Imported from previous forum
Currently there is no riskless principal value in the LastCapacity Tag (Tag 29). While riskless principal is a value in OrderCapacity (Tag 528), would FIX consider adding a Riskless Principal value to the LastCapacity Tag? This would make sense since riskless principal describes an execution capacity e.g., it describes the manner in which the order was filled.
Regards,
Manisha
Manisha Kimmel
Executive Director
Financial Information Forum
kimmel@fif.com
Direct: +1 312 953 9228
Use OrderCapacity (528) value R - Riskless Principal
Currently there is no riskless principal value in the LastCapacity Tag
(Tag 29). While riskless principal is a value in OrderCapacity (Tag
528), would FIX consider adding a Riskless Principal value to the
LastCapacity Tag? This would make sense since riskless principal
describes an execution capacity e.g., it describes the manner in which
the order was filled.Regards, Manisha
Manisha Kimmel Executive Director Financial Information Forum
kimmel@fif.com Direct: +1 312 953 9228
Ryan,
The OrderCapacity cannot be used in the case where an order has multiple fills in different capacities.
This can happen when a block is sent from Buy side Trader to Sell Side Trader and trader creates different slices and executes them in different capacities.
i.e.
BuySide SellSide
Order Block - Buy 10,000 MSFT@mkt Order Block - Buy 10,000 MSFT@mkt
Order Slice1 - Buy 1200 MSFT
Fill11 1200@20 - Agent(LastCapacity is Agent)
Order Slice2 - Buy 1800 MSFT
Fill21 1800@20 - Cross with another client order(LastCapacity=Cross as Agent)
Order Slice3 - Buy 5000 MSFT
Fill31 5000@19 - Principal(LastCapacity=Principal or cross as principal)
Order Slice4 - Buy 2000 MSFT
Fill41 2000@20 - RisklessPrincipal(LastCapacity=?)
When each fill is reported back on the block to buy side what should be lastCapacity value on the RisklessPrincipal fill?
Thanks,
Manisha
Use OrderCapacity (528) value R - Riskless Principal
Currently there is no riskless principal value in the LastCapacity Tag
(Tag 29). While riskless principal is a value in OrderCapacity (Tag
528), would FIX consider adding a Riskless Principal value to the
LastCapacity Tag? This would make sense since riskless principal
describes an execution capacity e.g., it describes the manner in
which the order was filled.Regards, Manisha
Manisha Kimmel Executive Director Financial Information Forum
kimmel@fif.com Direct: +1 312 953 9228
(It was Scott and not Ryan providing the previous answer)
OrderCapacity is normally an input value of NewOrderSingle which is then echoed back on the ExecutionReport. In your case, do you allow a value in LastCapacity to be different from OrderCapacity? Or is the broker only allowed to use different capacities if the incoming order does not define any OrderCapacity?
Thanks,
Hanno.
Ryan,
The OrderCapacity cannot be used in the case where an order has multiple
fills in different capacities. This can happen when a block is sent from
Buy side Trader to Sell Side Trader and trader creates different slices
and executes them in different capacities.i.e.BuySide SellSide Order Block - Buy 10,000 MSFT@mkt Order Block - Buy
10,000 MSFT@mkt Order Slice1 - Buy 1200 MSFT Fill11 1200@20 -
Agent(LastCapacity is Agent) Order Slice2 - Buy 1800 MSFT Fill21
1800@20 - Cross with another client order(LastCapacity=Cross as
Agent) Order Slice3 - Buy 5000 MSFT Fill31 5000@19 -
Principal(LastCapacity=Principal or cross as principal) Order Slice4
- Buy 2000 MSFT Fill41 2000@20 - RisklessPrincipal(LastCapacity=?)When each fill is reported back on the block to buy side what should be
lastCapacity value on the RisklessPrincipal fill?Thanks, Manisha
Use OrderCapacity (528) value R - Riskless Principal
Currently there is no riskless principal value in the
LastCapacity Tag (Tag 29). While riskless principal is a value in
OrderCapacity (Tag
528), would FIX consider adding a Riskless Principal value to the
LastCapacity Tag? This would make sense since riskless principal
describes an execution capacity e.g., it describes the manner in
which the order was filled.Regards, Manisha
Manisha Kimmel Executive Director Financial Information Forum
kimmel@fif.com Direct: +1 312 953 9228
My recollection from the discussions re: Riskless Principal way back when (likely 5+ years ago) was that LastCapacity should be “Principal” (note that “or cross as principal” is not differentiated from “Principal” in your example, either). I believe the view was ultimately you are either acting as principal (non-agency) for these. Note also, that OrderCapacity replaced the field named Rule80A in older versions of the spec.
(It was Scott and not Ryan providing the previous answer)
OrderCapacity is normally an input value of NewOrderSingle which is then
echoed back on the ExecutionReport. In your case, do you allow a value
in LastCapacity to be different from OrderCapacity? Or is the broker
only allowed to use different capacities if the incoming order does not
define any OrderCapacity?Thanks, Hanno.
Ryan,
The OrderCapacity cannot be used in the case where an order has
multiple fills in different capacities. This can happen when a block
is sent from Buy side Trader to Sell Side Trader and trader creates
different slices and executes them in different capacities.i.e.BuySide SellSide Order Block - Buy 10,000 MSFT@mkt Order Block -
Buy 10,000 MSFT@mkt Order Slice1 - Buy 1200 MSFT Fill11 1200@20 -
Agent(LastCapacity is Agent) Order Slice2 - Buy 1800 MSFT Fill21
1800@20 - Cross with another client order(LastCapacity=Cross as
Agent) Order Slice3 - Buy 5000 MSFT Fill31 5000@19 -
Principal(LastCapacity=Principal or cross as principal) Order
Slice4
- Buy 2000 MSFT Fill41 2000@20 - RisklessPrincipal(LastCapacity=?)When each fill is reported back on the block to buy side what should
be lastCapacity value on the RisklessPrincipal fill?Thanks, Manisha
Use OrderCapacity (528) value R - Riskless Principal
Currently there is no riskless principal value in the LastCapacity
Tag (Tag 29). While riskless principal is a value in OrderCapacity
(Tag
528), would FIX consider adding a Riskless Principal value to the
LastCapacity Tag? This would make sense since riskless
principal describes an execution capacity e.g., it describes
the manner in which the order was filled.Regards, Manisha
Manisha Kimmel Executive Director Financial Information Forum
kimmel@fif.com Direct: +1 312 953 9228
I have a client that is asking for us to set Tag29 to "3 - Cross as Principal".
We trade for them on a Riskless Principal basis.
Is anyone receiving similar requests and is option 3 the correct value for Riskless Principal ?
Steve - our view on the U.S. buyside execution venue subcommittee is that a value of "3" in tag 29 should be used to represent riskless principle. We defined the use of value 3 in tag 29 as follows in the Execution Venue Reporting Best Practices document that the working group produced: "An execution between two clients of the executing broker-dealer where the broker is acting as a principal solely for the purpose of effecting the execution between the clients, including when the broker is acting as principal to collect consideration for the transaction by printing one or both clients at net prices. This includes executions performed on public markets in riskless principal capacity. It also includes executions taking place within the broker-dealer's electronic matching engine in a principal capacity (e.g. client order vs. a house order)."
Regards,
Brian
It is always worth checking FIXwiki first. That is where we try and capture extra information and user input about fields - often captured from Q&A postings like this one.
Going to http://fixwiki.org/fixwiki/LastCapacity you would be referred to the Best Practice Document mentioned by Brian. Clicking on the value 3 would take you to http://fixwiki.org/fixwiki/LastCapacity/3_CrossAsPrincipal where the specific quote from that document quoted by Brian appears.
Please let me know if you think there is anything new from this conversation that could be usefully added to the FIXwiki notes.
It is always worth checking FIXwiki first. That is where we try and capture extra information and user input about fields - often captured from Q&A postings like this one.
Going to http://fixwiki.org/fixwiki/LastCapacity you would be referred to the Best Practice Document mentioned by Brian. Clicking on the value 3 would take you to http://fixwiki.org/fixwiki/LastCapacity/3_CrossAsPrincipal where the specific quote from that document relating to Riskless Principal quoted by Brian appears.
Please let me know if you think there is anything new from this conversation that could be usefully added to the FIXwiki notes.
Sorry for the multiple post - the FIX website hung on me and I wasn't sure whether the post had got through. (Does anybody else have this problem with the new website?)
Brian, thank you for your response and John, thank you for your comments.
Can I just clarify one last thing. The workflow that I am referring to is : receive an order from our buy-side client and fill the order by trading on the other side with a market counterparty (not another buy-side client).
Does value "3" still apply in this case ?
Sorry for the multiple post - the FIX website hung on me and I wasn't sure whether the post had got through. (Does anybody else have this problem with the new website?)