Imported from previous forum
[ original email was from Rica Trujillo - rica.trujillo@fmr.com ]
We are interested in knowing how much capital has been committed by a broker (by trading out of his principal acct) to provide us with an execution. Is there a tag in the execution report message, besides the text field, that I can use for this?
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Rica,
Interesting concept, but there’s no field like that in the protocol. If you can get your broker to communicate it to you, I’ll help you register a custom tag on the FIX website.
> We are interested in knowing how much capital has been committed by a broker (by trading out of his principal acct) to provide us with an execution. Is there a tag in the execution report message, besides the text field, that I can use for this?
>
See LastCapacity (tag 29) on the Execution Report which identifies whether the broker acted as agent or principal for a given execution/fill. I’m not aware of a way to express a qty which is principal vs. a qty which is agent on a single fill plus that would get into one’s definition and some would consider it principal if any of it was principal (or two separate fills). Note that this capability has been in place since the original FIX 2.7 version.
FIX 4.4 introduced the Confirmation message which is sent post-trade and it provides a repeating group (NoCapacities (862)) of OrderCapacity (528) and OrderCapacityQty (863) to communicate exactly how much qty was principal vs. agent for a completed "trade".
> We are interested in knowing how much capital has been committed by a broker (by trading out of his principal acct) to provide us with an execution. Is there a tag in the execution report message, besides the text field, that I can use for this?
>