Imported from previous forum
I don’t seem to have permission to ask this in the MiFID forum so asking here instead.
For the MiFID Trading Capacity Values (DEAL, MTCH, AOTC) it was decided to use LastCapacity (Tag 29) to meet this requirement as outlined here at --> http://www.fixtradingcommunity.org/pg/file/fplpo/read/3788852/mifid-trading-capacity-fix-tag-29
Couldn’t this same thing be accomplished by using the CTI codes in CustOrderCapacity (Tag 582)?
1=Member trading for their own account
2=Clearing firm trading for its proprietary account
3=Member trading for another member
4=All other
LastCapacity(29) is only an outbound field related by the receiver of an order. CustOrderCapacity(582) is an inbound field echoed back on the ExecutionReport.
Does this mean that the venue or exchange is assigning these values in LastCapacity (Tag 29) based on who submitted the order and in what capacity? This is not possible I think since how does the exchange know if a DEA (direct electronic access) participant is acting in an agency capacity or not?
The MiFID documentation talks about how LastCapacity will be set on execution messages from brokers to their clients under various trading scenarios but what about to and from the exchange? How will an exchange identify dealing on own account, match principal and any other capacity?
Please see http://www.fixtradingcommunity.org/pg/file/fplpo/read/2836886/fix-execution-venue-reporting-best-practice-guidelines which offers best practices for LastCapacity. The exchange can only set it based on information received from the order submitters. There is an ongoing discussion in the EMEA Regulatory Subgroup as to how the ESMA terms DEAL, MTCH and AOTC should be mapped to FIX.
Thanks but this is all very confusing. The guidance from there seems to be to use LastCapacity as follows as far as the venue is concerned but does this mean that LastCapacity will be added to NewOrderSingle etc?
No, the table you show in your post only talks about fills, i.e. only about ERs or TCRs. The debate on th einbound side is about OrderCapacity(528)vs TradingCapacity(1815) where a value for “Riskless principal” is missing for TradingCapacity(1815).
The confusing part for me is rather why an inbound “Riskless principal” sent with OrderCapacity(528) should be equivalent to ESMA’s MTCH whereas an outbound “Riskless principal” sent with LastCapacity(29) should be equivalent to ESMA’s DEAL.
OrderCapacity(528)and TradingCapacity(1815) are equivalent for me on the inbound side, whereby the latter field is the newer one introduced for the interaction with trading venue. “Trading Capacity” is also the term used by ESMA.