MIFID

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Imported from previous forum

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Is there any initiative to look at MIFID requirement and how they will affect FIX messages?

For example: A client can opt in / out of smart order routing, or to use the “internal market”. Whilst this can be part of the client profile there is a feeling that this type of thing should be overrideable at the order level.

Without some sort of FIX standpoint we could end up with a large variety of 5000 tags being used.

3

[ original email was from Chris Pickles - chris.pickles@BTRadianz.com ]
FPL has been leading the Standard protocols Subject Group of the MiFID Joint Working Group (www.mifid.com) for the last two years to examine the changes that would be needed within FIX to be fully usable for all aspects of MiFID. The results of this work have been included in FIX version 5.0.
Regards
Chris

Is there any initiative to look at MIFID requirement and how they will
affect FIX messages?

For example: A client can opt in / out of smart order routing, or to use
the “internal market”. Whilst this can be part of the client profile
there is a feeling that this type of thing should be overrideable at the
order level.

Without some sort of FIX standpoint we could end up with a large variety
of 5000 tags being used.

4

[ original email was from Andrew Bowley - andrew.bowley@lehman.com ]
Catherine, Chris,

FIX5.0 adds some new functionality, particularly around quoting. However most of what people need is in previous FIX versions, though perhaps has not had the clarity and focussed discussion that MiFID warrants. In most cases, new tags are not warranted.

In particular, the following tags should be used:

  • Tag100 is the explicit order routing tag. In the US, and you would expect in Europe, presence or absence of tag 100 can signify opt in/out of smart order routing
  • Tag18=A/B should be used for internal market/crossing activation
  • Tag30 for last market on fills
  • Tag29 for dealing capacity

FPL has been leading the Standard protocols Subject Group of the MiFID
Joint Working Group (www.mifid.com) for the last two years to examine
the changes that would be needed within FIX to be fully usable for all
aspects of MiFID. The results of this work have been included in FIX
version 5.0. Regards Chris

Is there any initiative to look at MIFID requirement and how they will
affect FIX messages?

For example: A client can opt in / out of smart order routing, or to
use the “internal market”. Whilst this can be part of the client
profile there is a feeling that this type of thing should be
overrideable at the order level.

Without some sort of FIX standpoint we could end up with a large
variety of 5000 tags being used.

5

[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Is “the market” moving to a commonly accepted interpretation of what MIFID means for the buy-side that is sending orders via FIX 4.2 to sell sides??

Specifically about the interpretation of 100 and 207 and absence of one or the other and any defaulting that may have to be set up?

Realistically pretty much every European institutional buy-side that is using a third party OMS product will be using FIX 4.2 so is there a market view on retrofitting any MIFID requirements into 4.2 or is this something that is not on the radar?

If anyone wants to get in touch privately then please do -
john (DOT) greenan (at) alignment (hyphen) systems (dott) com

Catherine, Chris,

FIX5.0 adds some new functionality, particularly around quoting. However
most of what people need is in previous FIX versions, though perhaps has
not had the clarity and focussed discussion that MiFID warrants. In most
cases, new tags are not warranted.

In particular, the following tags should be used:

  • Tag100 is the explicit order routing tag. In the US, and you would
    expect in Europe, presence or absence of tag 100 can signify opt
    in/out of smart order routing
  • Tag18=A/B should be used for internal market/crossing activation
  • Tag30 for last market on fills
  • Tag29 for dealing capacity

FPL has been leading the Standard protocols Subject Group of the MiFID
Joint Working Group (www.mifid.com) for the last two years to examine
the changes that would be needed within FIX to be fully usable for all
aspects of MiFID. The results of this work have been included in FIX
version 5.0. Regards Chris

Is there any initiative to look at MIFID requirement and how they
will affect FIX messages?

For example: A client can opt in / out of smart order routing, or to
use the “internal market”. Whilst this can be part of the client
profile there is a feeling that this type of thing should be
overrideable at the order level.

Without some sort of FIX standpoint we could end up with a large
variety of 5000 tags being used.