Hi,
Which tags are to be used on Jan 3 in regards to Cash Equities for
a) Venue of execution
b) FX Rate
c) Order Type
Thanks
Which ESMA report (RTS document) are you referring to? RTS 22?
where the field corresponds to one in RTS 22 (Trade Reporting) and as such the relevant technical standards need to be consistent.
Further requirements will include timing / MI and Control requirements to ensure effective monitoring of the regulatory obligation.
Regulatory text references:
Delegated Regulation
• Article 59 – Reporting obligations in respect of execution of orders other than for portfolio management (Article 25(6) of Directive 2014/65/EU)
Reg RTS References: Regulatory technical and implementing standards – Annex I
• Chapter 7 - Market Data Reporting
o RTS 22 – Regulatory technical standards on reporting obligations under Article 26 of MiFIR
Applicability
Article 59 (4) of the Delegated Act II
“The notice referred to in point (b) of paragraph 1 shall include such of the following information as is applicable and, where relevant, in accordance with the regulatory technical standards on reporting obligations adopted in accordance with Article 26 of Regulation (EU) No 600/2014:”
If it is about RTS 22 Annex I Table 2 then the suggested mapping for two of the items you mention is as follows:
a) Field 36 (Venue) : LastMkt(30)=< MIC >
b) Field 33 (Price) : LastPx(31) with PriceType(423) = 20 or 21
c) I could not find an ESMA field in that RTS table but OrdType(40) should apply. I did find it in RTS 6 Annex II Table 3 Field 8 (Order type) but I am not sure if that helps. ESMA has not defined any valid values.
Venue of execution to be reported under RTS 22 will be dependent on whether a firm is facing the Trading Venue (Venue MIC) or an SI (SI MIC) directly or via another Broker in between in which case I believe Venue will be XOFF.
Correct, but all 3 use cases are to be covered by LastMkt(30). “SINT” is a fourth one. EP228 added an elaboration to this field in FIXimate (http://fiximate.fixtrading.org/latestEP/index.html):
In the context of ESMA RTS 1 Annex I, Table 3, Field 6 “Venue of Execution” it is required that the “venue where the transaction was executed” be identified using ISO 10383 (MIC). Additionally, ESMA requires the use of “MIC code ‘XOFF’ for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organized trading platform outside of the Union. Use ‘SINT’ for financial instruments admitted to trading or traded on a trading venue, where the transaction is executed on a systematic internaliser.”
My response was in relation to RTS 22 where the reportable values are the MIC code of the party an Investment Firm is facing. The values reportable under RTS 1/2 are different.
Understand. Would you agree that venue MIC, SI MIC and “XOFF” would all be conveyed with the FIX field LastMkt(30) in the context of RTS 22? That was what I understood to be the initial question on this thread.
My understanding is that the LastMarket(30) will contain the MIC of Execution Venue (Trading Venue, SI or a firm who is not an SI). However for Transaction Reporting the Venue reportable would be the MIC code of the counterparty a firm will be facing.
This means if a Broker executes a Cash Equities traded on an RM or MTF which it is a member of, then the Broker reports Trading Venue MIC. However if the same Broker has the execution done a Trading Venue via another Broker, then it needs to report XOFF.
This is the reason the tag Transaction Reporting Venue (20073) was designed as LastMarket is not suitable for Broker’s Clients to use for reporting Venue in their Market Side of Transaction Report.
I see your point, it is a different use case where there is a better alternative. 20073 is the user-defined field for those users that cannot support standard repeating groups as follows:
PartyRole(452) = 73 (Execution venue)
PartyIDSource(447) = G (MIC)
PartyID(448) = SI MIC or XOFF
The repeating group should be used instead of the user-defined field whenever possible.