Identifying Crossing/Internalization executions

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Imported from previous forum

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hi,

How do people identify ExecutionReport fills as having been done in internalization/Dark Pools? Is there a standard value for tag 30 or is there another industry standard?

thanks,

James

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[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Have a look at this thread:

http://fixprotocol.org/discuss/read/2699f351

There is no standard, many firms uses modified ISO MICs but it’s messy.

hi,

How do people identify ExecutionReport fills as having been done in internalization/Dark Pools? Is there a standard value for tag 30 or is there another industry standard?

thanks,

James

4

hi,

How do people identify ExecutionReport fills as having been done in internalization/Dark Pools? Is there a standard value for tag 30 or is there another industry standard?

thanks,

James

James,

On FIX4.2, we tend to use tag 29 last capacity to identify the cross - 29=2 or 29=3 and tend to receive 30=11(OTC)for dark-pools or, if cross is on exchange, then the appropriate exchange mnemonic.
I assume the lastmkt tag may have an impact on your booking and settlement processes so ask your OPS team first.

Jonathan