FIX Representation of Trade

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Imported from previous forum

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[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Background:

  1. FIX prescribes using the Execution Report message to represent a trade for orders, quotes etc.
  2. However for “streetside” reporting of trades, Trade Capture Reports are used.
  3. (For IOI’s Advertisments are used)
  4. The OMX markets support scenarios 1 and 2.
  5. Trade Capture Reports “allows sell-side firms (broker, exchange, ECN) to provide timely reporting of completed trades to an external entity not involved in the execution of the trade” (FIX 4.4 specification).
  6. In OMX markets the “locked-in” trade is communicated to involved parties through one and the same messsage type, irrespective of what pre-trade messages where used.
  7. Execution Reports lack certain properties (tags) we need for our Trade representation, e.g. Trade Type. Properties that are available for Trade Capture Reports.
  8. OMX markets support cancellation of trades:
  • by market operations
  • for “streetside” trades, by counterparties within a certain time-limit (e.g. 5 minutes)
  • without reinstatement of orders or correction of order quantities

Problem:
9) With FIX you have two different trade messages, Execution Reports and Trade Capture Reports (or three if Advertisments are used too).
10) Execution Reports are closely connected to orders and is (arguably) not the best way for us to represent a cancelled trade (or corrected trade quantity) unless it means the order is restated. Neither is it relevant for “streetside” trades.
11) Execution Report is not the prefered message used to communicate trades to parties as clearing houses, CSD’s etc (as it contains order information of private nature). We would prefer using the same type of message in order to guarantee that all parties have the same trade structure and data. (Some tags may be hidden for certain targets).

Our preliminary solution idea:
12) Order fill scenarios are extended to include sending a Trade Capture Report for every partial or complete fill. Executions Reports are still produced (primarily for front-office purposes, Trade Capture Reports for back-office purposes).
13) Trade Capture Reports are sent, not only to the broker, but also to clearing firms, CSD’s etc (Execution Reports are not).
14) Trade cancellations and corrections are communicated using the Trade Capture Report message only.

  • inbound to the market place when a “streetside” party requests a cancellation
  • outbound for all types of trades

Any thoughts appreciated!