Field DateRollConvention (40922) - FIX Protocol FIX.5.0SP2 EP240
Type: String
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 instrument unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.
Added in protocol FIX.5.0SP2 (161)
Valid values
| Value | Description | Added |
|---|---|---|
| 1 | 1st day of the month | FIX.5.0SP2 (161) |
| 10 | 10th day of the month | FIX.5.0SP2 (161) |
| 11 | 11th day of the month | FIX.5.0SP2 (161) |
| 12 | 12th day of the month | FIX.5.0SP2 (161) |
| 13 | 13th day of the month | FIX.5.0SP2 (161) |
| 14 | 14th day of the month | FIX.5.0SP2 (161) |
| 15 | 15th day of the month | FIX.5.0SP2 (161) |
| 16 | 16th day of the month | FIX.5.0SP2 (161) |
| 17 | 17th day of the month | FIX.5.0SP2 (161) |
| 18 | 18th day of the month | FIX.5.0SP2 (161) |
| 19 | 19th day of the month | FIX.5.0SP2 (161) |
| 2 | 2nd day of the month | FIX.5.0SP2 (161) |
| 20 | 20th day of the month | FIX.5.0SP2 (161) |
| 21 | 21st day of the month | FIX.5.0SP2 (161) |
| 22 | 22nd day of the month | FIX.5.0SP2 (161) |
| 23 | 23rd day of the month | FIX.5.0SP2 (161) |
| 24 | 24th day of the month | FIX.5.0SP2 (161) |
| 25 | 25th day of the month | FIX.5.0SP2 (161) |
| 26 | 26th day of the month | FIX.5.0SP2 (161) |
| 27 | 27th day of the month | FIX.5.0SP2 (161) |
| 28 | 28th day of the month | FIX.5.0SP2 (161) |
| 29 | 29th day of the month | FIX.5.0SP2 (161) |
| 3 | 3rd day of the month | FIX.5.0SP2 (161) |
| 30 | 30th day of the month | FIX.5.0SP2 (161) |
| 4 | 4th day of the month | FIX.5.0SP2 (161) |
| 5 | 5th day of the month | FIX.5.0SP2 (161) |
| 6 | 6thd day of the month | FIX.5.0SP2 (161) |
| 7 | 7th day of the month | FIX.5.0SP2 (161) |
| 8 | 8th day of the month | FIX.5.0SP2 (161) |
| 9 | 9th day of the month | FIX.5.0SP2 (161) |
| EOM | The end of the month. | FIX.5.0SP2 (161) |
| FRI | Friday | FIX.5.0SP2 (161) |
| FRN | The floating rate note convention or Eurodollar convention. | FIX.5.0SP2 (161) |
| IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month. | FIX.5.0SP2 (161) |
| IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract. | FIX.5.0SP2 (161) |
| IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange. | FIX.5.0SP2 (161) |
| IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract. | FIX.5.0SP2 (161) |
| MON | Monday | FIX.5.0SP2 (161) |
| NONE | No adjustment | FIX.5.0SP2 (161) |
| SAT | Saturday | FIX.5.0SP2 (161) |
| SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates. | FIX.5.0SP2 (161) |
| SUN | Sunday | FIX.5.0SP2 (161) |
| TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates. | FIX.5.0SP2 (161) |
| THU | Thursday | FIX.5.0SP2 (161) |
| TUE | Tuesday | FIX.5.0SP2 (161) |
| WED | Wednesday | FIX.5.0SP2 (161) |