Message and record fields

This page provides general information on fields used in trade model messages and blotter records.

For information on fields in a specific message or record, please see the specifications at the foot of this page.

Trade legs and instruments

Prefixes are used to denote trade legs and instruments, such as forwards and swaps:

  • The names of fields that relate to a trade leg are prefixed by L<leg number>_. Leg numbers start at '1' and a trade always has at least one leg. For example, L1_Amount represents the amount on the first leg of a trade.

  • Some fields relate to a trade as a whole rather than any individual leg, and these fields have no leg prefix. For example, CurrencyPair and TradingType.

  • The names of fields that relate only to forwards begin with Fwd. For example, L1_FwdBidPoints.

  • The names of fields that relate only to swaps begin with Swap. For example, SwapBidPoints.

Rates, points, and pips

Fields for rates, points, and pips follow the conventions below:

  • The names of fields that contain an FX rate include the term Rate. For example, SpotBidRate. A rate is a price for a unit of the base currency expressed in units of the quote currency. For example, a rate of 1.52312 for GBPUSD is the price of GBP 1 expressed in USD (USD 1.52312).

  • The names of fields that contain FX points include the term Points. For example, L1_FwdBidPoints. Points are an adjustment to a rate expressed in units of the quote currency (the same units as the rate). For example, a difference of 1 pip between two GBPUSD rates would be expressed as a difference of 0.0001 points.

    To calculate a forward rate for a currency pair from a spot rate and forward points, add the forward points to the spot rate. For example: SpotBidRate + L1_FwdBidPoints.

  • The digit-width and position of pips in a currency pair is described by two fields:

    • NumberOfPips: the width of the pips in digits. The width does not include fractional pips. For the majority of currency pairs, NumberOfPips is 2.

    • DigitsBeforePips: the number of digits between the pips and the decimal point. For the majority of currency pairs, DigitsBeforePips is 2. The value can be negative to express positions that are partly or wholly to the left of the decimal point (see examples below).

      PIP field examples
      NumberOfPips DigitsBeforePips Example