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ID Category Severity Reproducibility Date Submitted Last Update
0000995 [FpML] Coordination minor always 2009-11-19 09:02 2012-06-15 14:53
Reporter matthew View Status public  
Assigned To mgratacos
Priority normal Resolution fixed  
Status closed Target Version Product Version 4.7 First Working Draft 2009-09-23 (build 1)
Summary 0000995: Documentation for Future Multiplier
Description The definition of //element(*, Future)/multiplier in the documentation is uncler.

I have seen it confused with period Multiplier, price Multipliers and even when used correctly to multiply contract numbers, the calculation isn't always correct.

Element multiplier IS-A xsd:positiveInteger which is documented as "Specifies the contract multiplier that can be associated with the number of units".

The data type is correct, but the description is unclear. The purpose of a multiplier is to add leverage - as one example, take the contract specification for the E-mini S&P 500 on the CME, where the multiplier is 50 times the synthetic ( futures price ) of the Index

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html

Contract Size $50 x E-mini S&P 500 futures price

Please see attached example of Dollar Future on the BMF ( Brazil ) exchange which uses the public extensions to FpML Andrew Parry wrote, so you have for example <ext:numberOfContracts> as a natural way of representing the scale of the transaction.

NB - Andrew Parry contributed to the analysis of this.

Additional Information
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XML Tool Type
Attached Files xml file icon FutureContract.RequestTradeConfirmation.xml [^] (2,561 bytes) 2009-11-19 09:03

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-  Notes
(0002847)
mgratacos (administrator)
2011-09-28 16:07

Proposed new documentation for the multiplier element:

The multiplier is the minimum number of the underlying - index or stock - that a participant has to trade while taking a position in the Future contract. The purpose of the multiplier is to inflate the value of the contract to add leverage to the trade. The multiplier for the Dow is 10, for the Nasdaq it is 100 and it is 250 for the S&P.
(0002941)
mgratacos (administrator)
2012-06-15 11:33

This has been updated for 4.x and 5.x versions

- Issue History
Date Modified Username Field Change
2009-11-19 09:02 matthew New Issue
2009-11-19 09:02 matthew Status new => assigned
2009-11-19 09:02 matthew Assigned To => mgratacos
2009-11-19 09:03 matthew File Added: FutureContract.RequestTradeConfirmation.xml
2009-12-08 04:43 BUTTER Issue Monitored: BUTTER
2011-09-28 16:07 mgratacos Note Added: 0002847
2012-06-15 11:33 mgratacos Note Added: 0002941
2012-06-15 14:53 mgratacos Status assigned => closed
2012-06-15 14:53 mgratacos Resolution open => fixed