FIX tags for post-trade deferral flags

1

Hi Everyone,

I am currently seeking appropriate tags for the following post-trade deferral flags:

| MLF1 | Medium Liquid Flag |
| MIF2 | Medium Illiquid Flag |
| LLF3 | Large Liquid Flag |
| LIF4 | Large Illiquid Flag |
| VLF5 | Very Large Liquid Flag |
| DEFF | Deferral for ETCs, ETNs, SFPs, and emission allowances |
| MTCH | Matched principal trading flag |
| NEGO | Negotiated transaction flag |
| PORT | Portfolio trade flag |

I was thinking of TrdRegPublicationGrp 2668 with 2669 = 1 (Post-trade deferral). However, the CodeSet for tag 2670 does not appear to contain suitable values for these flags.

I would appreciate any guidance or best practices.
Thank you very much for your assistance.

2

Hi

We are in the process of finalising an update to our recommended practices document on European post-trade transparency which covers all this. From that, the values you’re looking for are

MLF1 Medium Liquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 18 (Deferral due to medium liquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”18”
MIF2 Medium Illiquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 19 (Deferral due to medium illiquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”19”
LLF3 Large Liquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 20 (Deferral due to large liquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”20”
LIF4 Large Illiquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 21 (Deferral due to large illiquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”21”
VLF5 Very Large Liquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 22 (Deferral due to very large liquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”22”
VIF5 Very Large Illiquid Flag TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 23 (Deferral due to very large illiquid instrument), alternatively can use TrdRegPublicationReasons (8013)=”23”
DEFF Deferral for ETCs, ETNs, SFPs and emission allowances TrdRegPublicationGrp component with fields TrdRegPublicationType(2669) = 1 (Post-trade deferral); TrdRegPublicationReason(2670) = 24 (Deferral due to asset class), alternatively can use TrdRegPublicationReasons (8013)=”24”
PORT Portfolio trade TradeTypeGrp component with field TradeType(3006)=50 (Portfolio trade)
3

@volhabarazna MTCH depends on the context. For trade reporting (TradeCaptureReport), it is LastCapacity(29)=3 (Cross as principal). For market data/consolidated tape (MarketDataIncrementalRefresh), it is DealingCapacity(1048)=X (Cross as principal).

NEGO is TradeTypeGrp component with field TradeType(3006)=22 (Privately negotiated trade)