Bolsas y Mercados Españoles (BME)
14 December 2016 9:53am
I would appreciate some advice about the appropiate tags to fit these information (at instrument level):
a) FISN (Financial Instrument Short Name) according to ISO 18774
b) LIS and SSTI pre-trade and post-trade thresholds
Thank you!
Hanno Klein
14 December 2016 4:38pm
a) FISN will become a separate tag but it has not been defined yet (name and tag number)
b) Please check Extension Pack 216 (http://www.fixtradingcommunity.org/pg/extensions/extensionpack?ExtensionID=EP216) which include the new field TrdRegPublicationReason with values for concepts such as large in scale and size specific to financial instrument
Please come back to this thread if you have further questions.
Regards,
Hanno.
Bolsas y Mercados Españoles (BME)
14 December 2016 5:15pm
Thank you Hanno for you kind asnwers.
b) I’m familiar with Extension Pack 216 which is very helpful for the MMT:FIX tags translation. It basically solves all the different waivers. Tag TrdRegPublicationReason [2670] with value 6, indicates a trade that has been deferral due to “Large in Scale”. This occurs because the LIS and/or SSTI threshold value/s for this security in a liquid market has/have been reached and, as a consequence, the trade must be marked with the LRGS waiver (according to RTS1 and RTS2 ESMA specs) or, in FIX terms, with TrdRegPublicationReason [2670] = 6. What I’m looking for are the LIS/SSTI threshold values, both at instrument level.
Regards,
Francesc
FISN, LIS and SSTI
2
Hanno Klein
15 December 2016 9:09am
My apologies for not reading your question properly. Thresholds belong to reference data and I am not aware of any work underway to make this available as part of the instrument component. Currently I would suggest to use the AttrbGrp of the InstrumentExtension component to convey thresholds. You can define your own values above 100 for InstrAttribType(871). This may also be the right place to standardise such parameters but no analysis has been done so far.
Do you see this as a service from an exchange to offer the various ESMA parameters as reference data on a daily basis? I believe ESMA will be sending out at least some of this and other information in a non-FIX format which could be translated into FIX messages to automate processing in the FIX community. On the other hand, some parameters may only be available on paper issued by ESMA, making it a manual effort to provide it electronically.
Bolsas y Mercados Españoles (BME)
15 December 2016 10:12am
Thank you for your helpful advise, Hanno, about AttrbGrp Component block. Really interesting!
You are right asking whether an exchange should provide this information or not, how and when. We are still considering different approaches but, in the meanwhile, I am looking at the worst scenario to be prepared for it.
Thanks once again for your help!
Kind regards,
Francesc Prats