Client to broker - Specifying an opt in / out to execute on specific Systematic Internalisers (SI)

1

During the MIFID conversations the following tag was added which has been adopted by a wide number of clients/vendor/brokers

ExDestinationType(2704)
0 = No trading venue restriction
1 = Can be traded only on a trading venue
2 = Can be traded only on a Systematic iternaliser (SI)
3 = Can be traded on a trading venue or Systematic internaliser (SI)

This tag allows the client to decide where their order can be executed on a trading venue/systematic internaliser, or with no restrictions. We’ve seen for instance clients want to send 2704=3 so that the order will only be traded on a venue that is going to trade report - Removing the clients requirement to do so.

Has there been any discussion on a more granular approach to clients selecting their ExDestinationType with regards to SI’s? E.g. a client might at the order level want to opt in/out of internal vs external SI’s or to specify a specific SI on the order. Or to blacklist SI’s within the order level.

I couldn’t see anything on the forums regarding this. Has anyone thought about a standardised way to do this via FIX?

Thanks,

James

2

Hi James,

no, the requirement defined by the regulatory subgroups in FIX did not include more granularity. But most of it is covered already anyway by the FIX concept of target parties (see below). Exception is a category of SI: internal vs external. What is the difference and is there a standard definition?

Specific SI: use TargetPartyRole(1464)=63 (SI)
Acceptable/unacceptable SIs: use multiple party instances with TargetPartyRole=56 (Acceptable counterparty) or 57 (Unacceptable counterparty) with TargetPartyIDSource=G (MIC)
SI category: not covered by FIX today, would require an extension to TargetPartyRoleQualifier(1818), applicable to TargetPartyRole=63 (SI)

3

Thanks for the quick response.

So to specify a specific SI it would be:

1462 – TargetPartyID =
1463 – TargetPartyIDSource = G (MIC)
1464 – TargetPartyRole = 63 (Systematic Internaliser)

and to do opt in opt out you would do (in a repeating group):

1462 – TargetPartyID =
1463 – TargetPartyIDSource = G (MIC)
1464 – TargetPartyRole = 56 (Acceptable Counterparty) or 57 (Unacceptable Counterparty

Then what doesn’t exist is a way of defining SI categories - So for instance a broker has their own SI but they also connect to external ELP SI’s and other broker SIs. A client may want to only interact with the brokers own SI vs interacting with the brokers SI and all SIs the broker is connected to externally. Is it this that there is no definition for?

Thanks for your help,it’s greatly appreciated.

James

4

Yes, the examples are correct. Although there are no SI categories as TargetPartyRoleQualifier values, I suggest you do one of the following to support your use case:

1462 – TargetPartyID =
1463 – TargetPartyIDSource = N (LEI) (or other source)
1464 – TargetPartyRole = 63 (Systematic Internaliser)

This would identify your broker in the role of an SI and can be used limit the target SIs to internal ones.

Just as an FYI, you can now also identify any party as an SI in addition to its main role as follows (added with EP228):

xxxPartyID = (party identifier)
xxxPartyIDSource = (source identifier)
xxxPartyRole = (main role)
NoxxxPartySubIDs = 1
___xxxPartySubID = “Y”
___xxPartySubIDType = 76 (SI)

5

Thanks for your help with this :slight_smile: