off order book trades handling question

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Imported from previous forum

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We are looking at providing functionality to conduct off order book trading via FIX at our exchange. The functionality is similar to Euronext’s TCS and caters for large volume trades pre-agreed between counterparts. Any suggestions as to what tags and values would be best to use in 35=D message to differentiate this type of orders from the standard order book entries?
Thanks,

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Hi Jurek,

We are looking at providing functionality to conduct off order book
trading via FIX at our exchange. The functionality is similar to
Euronext’s TCS and caters for large volume trades pre-agreed between
counterparts. Any suggestions as to what tags and values would be best
to use in 35=D message to differentiate this type of orders from the
standard order book entries?

I do not know which FIX protocol version WSE is currently supporting, but I would suggest to have a look at message type AD (TradeCaptureReport). The description can be found in vol. 5 of the FIX 4.4 specification, chapter “CATEGORY: TRADE CAPTURE (“STREETSIDE”) REPORTING” starting on page 62. You may also check the same vol./chapter in the FIX 4.3 spec starting on page 30.

In FIX 4.2, this message type does not exist. So I am not sure what would be the best in this case.

Cheers, Jörg

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Hi Jörg,
Thanks for the info - it seems that ‘AD’ would be a good fit here. However as we are implementing 4.2 I was wondering if we could use the 4.2 messages with an appropriate combination of tags to differentiate

  • we are thinking of exploring with tag 336 set to the TCS session id. ALso we would need to have the counterpart of the trade specified - I thought that maybe 76 could be used here but potentially this could be non-compliant.
    Regards,

Hi Jurek,

We are looking at providing functionality to conduct off order book
trading via FIX at our exchange. The functionality is similar to
Euronext’s TCS and caters for large volume trades pre-agreed between
counterparts. Any suggestions as to what tags and values would be best
to use in 35=D message to differentiate this type of orders from the
standard order book entries?

I do not know which FIX protocol version WSE is currently supporting,
but I would suggest to have a look at message type AD
(TradeCaptureReport). The description can be found in vol. 5 of the FIX
4.4 specification, chapter “CATEGORY: TRADE CAPTURE (“STREETSIDE”)
REPORTING” starting on page 62. You may also check the same vol./chapter
in the FIX 4.3 spec starting on page 30.

In FIX 4.2, this message type does not exist. So I am not sure what
would be the best in this case.

Cheers, Jörg

5

Hi Jörg, Thanks for the info - it seems that ‘AD’ would be a good fit
here. However as we are implementing 4.2 I was wondering if we could use
the 4.2 messages with an appropriate combination of tags to
differentiate

Jurek, if you intend to extend FIX 4.2 with specific tags or messages I would suggest to do this in an upward-compatible way: Just add message type AD and all related tags to FIX 4.2. IMHO, this is better than abusing FIX 4.2 tags for purposes they are not intended for.

BTW, what is the reason behind implementing FIX 4.2? Even with FIX 4.4. you would only have to implemenent the sub-set you want to support for WSE. The session-level stuff is basically the same. One exception are the Execution Reports, which in FIX 4.4 lack the ExecTransType field. But personally I would see this as an advantage.

Cheers, Jörg