Post-trade - Transparency Fields

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padmini sunkara
13 February 2017 6:40pm
Can someone please direct me to the tags for the fields
Notional Amount
Notional Currency
Reference Period
OTC post-trade indicator
Type
Publication Date Time
Venue of Publication
Thanks

Hanno Klein
14 March 2017 12:56pm
There is not always a 1:1 mapping of ESMA fields to FIX. Also, please always provide a reference, i.e. “RTS xx, Annex y, Table z, Field n”. ESMA has often mixed multiple concepts into a single field. One example is the field “OTC post-trade indicator” mentioned by you above. It contains trade types (e.g. BENC), publication deferral flags (ILQD), transactional workflow indicators (CANC/AMND) and more. FIX does not mix semantics in a single field but provides separate fields for separate semantics.
FIX Global Technical Committee is currently compiling Gap Analysis documents for extensions to cover ESAM requirements. The EMEA Regulatory Subcommittee working groups (http://www.fixtradingcommunity.org/pg/subcommittees/30323/emea-regulatory-subcommittee/) plan to also publish guidelines where you can also see the existing FIX fields that can be used to cover ESMA requirements. They are still looking for volunteers to help with the mapping work.
Please have a look at the following extension packs which cover at least some of the ESMA fields you list above.

Hanno Klein
14 March 2017 1:53pm
Please also refer to http://www.fixtradingcommunity.org/pg/discussions/topicpost/3791283/.

padmini sunkara
14 March 2017 3:19pm
Please see reference as requested.
RTS 2 Annex II Table 2 Fields 11 and 12.
Notional Amount
Notional Currency

Lisa Taikitsadaporn
20 March 2017 1:06pm
FIX syntax is structured around the syntax of trading. Regulatory reporting of prices and completed trades for investor protection and transparency is a latter-day notion that is somewhat problematic given that FIX syntax for attributes like “Notional Amount and Currency” are not always in the same place or form from one asset class to another.
Bonds and Foreign Exchange forward contracts:
Notional:
Pre-trade - one of the following depending on message:
MDEntrySize(271) - in the market data messages
BidSize(134) or OfferSize(135) - in the quote negotiation messages
OrderQty(38) - in the indication and order book messages
Post-trade
LastQty(32)
Currency:
Currency(15)
Price Currency (if different from currency of trade):
Instrument/PriceQuoteCurrency(1524)
Equities:
Notional:
[There is no concept of ‘notional’ in equities trading but it would theoretically be the product of quantity and price. See quantity fields noted above for bonds.]
Price elements are:
Pre-trade - one of the following depending on message:
MDEntryPx(270) - in the market data messages
BidPx(132) or OfferPx(133) - in the quote negotiation messages
Price(44) - in the indication and order book messages
Post-trade
LastPx(31)
Currency:
Currency(15)
Price Currency (if different from currency of trade):
Instrument/PriceQuoteCurrency(1524)
OTC derivative swaps in rates, credit, equities and commodities (including emission allowances):
Notional:
Instrument/StreamGrp/StreamNotional(40054)
Currency:
Instrument/StreamGrp/StreamCurrency(40055)
Price Currency (if different from notional currency):
Instrument/PriceQuoteCurrency(1524)
Foreign exchange swaps - deliverable and non-deliverable:
[Both sides of FX swaps are simply bullet settlements and thus are modeled as InstrumentLeg components in FIX.]
Notional:
Pre-trade - one of the following depending on message:
InstrumentLeg[near settlement]/LegIOIQty(682) - in indication messages
InstrumentLeg[near settlement]/LegOrderQty(685) - in the quote negotiation, market data and order book messages
Post-trade
InstrumentLeg[near settlement]/LegLastQty(1418)
Currency (dealt currency of the currency pair):
Currency(15)
Price Currency (if different from dealt currency):
Instrument/PriceQuoteCurrency(1524)
Options:
The Notional Amount and Currency push down into comparable fields of the first or only UnderlyingInstrument component.