PUBLIC COMMENT PERIOD - Canadian Market Regulation Feed_V2

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Imported from previous forum

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The Global Technical Committee has reviewed and preliminarily approved the Canadian Market Regulation Feed_V2 proposal. The document now enters a public comment period in which public review and feedback is encouraged. Once the Public Comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.

Please post feedback, comments, and questions as replies to this discussion thread.

A link to the proposal can be found at:
http://www.fixprotocol.org/documents/4711/FIX%20Protocol%20Gap%20Analysis%20Proposal%20-%20IIROC%20Market%20Regulation%20FeedV2_v0.4.doc

The public comment period ends on September 4, 2009.

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The new field InstrumentPartyStatus conveys dynamic information as it can change “numerous times throughout the day”. It seems that this information should not be part of the block which conveys primarily static information about a security.

I assume this information goes out on state change messages, i.e. SecurityStatus. It should then reside as a standalone field similar to SecurityTradingStatus and should be called differently. I suggest SecurityParticipationType or SecurityParticipationLevel. It would describe the type/level of participation (market making) a user can expect in this security. Additionally, one can define one or more market makers in the block (nested inside the block when conveying reference data, e.g. with the SecurityDefintion message.

Regards,
Hanno.

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[ original email was from Ryan Pierce (FPL Technical Director) - ryan.pierce@fixprotocol.org ]
I have addressed these concerns with Paul Allen of IIROC and we generally agree with Hanno’s suggestion. We propose amending the Gap Analysis as follows:

  1. Removing InstrumentPartyStatus from the Gap Analysis.

  2. Adding a new field called SecurityParticipationStatus, type int, description “Indicates market maker participation in security.”, valid values:

0 = No participation
1 = Buy participation
2 = Sell participation
3 = Both buy and sell participation

  1. Adding this as an optional field to Security Status, immediately following SecurityTradingStatus(326).

  2. Updating the text of the document to reflect this, specifically section 3.2.

Note that SecurityTradingStatus(326) also is used in the Market Data-related messages. SecurityParticipationStatus(TBD) could easily be extended into these messages as well. IIROC has no current business need to do so, however, so IIROC is not proposing changing these messages at this time.