Philip Westpfel
16 February 2017 3:12pm
Can anyone confirm the TAG that is being reviewed to hold & communicate the applicable Post Trade Indicator values at time of execution for use in the T+1 Transaction Reports please. Current FTC MiFIR documentation doesn’t identify this.
Hanno Klein
16 February 2017 5:58pm
I can only assume you are referring to ESMA’s RTS 22 Annex I Table 2 Field 63 “OTC Post-Trade Indicator”.
In this case the simple answer is no. There will not be a single FIX tag covering all the different items that ESMA has put together into this field, making them mutually exclusive to one another.
As you can see this spans trade types, size attributes, transaction flows, identification of duplicates, package transactions,… FIX has separate fields to address each of these domains and the submitter of the report to ESMA has to identify the appropriate context to determine which of these items is the most relevant/applicable one to put into the single field 63.
For all instruments:
‘BENC’ = Benchmark transactions
‘ACTX’ = Agency cross transactions
‘LRGS’ = Post-trade large-in-scale transactions
‘ILQD’ = Illiquid instrument transaction
‘SIZE’ = Above specific size transaction
‘CANC’ = Cancellations
‘AMND’ = Amendments
For equity instruments:
‘SDIV’ = Special dividend transactions
‘RPRI’ = Transactions which have received price improvement
‘DUPL’= Duplicative trade reports
‘TNCP’ = Transactions not contributing to the price discovery process for the purposes of Article 23 of Regulation (EU) No 600/2014
For non-equity instruments:
‘TPAC’ = Package transaction
‘XFPH’ = Exchange for Physical transaction
Post Trade Indicators - FIX TAG
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Philip Westpfel
17 February 2017 4:19pm
many thanks. "FIX has separate fields to address each of these domains ". Can someone post the list of fields that are being proposed/used already to identify this information at point of execution please.
Hanno Klein
22 February 2017 3:52pm
Please refer to Extension Pack 216 (http://www.fixtradingcommunity.org/pg/extensions/extensionpack?ExtensionID=EP216) for detailed mappings.