Imported from previous forum
[ original email was from Christopher Basnett - christopher.basnett@uk.abnamro.com ]
If clients are using TAG 30 to see where each fill has occurred, is there a recognised standard value for internal crosses or fills executed via a broker dark pool rather than an exchange or MTF?
[ original email was from Ryan Pierce (FPL Technical Director) - ryan.pierce@fixprotocol.org ]
> If clients are using TAG 30 to see where each fill has occurred, is
there a recognised standard value for internal crosses or fills executed
via a broker dark pool rather than an exchange or MTF?
I don’t think there is a value for an internal cross done by a broker who does not operate an ATS, dark pool, etc. Having such a value would seem contrary to the use of LastMkt, since a broker (who isn’t a dark pool, ATS, etc.) making an internal cross isn’t really a market. Now LastCapacity(29) has values for “Cross as agent” and “Cross as principal” which could be used to determine if a broker internally crossed an order.
ATSs, including broker dark pools, are a different matter. I would think that these could be assigned an ISO 10383 MIC codes. The URL for the MIC code list, including a form to request a MIC code, is here:
http://www.iso15022.org/MIC/homepageMIC.htm
MIC codes are used in FIX 4.3 and higher to represent markets, so getting an ISO MIC assigned would allow immediate use in FIX 4.3 and above.
FIX 4.2 and below used Reuters codes, which were supplemented by numeric codes assigned by FPL. These are listed here:
http://fixprotocol.org/specifications/exchanges.shtml
Requests for new exchange codes, for use in 4.2 and below, can be made to fpl@fixprotocol.org
If clients are using TAG 30 to see where each fill has occurred, is
there a recognised standard value for internal crosses or fills
executed via a broker dark pool rather than an exchange or MTF?
Our algo brokers populate ExecBroker(76) with a string identifying the liquidity source hit (we refer to this as the “Contra”) on each partial fill. A broker’s internal cross/dark book would be one of those values. Each broker has their own set/list of potential values for that ExecBroker value, so we have to support broker-specific cross-referencing rules.
[ original email was from Andrew Bowley - andrew.bowley@nomura.com ]
Christopher, for venue tracking / best execution etc, it is correct to consider a broker as a “venue” under MiFID rules, and the best appraoch would be to populate tag 30 = OTC or SI according to the style of execution (you are an SI so your clients should expect to see both values). This then also makes tag 30 reporting consistent with the associated market data prints - such as under BOAT, where venue is displayed by either a MIC code or OTC/SI.
Andrew
If clients are using TAG 30 to see where each fill has occurred, is
there a recognised standard value for internal crosses or fills executed
via a broker dark pool rather than an exchange or MTF?