxxxxxxx /
+43.1.31336.4467
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