Good afternoon,
I see the community is using FIX tag 851 to meet reporting obligations under MiFID II for Best Execution.
ESMA is saying field 44 only needs populating is the execution occurs during continuous trading sessions.
The existing values I can see published by the FIX Trading Community are:
1 = Added
2 = Removed
3 = Routed Out
4 = Auction
Has there been any publications on how to cater for indicating continuous trading sessions? Or does the logic dictate if tag 851 is not populated with value 4 (Auction) the execution is done on a continuous trading session?
Thank you for your help!
You should be “seeing” three more values if you look at the latest FIXimate (http://fiximate.fixtrading.org/latestEP/index.html). However, they do not answer your question. Tag 851 indicates liquidity and not the trading session. Value 4=Auction is intended to cover use cases where an order is neither aggressive nor passive. If you also want to convey the session to allow validation of the presence of tag 851 then you can use TradingSession(336)=1 (Day) together with TradingSessionSubID(625)=3 (Continuous trading). However, I do not see the need from an ESMA point of view. ESMA expects you to provide a value during continuous only due to the fact that is does not really apply to other sessions and people would struggle to populate it.
Can you please also be more specific on “MiFID II for Best Execution” and “Field 44”? Are you referring to a table in an Annex of an RTS document? RTS 24, Annex, Table 2, Field 44, “Passive or aggressive indicator”? That one does not seem limited to continuous trading.