LegPriceType <686> field
FIX 5.0 SP2 EP273
The price type of the LegBidPx <681> and/or LegOfferPx <684>.
See PriceType <423> for description and valid values
- 1 = Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
- 2 = Per unit (i.e. per share or contract)
- 3 = Fixed amount (absolute value)
- 4 = Discount - percentage points below par
- 5 = Premium - percentage points over par
6 = Spread (basis points spread)
Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.
- 7 = TED Price
- 8 = TED Yield
- 9 = Yield
- 10 = Fixed cabinet trade price (primarily for listed futures and options)
- 11 = Variable cabinet trade price (primarily for listed futures and options)
12 = Price spread
Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools
- 13 = Product ticks in halves
- 14 = Product ticks in fourths
- 15 = Product ticks in eighths
- 16 = Product ticks in sixteenths
- 17 = Product ticks in thirty-seconds
- 18 = Product ticks in sixty-fourths
- 19 = Product ticks in one-twenty-eighths
- 20 = Normal rate representation (e.g. FX rate)
- 21 = Inverse rate representation (e.g. FX rate)
22 = Basis points
When the price is not spread based.
23 = Up front points
Used specifically for CDS pricing.
24 = Interest rate
When the price is an interest rate. For example, used with benchmark reference rate.
- 25 = Percentage of notional