Regarding FIX tag 29 – LastCapacity – can anyone give me guidance as to how that capacity is to be inferred for an agency broker using other broker firms to execute client business?
Scenario – our client order is routed, either using broker algos or our own SOR to send child DMA orders to our executing brokers. We are an agency broker so our capacity to our client is always 1 (agent = AOTC) or sometimes 2 (cross as agent = AOTC).
But what if our executing broker, via their SOR, execute via their Systematic Internaliser? The capacity of that fill, between us and our broker, would not be AOTC but DEAL.
In that scenario, are we expected to pass back that capacity (ie DEAL) to our client, or do we maintain that “our” capacity to the client is still agency-only and therefore AOTC is acceptable?
For what its worth I would have expected that to be MTCH, Tag 29 = 3. The reason being that you are intermediating the trade, so that your organisation is buying from one and selling to the other. From what I have seen, AOTC seems to be used where an organisation facilitates the trade but then steps out of it on settlement.
The below response was sent on 21st Dec to the original poster after consulting with a co-chair of the FIX Transparency Working Group. They should be sending back to the client their dealing capacity (AOTC) not broker’s so in the below situation they handled client order in agency capacity as it was not their own risk execution. There is a bit of a grey area if that broker has any affiliation to them – current US CSA safe harbour situation.