Imported from previous forum
My compliance department has asked if it is possible to provide the execution point for all of our trading. I have asked a number of our brokers if they provide this information currently in the execution messages they send over FIX. So far, no one has indicated that they provide this information. Additionally, I have asked a number of other buy-side desks this same question with the same results.
Does current FIX protocol support this? Is this something that others have dealt with historically? With the explosion of algorithmic trading and the advent of Reg NMS, I would suspect that this is information people will eventually want… or maybe it is information that will be required… any insights would be greatly appreciated.
The FIX Execution Report message can convey the exchange/market where each fill took place via the LastMkt (30) field and can convey participant-specific details via other fields. We have brokers who send us exchange in LastMkt (30) and the “contra” (ie pool of liquidity hit) in ExecBroker (76).
My compliance department has asked if it is possible to provide the
execution point for all of our trading. I have asked a number of our
brokers if they provide this information currently in the execution
messages they send over FIX. So far, no one has indicated that they
provide this information. Additionally, I have asked a number of other
buy-side desks this same question with the same results.Does current FIX protocol support this? Is this something that others
have dealt with historically? With the explosion of algorithmic trading
and the advent of Reg NMS, I would suspect that this is information
people will eventually want… or maybe it is information that will be
required… any insights would be greatly appreciated.
[ original email was from Ian Hoenisch - ihoenisch@fastesp.com ]
I agree, not all places return LastMkt, so ESP has taken the tact, that we will always try to indicate where it was executed as much as we can tell. For example, if it was sent to a cash desk, or an algorithm, we can only indicate the next hop, i.e. not the end execution but which broker and which algorithm.
I don’t think RegNMS will apply, since the broker is taking responsibility and has to ensure RegNMS compliance, but OATS Phase 3 may apply, depending on how the broker is configured.
Hope that helps,
Ian
The FIX Execution Report message can convey the exchange/market where
each fill took place via the LastMkt (30) field and can convey participant-
specific details via other fields. We have brokers who send us exchange
in LastMkt (30) and the “contra” (ie pool of liquidity hit) in
ExecBroker (76).My compliance department has asked if it is possible to provide the
execution point for all of our trading. I have asked a number of our
brokers if they provide this information currently in the execution
messages they send over FIX. So far, no one has indicated that they
provide this information. Additionally, I have asked a number of other
buy-side desks this same question with the same results.Does current FIX protocol support this? Is this something that others
have dealt with historically? With the explosion of algorithmic
trading and the advent of Reg NMS, I would suspect that this is
information people will eventually want… or maybe it is information
that will be required… any insights would be greatly appreciated.