Block Trades/ Off Exchange trade Query

, ,
1

Imported from previous forum

2

Do we have any message in FIX 4.4 which corresponds entry/response to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX Trade Capture Report (MsgType = AE). Any views ?

3

[ original email was from Matt Simpson - msimpson@cme.com ]
Most definitely, the FIX 4.4 Trade Capture Report is the right tool for block and off-exchange trades that are subsequently reported into the exchange. TradeType/tag 828 provides a value of Block (1) for this purpose.

Additionally, the Exchange/ECN working group, based on work done by OMX, is formalizing the use of Trade Capture for privately negotiated trade reporting and will have a comprehensive proposal available in August. Look for it posted to the GTC site in the near future.

Do we have any message in FIX 4.4 which corresponds entry/response to
Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX Trade
Capture Report (MsgType = AE). Any views ?

4

Thanks for the reply.
MILAN exchange send us different public messages for block trades and off exchange trade . We can safely map block trade with TradeType/tag 828 = 1 BUT for off exchange trade field 828 will have what value out of the following:
‘0’ Regular Trade
‘1’ Block Trade
‘2’ EFP (Exchange for Physical)
‘3’ Transfer
‘4’ Late Trade
‘5’ T Trade
‘6’ Weighted Average Price Trade
‘7’ Bunched Trade
‘8’ Late Bunched Trade
‘9’ Prior Reference Price Trade
‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right tool
for block and off-exchange trades that are subsequently reported into
the exchange. TradeType/tag 828 provides a value of Block (1) for
this purpose.

Additionally, the Exchange/ECN working group, based on work done by OMX,
is formalizing the use of Trade Capture for privately negotiated trade
reporting and will have a comprehensive proposal available in August.
Look for it posted to the GTC site in the near future.

Do we have any message in FIX 4.4 which corresponds entry/response to
Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX Trade
Capture Report (MsgType = AE). Any views ?

5

Hello,

So OMX is going to help create the next trade reporting spec that should cover many of the outstanding issues with off exchange trades?

What/where is the GTC site you speal of?

SJ

Thanks for the reply. MILAN exchange send us different public messages
for block trades and off exchange trade . We can safely map block trade
with TradeType/tag 828 = 1 BUT for off exchange trade field 828 will
have what value out of the following: ‘0’ Regular Trade ‘1’ Block Trade
‘2’ EFP (Exchange for Physical) ‘3’ Transfer ‘4’ Late Trade ‘5’ T Trade
‘6’ Weighted Average Price Trade ‘7’ Bunched Trade ‘8’ Late Bunched
Trade ‘9’ Prior Reference Price Trade ‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right tool
for block and off-exchange trades that are subsequently reported into
the exchange. TradeType/tag 828 provides a value of Block (1) for this
purpose.

Additionally, the Exchange/ECN working group, based on work done by
OMX, is formalizing the use of Trade Capture for privately negotiated
trade reporting and will have a comprehensive proposal available in
August. Look for it posted to the GTC site in the near future.

Do we have any message in FIX 4.4 which corresponds entry/response
to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX
Trade Capture Report (MsgType = AE). Any views ?

6

[ original email was from Matt Simpson - msimpson@cme.com ]
Yes, OMX in working with the GTC has developed a proposal for supporting off-exchange trades which are subsequently reported to the exchange.

The model will support the reporting of finalized deals in the form of 2-sided reporting by a single party, one-sided submission for pass-through to the counter-party, and single-sided submission for re-matching by the exchange.

We expect the document to be posted to the public section of http://fixprotocol.org/committees/gtc/documents by August 1st.

Hello,

So OMX is going to help create the next trade reporting spec that should
cover many of the outstanding issues with off exchange trades?

What/where is the GTC site you speal of?

SJ

Thanks for the reply. MILAN exchange send us different public messages
for block trades and off exchange trade . We can safely map block
trade with TradeType/tag 828 = 1 BUT for off exchange trade field 828
will have what value out of the following: ‘0’ Regular Trade ‘1’ Block
Trade ‘2’ EFP (Exchange for Physical) ‘3’ Transfer ‘4’ Late Trade ‘5’
T Trade ‘6’ Weighted Average Price Trade ‘7’ Bunched Trade ‘8’ Late
Bunched Trade ‘9’ Prior Reference Price Trade ‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right tool
for block and off-exchange trades that are subsequently reported
into the exchange. TradeType/tag 828 provides a value of Block (1)
for this purpose.

Additionally, the Exchange/ECN working group, based on work done by
OMX, is formalizing the use of Trade Capture for privately
negotiated trade reporting and will have a comprehensive proposal
available in August. Look for it posted to the GTC site in the near
future.

Do we have any message in FIX 4.4 which corresponds entry/response
to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX
Trade Capture Report (MsgType = AE). Any views ?

7

Hi,

Our scenario is “one-sided submission for pass-through to the counter-party”, but we also need the second party to return it (to signal agreement) to the Exchange, which then either approves it or rejects it. Could you please look at including something of that sort?

Thanks!
Tanja

Yes, OMX in working with the GTC has developed a proposal for supporting
off-exchange trades which are subsequently reported to the exchange.

The model will support the reporting of finalized deals in the form of
2-sided reporting by a single party, one-sided submission for pass-
through to the counter-party, and single-sided submission for re-
matching by the exchange.

We expect the document to be posted to the public section of
http://fixprotocol.org/committees/gtc/documents by August 1st.

Hello,

So OMX is going to help create the next trade reporting spec that
should cover many of the outstanding issues with off exchange trades?

What/where is the GTC site you speal of?

SJ

Thanks for the reply. MILAN exchange send us different public
messages for block trades and off exchange trade . We can safely map
block trade with TradeType/tag 828 = 1 BUT for off exchange trade
field 828 will have what value out of the following: ‘0’ Regular
Trade ‘1’ Block Trade ‘2’ EFP (Exchange for Physical) ‘3’ Transfer
‘4’ Late Trade ‘5’ T Trade ‘6’ Weighted Average Price Trade ‘7’
Bunched Trade ‘8’ Late Bunched Trade ‘9’ Prior Reference Price Trade
‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right
tool for block and off-exchange trades that are subsequently
reported into the exchange. TradeType/tag 828 provides a value of
Block (1) for this purpose.

Additionally, the Exchange/ECN working group, based on work done
by OMX, is formalizing the use of Trade Capture for privately
negotiated trade reporting and will have a comprehensive proposal
available in August. Look for it posted to the GTC site in the
near future.

Do we have any message in FIX 4.4 which corresponds
entry/response to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX
Trade Capture Report (MsgType = AE). Any views ?

8

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
The proposal includes the case when the TCR (Trade Capture Report) is passed through to the counterparty and it responds, either declining or accepting the TCR. The proposal also includes that exchange officials may need to approve the trade (optional feature as it is less common).

Hi,

Our scenario is “one-sided submission for pass-through to the counter-
party”, but we also need the second party to return it (to signal
agreement) to the Exchange, which then either approves it or rejects it.
Could you please look at including something of that sort?

Thanks! Tanja

Yes, OMX in working with the GTC has developed a proposal for
supporting off-exchange trades which are subsequently reported to the
exchange.

The model will support the reporting of finalized deals in the form of
2-sided reporting by a single party, one-sided submission for pass-
through to the counter-party, and single-sided submission for re-
matching by the exchange.

We expect the document to be posted to the public section of
http://fixprotocol.org/committees/gtc/documents by August 1st.

Hello,

So OMX is going to help create the next trade reporting spec that
should cover many of the outstanding issues with off exchange
trades?

What/where is the GTC site you speal of?

SJ

Thanks for the reply. MILAN exchange send us different public
messages for block trades and off exchange trade . We can safely
map block trade with TradeType/tag 828 = 1 BUT for off exchange
trade field 828 will have what value out of the following: ‘0’
Regular Trade ‘1’ Block Trade ‘2’ EFP (Exchange for Physical) ‘3’
Transfer ‘4’ Late Trade ‘5’ T Trade ‘6’ Weighted Average Price
Trade ‘7’ Bunched Trade ‘8’ Late Bunched Trade ‘9’ Prior Reference
Price Trade ‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right
tool for block and off-exchange trades that are subsequently
reported into the exchange. TradeType/tag 828 provides a value
of Block (1) for this purpose.

Additionally, the Exchange/ECN working group, based on work done
by OMX, is formalizing the use of Trade Capture for privately
negotiated trade reporting and will have a comprehensive
proposal available in August. Look for it posted to the GTC site
in the near future.

Do we have any message in FIX 4.4 which corresponds
entry/response to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with
FIX Trade Capture Report (MsgType = AE). Any views ?

9

[ original email was from Matt Simpson - msimpson@cme.com ]
In the listed derivatives world, block trades are just another form of an off-exchange trade which also known as a privately negotiated trades and must be reported to the exchange within a specified period of being completed.

To this point, FIX 4.4 plus the first service pack extension will include the following off-exchange trade types; exchange-for-physical, exchange-for-swap, exchange-for-risk. If you need another value to express your specific type of transaction we can look into having it added in a future extension.

Thanks for the reply. MILAN exchange send us different public messages
for block trades and off exchange trade . We can safely map block trade
with TradeType/tag 828 = 1 BUT for off exchange trade field 828 will
have what value out of the following: ‘0’ Regular Trade ‘1’ Block Trade
‘2’ EFP (Exchange for Physical) ‘3’ Transfer ‘4’ Late Trade ‘5’ T Trade
‘6’ Weighted Average Price Trade ‘7’ Bunched Trade ‘8’ Late Bunched
Trade ‘9’ Prior Reference Price Trade ‘10’ After Hours Trade

Most definitely, the FIX 4.4 Trade Capture Report is the right tool
for block and off-exchange trades that are subsequently reported into
the exchange. TradeType/tag 828 provides a value of Block (1) for this
purpose.

Additionally, the Exchange/ECN working group, based on work done by
OMX, is formalizing the use of Trade Capture for privately negotiated
trade reporting and will have a comprehensive proposal available in
August. Look for it posted to the GTC site in the near future.

Do we have any message in FIX 4.4 which corresponds entry/response
to Block Trades as well as Off Exchange Trades.

I think we can map the block trade message notification with FIX
Trade Capture Report (MsgType = AE). Any views ?