Best Execution Venue Reporting Publication



I would like to ask the trading venue community how they envisage their best execution report will look like? will it be one huge file that users will have to download and search through manually or will there be a search function allowing a user to search for a particular instrument on a particular day?
Kind Regards

osmo timonen
22 February 2017 2:16pm
One solution that is being implemented is to provide one huge file. Searh functions to be added later depending on where the market convention goes.

Philip Westpfel
22 February 2017 2:23pm
With regards to this RTS 28 reporting, what are the views from folks on the aggressive & passive fields being completed by Buy Side firms please? I have heard that this is something that is only populated by the Sell Side as at present this information is passed onto the Buy side

osmo timonen
22 February 2017 2:32pm
The FIX Trading community document for best practices regarding RTS 28 reporting has provided a good analysis of the different RTS28 scenarios and reporting obligations.
It would be excellent if one could get a regulatory argument for not using the aggressive/passive flag for buy side. The current reasoning says that buy-side does not need to report aggressive/passive when using brokers goes. The argument is a bit vague: not needed because buy side cannot affect if the trades crosses the spread.

Soumya Mohanty
1 March 2017 10:10am
Hi All ,
I am sorry if it is in the wrong discussion group but wanted to verify are we setting up any guide line to add extra values to tag 851 (Last liquidity Indicator) as we are getting many out of range values which are being told that due to the oncoming mifid regulation.
Ex:- 851=5/6/7/8/9/X/A/B/M/N etc.
Please advise.

Irina Sonich-Bright
1 March 2017 10:33am
Hello Soumya, re tag 851
First of all a disclaimer that I only speak for the EU Equities. We have already announced an extension of tag 851 values to 8 and 9 in Aug 2015 to represent Conditional order executions:
As for the rest, the common practice at the moment is to map venue native indicators to the 1-4 values. Are there any other gaps we need to be aware of? If yes, will appreciate your input - please send out the list of gaps and we will review.

Hanno Klein
1 March 2017 1:07pm
Hi Soumya,
tag 851 (LastLiquidityIndicator) has a data type of integer. The list of values you show above (5/6/7/8/9/X/A/B/M/N etc.) should technically not be possible and are not permitted. They are not part of the official standard which currently includes values 1-4 (see
The guideline referenced by Irina also states that values 8 and 9 “not part of the official value set for this tag”. Only a formal Gap Analysis can extend the range of valid values. This would then probably include values 8 and 9. Normally, guidelines go hand-in-hand with Gap Analysis documents whenever gaps are identified.

Soumya Mohanty
2 March 2017 7:03am
Thank you Irina & Hanno for your valuable inputs . Yes do understand that these are not yet part of specification and most of the out of range values are from Fidessa (as told by sell side) so wanted to cross verify and try to see if I can provide my inputs for any list of gaps.
I will check on this and will get back to you .
One more question I have which is not relevant to this but not sure where to post or how to start a new discussion thread , so putting here (Apologize for the inconvenience )
Question:- How to ask let the sell side know these values for an order
A Arbitrage
D Directed
I Interfund Transfer
O Other
P Principal
S Services
U Underwriting
X Cross Trade
Z Research or Execution
Thanks & once again sorry for putting it in wrong discussion window.

Carl Erdly
22 June 2017 11:35am
How is everyone solving for the equity RTS 28 report and the need to break down by tick size liquidity bands? Is there a known good data source for the band information at the instrument level?

Hanno Klein
22 June 2017 12:37pm
RTS 11, Article 3(1) says:
By 1 March 2018 and by 1 March of each year thereafter, the competent authority for a specific share or depositary receipt shall, when determining the most relevant market in terms of liquidity for that share or depositary receipt also calculate the average daily number of transactions for that financial instrument in that market and ensure the publication of that information.
==> The NCAs are the “known good data sources” for this information (see also paragraphs 4 and 5)

Mark Holloway
22 June 2017 1:47pm
ESMA have recognised that firms may not be able to perform the break down by tick size liquidity bands for the first annual report. (Q&A on investor protection topics, Section 1, Answer 6).
The Q&A on transparency topics, Section 4, Answer 1 says that ESMA will publish European-wide data on the total number and the volume of transactions executed in the Union. Hopefully this means we don’t need to go to every NCA for the information required do the tick size liquidity band lookup.

Carl Erdly
22 June 2017 5:15pm
Thanks Mark and Hanno for the quick response!


Re: RTS 28 - Passive/Aggressive order determination

I wanted to reconfirm some guidelines that were previously agreed by the FIX community in relation to RTS 28 Reporting.

For the purposes of identifying passive or aggressive trades, firms will use FIX Tag 851 where available with “1” representing where an order Added Liquidity and “2” where an order Removed Liquidity. Any other domain values in that field will not be used to determine passive or aggressive orders.

Please let me know if there are any inconsistencies with this understanding

Many Thanks!


Hi Nehal,

The passive / aggressive classification relates to how the firm reporting under RTS 28 (or Article 65(6)) handled the client order. If they executed the order on a CLOB, then the the value returned by the Trading Venue in tag 851 can be used. However, if the firm sends the order to a broker to execute on their behalf, they would not usually be deemed to have acted passively or aggressively themselves. They have left this to the discretion of the broker. In this case, the firm would not count the order as passive or aggressive. The exception is where the firm includes includes instructions in an order sent to a broker that forces the broker to trade in a passive or aggressive fashion. ESMA have provided guidance on this in their Q&A on Investor protection topics (Section 1, Q14).



Many thanks Mark. The question was more specifically directed at the domain values taken to identify Passive/Aggressive orders. Only 1 and 2 shall be used in this tag and no further mappings to the other enumerations within this field.

3 LiquidityRoutedOut
4 Auction
5 TriggeredStopOrder
6 TriggeredContingencyOrder
7 TriggeredMarketOrder


I’d agree with your understanding on that point. We’ve used the same approach in our implementation i.e. 1 = passive, 2 = aggressive, all other values = unclassified. I’d also be interested to hear if anyone is dealing with the other values differently.


In line with our understanding. Thank you for your assistance.


Agree with the view that only values 1 and 2 are clear. Interesting question to ESMA would be if they expect passive + aggressive = 100% in Table 1 and 2 of Annex II in RTS 28. The interpretation in this thread means it can be less than 100% because some of the trades have other values from 851 than 1 or 2.


For 2019 reporting, what is the consensus regarding classifying equities for which a liquidity band is not available? Would you put these under a separate table, such as “other”, even though it is clear that the instrument is an equity instrument?