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Fixed Income Runs on FIX: Update
18th April 2012 Lisa Taikitsadaporn and Sassan Danesh of the FPL Global Fixed Income Committee (GFIC) and the Fixed Income Connectivity Working Group (FICWG) share the latest in the effort to standardise connectivity for FI trading.
As the move towards transparency in the OTC markets gathers pace, FPL's Global Fixed Income Committee (GFIC) and the Fixed Income Connectivity Working Group (FICWG), which is made up of major sell-side banks, are continuing to work towards standardised connectivity between the sell-side and the execution venues through the use of the FIX Protocol.
In the swaps space, the work to extend best practices recommendations to users of the FIX 4.4 Protocol is nearing completion.
In 2012, GFIC and FICWG extended their collaborative efforts to cover cash bond trading. An additional set of recommended best practices for using FIX for standardised connectivity between banks and trading venues is being produced under GFIC guidance.
Swaps: FIX 4.4 Back-Port
With multiple execution venues running version 4.4 of the FIX Protocol, there has been demand for a document which explains how the best practices recommendations should be implemented in a FIX 4.4 environment. The working group has therefore examined how to back-port certain messages, components, fields and enumerations from version 5.0 SP2 and after to allow compliance with the best practices for venues currently running the older version of the protocol.
The FIX 4.4 back-port recommendation has been incorporated into Volume 1 of the "Best Practices for CDS and IRS Electronic Trading" document set and is currently at the final stage of ratification by the GFIC. The current documents are available here: http://fixprotocol.org/documents/6515/Best%20Practices%20for%20CDS%20and%20IRS%20Electronic%20Trading%20Rev.%203.06.pdf.zip
Bonds: Best Practices Documentation
European Government Bonds
Japanese Government Bonds
Supranationals, Agencies and Sovereigns
Australian Government Bonds
U.S. Corporate Bonds
The working group is currently reviewing the quoting and negotiation model and has begun to identify the different workflows needed for cash bond trading. We encourage anyone who is an FPL member and has an interest in this to get involved with the GFIC and GFIC Technical Sub-Committee, the committees where this work is being discussed.