FIX Technical Forum Minutes, Sept 9, 1997

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Imported from previous forum

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[ original email was from Chris Morstatt - ]
FIX Technical Forum
September 9, 1997
MINUTES
====================

The FIX Technical Forum was held on September 9, 1997 at the
New York offices of Morgan Stanley, Dean Witter, Discover & Co.
The meeting was attended by ~180 individuals representing
institutions, brokers, software vendors, depositories and
exchanges. The following is a summary of the discussions which
took place at the meeting.

FIX TECHNICAL COMMITTEE STRUCTURE

Chris Morstatt, Salomon Brothers, reviewed the new FIX Technical
Committee’s structure. The structure has been revised to formalize
protocol modification procedures and to provide a better channel
for non-steering committee members to participate in the growth of
FIX. The layout will be as follows:

The FIX Technical Committee will be comprised of representatives
from each Steering Committee firm and invited guest members. This
committee will act as a formal sub-committee of the Steering
Committee and will be charged with the administration of
enhancements and changes to the protocol. The committee will meet
every six weeks.

In addition the committee will:

  • serve as the contact group to coordinate protocol enhancement
    and modification requests.
  • coordinate with the Non-US FIX Committees to assure that a
    single protocol is maintained which addresses the needs users
    throughout the world.
  • chair semi-annual Open Forums to keep the larger audience of
    users informed of changes and issues related to the
    implementation and use of FIX.
  • maintain communication vehicles such as the FIX Web Page and
    email lists.
  • form ad-hoc committees to address individual issues related to
    FIX.

REVISED FIX HOME PAGE

Sam Johnson, Goldman Sachs, demonstrated the new FIX Home Page.
The URL is http://www.fixprotocol.org. Feedback on the page
should be directed to Sam via email at: sam.johnson@gs.com

FIX INTERNATIONAL UPDATE

Paul Wood, Morgan Stanley, gave an update on the activities of
the European FIX Committee. The Committee has formed working
groups to investigate and produce recommendations in the
following areas:

  1. Symbology (security identification, firm identification
    and other standardizable areas)
  2. Non-US Trading Conventions
  3. Implementation
  4. Straight Through Processing

Paul also reviewed a proposed addendum to the protocol
specification on mapping SETS order types to FIX order types.
The European Committee has requested this to be included as a
reference in the 4.1 release of the protocol.

ALLOCATION AND SETTLEMENT INSTRUCTIONS

Scott Atwell, American Century, reviewed proposed changes
regarding allocations and settlement instructions. These can
be referenced in the presentation listed in the minute archive.
Those wishing to participate in the finalization of these
messages should contact Scott via email at:
scott_atwell@americancentury.com

PROTOCOL UPDATES AND ISSUES

John Armstrong, Morgan Stanley, reviewed proposed changes to
the protocol specficiation. The proposals are listed below.

  • Message Sequencing - Add Boolean ResetSeqNum field to logon
    message to make daily resequencing easier for 24 hour sessions
  • Add NoRelatedSym on News and Email messages to replace the
    current method of including multiple symbols in one field
  • Add IDSource and SecurityID to all messages containing Symbol
  • Add Headline to News
  • Add Subject to Email
  • Add TradeDate to Advertisement
  • Add CME to ExDestination/LastMkt codes
  • Make BidPx on Quote message optional
  • Make all business level ID fields type char
  • Add ExecInst value ‘U’ to denote customer display instruction
    to satisfy SEC Rule 11Ac1-1/4
  • Add OrderQtyType to order messages with values
    {Shares(default), Cash}. Make OrderQty a float type.
  • Add "Unknown Order" to OrdRejReason code (to be used in
    conjunction with OrdStatus of Rejected) to reject a Status
    Request due to an unmatched order.

John Armstrong reviewed a number of modifications to better deal
with the progression of order statuses throughout an order’s life
cycle.

  • Remove CxlType from Cancel/Replace request.
  • Add required field LvsQty to Execution Report message.
  • Add ExecType to Execution Report to have the same possible
    values as current OrdStatus field.
  • Use OrdStatus to indicate state of the chain of orders,
    similar to the way CumQty and AvgPx describe the chain of orders.
  • Add conditionally required OrigClOrdId to Execution Report
    when report OrdStatus in {PendingCancel, Replaced, Cancelled}
    states.
  • Define the the following precedence of coexisting OrdStatus
    values:
    1. Pending Cancel
    2. Stopped
    3. Suspended
    4. Done
    5. Cancelled Expired
    6. Calculated
    7. Filled Partially Filled
    8. Replaced
    9. New
      Pending New
      Rejected
      Those wishing to participate in the definition and documentation
      of the new order state progression should contact John Armstrong
      via email at: johna@ms.com

Clarifications

  • Clarify definition of OrigClOrdId to mean the PREVIOUS ClOrdId
    the Cancel or Replace is cancelling or replacing, Not the
    "original" ClOrdId in the chain.
  • Clarify ResetSeq MsgSeqNum description to stress NEXT
    expected sequence number

OPEN DISCUSSION

Chris Morstatt led the open discussion. A question was raised
regarding List rejection. The current protocol does not support
rejection at the list level. It was recommended that the change
be proposed to the technical committee for review and inclusion
in the 4.1 version of the specification.

VENDOR PRESENTATIONS

The last hour was left for 5 minute presentations by vendors
offering FIX application software, FIX engines or private
communication networks.

The companies participating were:
ANS
Autex
Bridge
InfoReach
IXNet
MacGregor
Optimark
QSOL
TNS
Trinitech

The next FIX Technical Forum will be scheduled in the Spring of
1998.