Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the CME Trade Capture and Market Data Extensions Proposal. This gap analysis proposal seeks to make several small enhancements due to regulatory reporting requirements. Specifically the addition of new enumeration values for ExecMethod(2405) and TrdSubType(829) to support “voice brokered” transactions and “multilateral compression” trades, respectively. Additionally enhancements are made to the MarketData to support the ability to transmit trade prices for option strategies.
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.fixtradingcommunity.org/pg/file/fplpo/read/2703045/fix-protocol-ga-trade-capture-and-market-data-
extensions
The public comment period ends on September 17th, 2015.
We would also like to request the addition of @StrategyLinkID to the MktDataFull/Full and MktDataInc/Inc components.
While this proposal would allow for submission of market data on spread trades, including the quantity and price at both the spread and leg level, it has become evident that many market data consumers can only handle leg level messages and do not with to process the more complicated spread level message in order to extract legs.
It seems the best solution here is to publish both a spread level message and a separate message for each leg on the market data feed. Firms wishing to process legs alone will simply ignore any spread level market data message, e.g. anything containing legs. But firms that do want to process the spread level message will then need a mechanism to ignore the additional leg level messages, otherwise they would double-count the trade. If both the spread and leg level messages carry an identical @StrategyLinkID field, then the receiver of the market data can link the messages together and ignore the legs that have the same @StrategyLinkID as the spread.