MiFID ll / Art 59: Tag 40

mifidii

#1

A new field on the confirmations message 35=AK, OrdType, Tag 40, has been proposed, I don’t see this field in the MiFID II/ MiFIR documentation provided online. Further to this the suggested supported values are Market and Limit and our current view is to provide a number of order types including Multiple, as a pass through.
Please clarify whether Tag 40 will be implemented for MiFID II go-live, and if further values will be supported.


#2

Proposals for extensions of the FIX Protocol go through the standard process of being submitted to the FIX Global Technical Committee (GTC) by a working group or committee and in the form of a Gap Analysis document, followed by a public review process and subsequent implementation by extending the FIX Repository. Currently, a proposal has not been submitted to the GTC yet.

What is the semantic behind an order type of “multiple”? If this is meant to express that the order has more than one type? My view is then that it does not have a specific order type and the field can simply be omitted. The concept of OrdType(40) is to identify a specific behaviour of an order.


#3

Hi Hanno, fyi re: the multi order type scenario. I agree any one D message can have one and only one order type and that limit or market determines how it will trade, but in the post trade processing context, if clients have sent multiple orders over the day, they will often/typically ask their broker to group book the orders, i.e. create an aggregate Booking Unit, and the client will allocate the aggregate quantity. (This can significantly reduce the number of transactions required to settle the trade - hence error and cost.) In theory then, the broker could be confirming for multiple orders some limit some market.


#4

Thanks, Vanessa. In this case I would suggest to simply omit OrdType(40) in the ExecutionReport. It is not a required field and omission would mean that the execution is made up of orders with different order types. Other fields such as OrderID(37) are required and the broker needs to define a synthetic order ID to represent the group.


#5

HI,
Just wanted to check if the new tag OrdType (Tag 40), has been added on the confirmation messages 35=AK? I can’t find it in online specs. Any advice or thoughts would be much appreciated. Thank you.


#6

It’s in the OrdAllocGrp as of FIX4.4 - at the same level as the OrderID


#7

Thanks Philip for your response. I have looked into FIX 4.4 spec for confirmation message 35=AK and I am not see the tag OrderType in that . I have also attached the screenshot for your reference.


#8

Just click on OrdAllocGrp – it is interactive :slight_smile:


#9

Apologies for being pain. But I clicked on he OrdAlloc Grp , but can’t see tag 40 (Order Type) in that.


#10

Sorry, did not check in detail… There is no such field as far as I can see it.


#11

PLEASE always look at FIX Latest to check these kind of things. Just like sofware vendors, FIX does not add fields (=features if you will) to older versions. OrdType was added to OrdAllocGrp with EP237 (https://www.fixtrading.org/packages/ep237/) last December. The latest FIXimate is available at http://fiximate.fixtrading.org/latestEP which is what is behind the menu item Standards -> Online References -> FIXimate.


#12

Thanks for pointing that out, Hanno. I was not aware of this fine point. Still coming back to FIX after a while of abstinence… :wink:


#13

Thank you so much Hanno.