Robert Mitchell
19 April 2017 3:26pm
In case of an aggregated market data subscription, if we have a mix of algo and non-algo orders at a given price level, to what value should AlgorithmicTradeIndicator (2667) be set? Seems a value of “Mixed” might be useful here.
Hanno Klein
19 April 2017 3:48pm
No, the field only applies to trades, it does not apply to orders/quotes, aggregated or not. The definition is clear, see FIXimate: “In the context of ESMA MiFID II, a trade has to be flagged as “algorithmic” if at least one of the matched orders was submitted by a trading algorithm. See Directive 2014/65/EU Article 4(1)(39).”
Robert Mitchell
19 April 2017 4:03pm
Thanks Hanno!