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I’ve updated these with feedback
from last week’s BP WG meeting. The main change was to add an optional “requestedPositions”
element. This can either include a list of position IDs, or it can
include a queryPortfolio. The query portfolio was developed by the PRWG in
FpML 4.1 and allows a set of query parameters to be defined, e.g. trade date =
xxxx, floating rate index = yyy, etc. The intention is to allow the
requester to optionally narrow down the request to specify which positions are
required. In the attached schema, don’t pay
too much attention to the request portfolio message in the reconciliation
schema - it’s just roughed in, but some of the dependencies aren’t
satisfied. The idea is that it would be very similar to the request
positions message. Comments welcome. Brian Lynn, CTO Global Electronic Markets, http://global-emarkets.com High-speed FpML matching, reconciliation,
and validation: From: bpwg@xxxxxxxx
[mailto:bpwg@xxxxxxxx] On Behalf Of Brian
Lynn I had an action from the BPWG to define a message or
messages for requesting a position report or a portfolio definition. I’ve ultimately decided that a very simple message
might be sufficient in each case, simply listing the as-of date requested and
the portfolio name or data set name. We could potentially refine this
with additional information, e.g: -
specifying which types of data
(trade economics, valuations, etc.) are requested -
specifying which positions to report
on However, I felt that perhaps keeping it simple made more
sense, at least to start. I’ve attached diagrams for each proposed message,
together with the schemas that contain them. The version of the
reconciliation schema that I started from is slightly out of date, but should
be enough to get the idea. Comments welcome. Brian Lynn, CTO Global Electronic Markets, http://global-emarkets.com High-speed FpML matching, reconciliation, and validation: |
Attachment:
RequestPositionReport.jpg
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Attachment:
QueryPortfolio.jpg
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Attachment:
RequestPortfolio.jpg
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fpml-reconciliation-4-2.xsd
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Attachment:
fpml-reporting-4-2.xsd
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