Identification of Cross Trades using Tags Already in Use

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Imported from previous forum

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Hi All,

I am trying to represent a cross trade using the FIX messages/fields that are currently in use in our system without introducing new fields. We currently use the TrdSubType (829) and Trade Condition (277) fields. Both fields have 'Crossed' as a valid value.

My question is, does the value 'Crossed' represent a Cross trade or is it meant for something else. I tried looking for more information about the meaning of values but I couldn't find much. Is the meaning of a value open for interpretation? Which would be more appropriate to indicate a Cross trade? My guess is the TrdSubType field but I would like some opinions before making a decision on this.

Kind Regards,

Chavindri

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The TrdSubType (829) value 37=Cross Trade is a MiFID value (X), i.e. the MiFID definition applies. I am sure there are many detailed definitions of “crossed” out there, depending on the regulatory environment. FIX usually takes a generic approach, i.e. the rules of engagement can the provide detail as to what counts as “crossed”. This is not the case for the TrdSubType (829) value which is explicitly related to MiFID. However, the field also allows your own values (Reserved1000Plus).

Your choice may also depend on the context, i.e. is this about public market data or about private trade confirmations to the order submitters? TradeCondition (277) is only applicable to market data, i.e. you cannot use it in Execution Reports or Trade Capture Reports.

Regards,
Hanno.

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Thanks for the prompt reply Hanno. This is for both public market data as well as private trade confirmations. Currently I would be using the New Order Cross message to submit the cross trade. Considering the "Crossed" enum is explicitly used for MiFID, how would the cross trade be notified on the Trade Capture Report if we do not use MiFID values?

Kind Regards,

Chavindri

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You can either use TrdSubType (829) with a value of 100 and above (user-defined value) or use CrossType(549) which is on both NewOrderCross and TradeCaptureReport. The presence of the field indicates that the trade resulted from a cross.