Imported from previous forum
Hi,
In the event an order is of mixed order capacity (ie. both agency & principal), how should this be represented in a new order ‘D’ message in FIX 4.2? Tags 47 and 6528 doesn’t seem to have the answer. Would this come down to tag 5142 AltRule80A and we define this ourselves?
Cheers,
Josh
A mixed order capacity should raise a regulatory concern as the order then does not distinguish how much of it is being placed in which capacity. The clean solution would be to submit two orders having a different capacity. Both Rule80A(47, deprecated as of FIX 4.3) and OrderCapacity(528, added with FIX 4.3) intentionally only allow a single value. Maybe you can solve your problem by using both tag OrderCapacity(528) and OrderRestriction(529). The latter allows multiple values but does not relieve you from making the fundamental distinction between agency and principal. I would be interested in the business requirements behind your mixed value. Maybe we have a gap in FIX. Using a UDF like 5142 to circumvent the standard semantics(single value only) is not recommended.
Regards,
Hanno.
Hi,
In the event an order is of mixed order capacity (ie. both agency & principal), how should this be represented in a new order ‘D’ message in FIX 4.2? Tags 47 and 6528 doesn’t seem to have the answer. Would this come down to tag 5142 AltRule80A and we define this ourselves?
Cheers,
Josh
Hi,
I am interested in this too - my interest comes from the ASIC's RG223 to provide capacity. From page 78 of that document:
Capacity of participant
RG 223.305 For orders submitted to an order book of a licensed market, market participants must indicate whether they are acting as principal, or as agent for a client, or both, in relation to the order: see item 2 of the table in Rule 5A.2.3.
RG 223.306 For transactions done other than on an order book of a licensed market and reported to a market operator, the market participant reporting the transaction must indicate, for each side (buy and/or sell) of the transaction on which they are required to provide regulatory data, whether they were acting as principal or as agent for a client, or both. REGULATORY GUIDE 223: Guidance on ASIC market integrity rules for competition in exchange markets
RG 223.307 In Rule 5A.2.3, ‘principal’ has the meaning given by Rule 1.4.3 and includes a market participant acting on behalf of a related body corporate in relation to the order or transaction.
RG 223.308 This information will enhance our ability to detect certain forms of market abuse and our understanding of the basis upon which transactions occur in the Australian market.
Rule 5A.2.3 says:
Capacity of Participant
For each side (buy and/or sell) of the Order or Transaction on which the
Participant is required to comply with subrule 5A.2.1(1) or (2), a notation to
identify whether the Participant is acting as:
(a) as Principal;
(b) as agent for a client; or
(c) as both Principal and agent for a client,
in relation to the Order or Transaction
As far as I understand it, the idea is that (say) DMA clients may send a single order, part of which is on behalf of a client and part of which is on their own behalf. I can't speak for ASIC's decision to allow for such an eventuality, but it is in the regulation, so participants need to cater for it in their inbound FIX interfaces.
I think it would be good to have an agreed standard for this, as many participants will be needing to comply with this regulation.
Thanks,
Tim
Tim,
this requirement has been adressed by the American Buy Side Working Group and an extension of OrderCapacity(528) was submitted as part of a proposal that is currently being implemented as Extension Pack 170. The latest EP FIXimate that is publically available only goes to EP 168 but it is an approved extension. Here is the text from the proposal as well as the resulting new value that has been officially added to the FIX Repository.
In the Confirmation(35=AK) message the required CpctyConfGrp component contains the OrderCapacity(528) field which requires the sell-side to provide a breakdown of the quantity and the capacity in which they were executed under. From the discussions within the BSWG initiative, the sell-side has indicated that they are generally unable to determine an accurate breakdown of quantity when there are multiple order capacities. The buy-side agreed that it is not a requirement that specific quantities be provided but they do want to know if it is mixed capacity vs. all principal or all agency. In addition the DTC uses a mixed type for capacity rather than trying to breakdown specifically so this will map easily to that.
The proposal requests an enumeration to specify "mixed capacity". The BSWG is requesting the value “M”, be added to OrderCapacity(528).
==> New valid value "M" = Mixed capacity
Many thanks Hanno, that is very helpful indeed.
Looks like it was serendipitous since the motivation is all about 35=AK, but it does appear to fit our requirement too.