How to indicate aggressor in MDIncrRefresh Trade report

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1

Imported from previous forum

2

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

3

This currently is a gap in FIX for which Eurex has created a user-defined field AggressorSide (1=Buy/2=Sell) with the intention to submit it for standardisation.

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

4

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

5

Yuval, AggressorIndicator(1057) flags an order as being aggressive or not. It does not tell you the side of the aggressive order, i.e. was it a buy or a sell order that led to a trade.
Regards,
Hanno.

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

6

For what it’s worth we are using UDF 5797:

5797 AggressorSide
X
Aggressor side of a trade in a central order book. 1: Buyer 2: Seller Fred Malabre
CME Group
6/30/2008

Yuval, AggressorIndicator(1057) flags an order as being aggressive or not. It does not tell you the side of the aggressive order, i.e. was it a buy or a sell order that led to a trade.
Regards,
Hanno.

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

7

I have captured this on FIXwiki at Welcome fixwiki.org - BlueHost.com, including the current Eurex and CME support for AggressorSide.

For what it’s worth we are using UDF 5797:

5797 AggressorSide
X
Aggressor side of a trade in a central order book. 1: Buyer 2: Seller Fred Malabre
CME Group
6/30/2008

Yuval, AggressorIndicator(1057) flags an order as being aggressive or not. It does not tell you the side of the aggressive order, i.e. was it a buy or a sell order that led to a trade.
Regards,
Hanno.

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

8

Is there any update on when this field will be formalized into the Specification? Is this destined for 5.3?

I have captured this on FIXwiki at Welcome fixwiki.org - BlueHost.com, including the current Eurex and CME support for AggressorSide.

For what it’s worth we are using UDF 5797:

5797 AggressorSide
X
Aggressor side of a trade in a central order book. 1: Buyer 2: Seller Fred Malabre
CME Group
6/30/2008

Yuval, AggressorIndicator(1057) flags an order as being aggressive or not. It does not tell you the side of the aggressive order, i.e. was it a buy or a sell order that led to a trade.
Regards,
Hanno.

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?

9

No update, an FPL member has to submit a Gap Analysis to request the extension and we have not seen any submissions in the market data area recently. It would then also not be 5.3 (I guess you meant FIX 5.0 Service Pack 3) but an Extension Pack of FIX 5.0 SP2. Approved Extension Packs are immediately available, i.e. there is no need to wait for the next FIX release.
Regards,
Hanno.

Is there any update on when this field will be formalized into the Specification? Is this destined for 5.3?

I have captured this on FIXwiki at Welcome fixwiki.org - BlueHost.com, including the current Eurex and CME support for AggressorSide.

For what it’s worth we are using UDF 5797:

5797 AggressorSide
X
Aggressor side of a trade in a central order book. 1: Buyer 2: Seller Fred Malabre
CME Group
6/30/2008

Yuval, AggressorIndicator(1057) flags an order as being aggressive or not. It does not tell you the side of the aggressive order, i.e. was it a buy or a sell order that led to a trade.
Regards,
Hanno.

Unfortunately, not in the market data stream, but in the trading stream you have tag aggressorIndicator(1057)

http://www.fixprotocol.org/FIXimate3.0/latestEP/en/FIX.5.0SP2_EP159/tag1057.html

I hope this helps,
Yuval

If I’m an exchange and I want to indicate if a bid was aggressed or an offer was aggressed to result in a trade in the Market Data stream, is there a way to do that?