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FIXtags

FIX TAG 40965

UnderlyingDateRollConvention

StringAdded FIX.5.0SP2 · EP161

Definition

The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.

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Differences between the selected source snapshots, including wording and errata; not a migration guide.

FIX 5.0 SP2 FIX Latest · EP309

This tag is not present in the FIX 5.0 SP2 source. There is no definition or value list to compare.

Values 46

ValueMeaning
1

1st day of the month

2

2nd day of the month

3

3rd day of the month

4

4th day of the month

5

5th day of the month

6

6thd day of the month

7

7th day of the month

8

8th day of the month

9

9th day of the month

10

10th day of the month

11

11th day of the month

12

12th day of the month

13

13th day of the month

14

14th day of the month

15

15th day of the month

16

16th day of the month

17

17th day of the month

18

18th day of the month

19

19th day of the month

20

20th day of the month

21

21st day of the month

22

22nd day of the month

23

23rd day of the month

24

24th day of the month

25

25th day of the month

26

26th day of the month

27

27th day of the month

28

28th day of the month

29

29th day of the month

30

30th day of the month

EOM

The end of the month.

Additional detail from the official source

Use EOM for 31st day of the month.

FRN

The floating rate note convention or Eurodollar convention.

IMM

The International Money Market settlement date, i.e. the 3rd Wednesday of the month.

IMMCAD

The last trading day/expiration day of the Canadian Derivatives Exchange.

IMMAUD

The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.

IMMNZD

The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.

SFE

The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.

NONE

No adjustment

TBILL

The 13-week and 26-week U.S. Treasury Bill auction dates.

MON

Monday

TUE

Tuesday

WED

Wednesday

THU

Thursday

FRI

Friday

SAT

Saturday

SUN

Sunday

About the String data type

Alpha-numeric free format strings, can include any character or punctuation except the delimiter. All String fields are case sensitive (i.e. morstatt != Morstatt).

Used in messages 77

Includes nested components and repeating groups. Open a location to see its surrounding requirements.