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EBS Market provides the Trade Session List for trade and value date processing. The Trading Session group (tag 386-NoTradingSessions) in the Security Definition (35=d) message on Sunday will list all valid trade dates (75-TradeDate) and corresponding value dates (64-SettlDate) for that calendar week. The Security Definition trading session list supports mid-week updates to allow for unscheduled changes or updates to the list and republishes the Security Definition (35=d) message. Mid-week Security Definition updates are denoted via tag 980-SecurityUpdateAction=M. The trade date roll occurs when the the Security Status (35=f) message denotes 327-HaltReason=7. Client systems should reset statistics when the trade date roll Security Status (35=f) message is received. For eFix instruments, the instrument is not available for trading if the the trade date is unavailable.

Group Security Status Message (35=f) Tag Usage

The following table outlines tag usage for a group level (tag 1151-SecurityGroup) security status update for a trade date roll. 

Tag

Trade Date Roll

(while Open)

60-TransactTime

X

75-TradeDate

X

1151-SecurityGroup

X

6937-Asset

-

48-SecurityID

-

326-SecurityTradingStatus

17= Ready to trade

327-HaltReason

7 = Trade Date Roll

1174-SecurityTradingEvent

4 (reset stats)

MDP FIX Syntax for Security Definition (35=d) Trade Session List Processing

The following trade list processing values map to the MDInstrumentDefinitionFX63 template.

TagFIX NameTypeDescription
Repeating Group
386NoTradingSessionsNuminGroupNumber of scheduled Trading Dates
75TradeDateLocalMktDateTrade Date
64SettlDateLocalMktDateSettle (Value) Date corresponding to Trade Date
541MaturityDateLocalMktDateFor Spot instruments will not contain the value. For NDFs, the fixing (valuation) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates
455SecurityAltIDString12ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date
456SecurityAltIDSourceSecurityAltIDSourceISINIdentifies class or source of the SecurityAltID (455) value

Trade and Value Date Processing Example

In this example, there is a Trading Session List update Mid-Week for the current trade date list. On Sunday, May 31, 2020, a trading session list has been published for EUR/USD in a Security Definition (35=d) message with the following information:

TagFIX NameValueNotes
Repeating Group
386NoTradingSessions5
75TradeDateJune 01 2020 (Monday)
64SettlDate (Value Date)June 03 2020 (Wednesday)
75TradeDateJune 02 2020 (Tuesday)
64SettlDate (Value Date)

June 04 2020 (Thursday)


75TradeDateJune 03 2020 (Wednesday)
64SettlDate (Value Date)June 05 2020 (Friday)
75TradeDateJune 04 2020 (Thursday)
64SettlDate (Value Date)June 08 2020 (Monday)
75TradeDateJune 05 2020 (Friday)
64SettlDate (Value Date)June 09 2020 (Tuesday)


Next, on Monday, June 01, 2020 at 1PM CST a holiday is declared for a EUR/USD on Wednesday (June 03. 2020). Consequently, the EUR/USD trade session list is republished (tag 980-SecurityUpdateAction=M) with the following information:

TagFIX NameValueNotes
Repeating Group
386NoTradingSessions5
75TradeDateJune 01 2020 (Monday)
64SettlDate (Value Date)June 04 2020 (Thursday)Updated from Wednesday to Thursday.
75TradeDateJune 02 2020 (Tuesday)
64SettlDate (Value Date)

June 05 2020 (Friday)

Updated from Thursday to Friday.
75TradeDateJune 03 2020 (Wednesday)
64SettlDate (Value Date)June 05 2020 (Friday)
75TradeDateJune 04 2020 (Thursday)
64SettlDate (Value Date)June 08 2020 (Monday)
75TradeDateJune 05 2020 (Friday)
64SettlDate (Value Date)June 09 2020 (Tuesday)


Consequently, after the Security Definition (35=d) message value date update, the following is true:

  • For Trade Date Monday, June 1:
    • All trades occurring before 1PM have a Value Date of Wednesday, June 3.

    • All trades occurring at/after 1PM have a Value Date of Thursday, June 4.

  • For Trade Date Tuesday, June 2, all trades have a Value Date of Friday, June 5.

  • For Trade Date Wednesday, June 3, all trades have a Value Date of Friday, June 5.

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