Hello,
is there an official, recommended, or best practice FIX mapping between ESMA trading capacities (MTCH, DEAL, AOTC) and inbound (on an order f.ex.) tag 528 (OrderCapacity)?
@joachim.albacke Take a look at the RP linked to above.
Hi Joachim
In short, no. The mapping we did was for tag 29 and that’s because the ESMA capacities are ‘transaction’ (execution) capacities, not order capacities. In other words how the transaction came about (from the perspective of the executing firm) as opposed to in what capacity the order placing firm is acting. You’ll find the tag 29 mappings in the document Lisa’s referred to on our website. Hope that helps
Jim.
Thank you both and I did consult that paper before asking since, as mentioned, it contains the outbound values while I’m trying to find something for the corresponding inbound feed.
I’ve seen some examples around doing
528 = A = AOTC
528 = P = DEAL
528 = R = MTCH
Fair enough?
That’s a reasonable match, but I want to re-emphasise my earlier point in that 528 and 29 (which is the true match for the ESMA trading capacities) represent fundamentally different things - 528 being the capacity of the order submitter and 29 being the capacity of the execution as per the executing firm. So mapping 528 onto the ESMA capacities doesn’t really mean anything.
The only one I am cautious about is the 528=R mapped to MTCH. R is “riskless principle” but under LastCapacity(29) the value for “riskless principal” is mapped to DEAL That’s my 2 cents.
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