The Global Technical Committee has reviewed and preliminarily approved the submitted proposal. This document from the FIX Trading Community’s Execution Transparency Working Group covers the usage expectations for the FIX fields that describe the final destination point of an execution, the capacity of the broker for that execution and the nature of liquidity (added or taken) for that trade.
The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the GTC will review public comments and amend the document accordingly before publishing the final version.
Please post feedback, comments, and questions as replies to this discussion thread. The public comment period ends on June 21, 2024 .
I think the comment ‘This is equivalent to LastCapacity(29)=3 except that it indicates the price being reported is a MiFID average priced execution.’ for value 5 of tag 29 is a bit misleading, I think it needs to be made clearer that the ‘average priced execution’ refers to the transaction reporting requirement and therefore indicates that it is DEAL rather than MTCH. As it is it could be read that ‘equivalent’ means it’s MTCH, which is incorrect and contradicts what’s described in the ‘Proposed Global Usage’.
Personally I think that the information in the Appendix should be part of section 4 - currently this is similar and slightly duplicated information to section 4 with more detail - why not just add this to section 4 itself? I’m not sure that section 7.4 is needed - if it’s kept it should be made more clear that this is the previous guidance (rather than ‘current’ as it states).
Hi Alex.
I checked the original (mid 2010s) document on tag 29 which described value 5 as follows “An execution on a public market or from an external party (e.g. broker) conducted on a riskless principal basis.
For MiFID II, this will be used to represent ‘DEAL’ capacity.” So, subject to the WG agreeing, I would suggest replacing the ‘This is equivalent’ sentence with the original one.
I’ll defer to the WG on the Appendix, i.e. whether it should stay in or simply be made more explicit that it’s old documentation. My personal preference would be to include a link to the original document on our website, perhaps in the Executive Summary at the beginning.
Thanks Irina.
Noted on section 7, and I refer to my response to Alex’s post.
For your second point, this would need to be considered by the working group BUT you can identify trading at last executions using TradingSessionSubID(625) value 5 (post-trading), which is the mapping used for MMT’s trading at last trading mode. This is available on execution reports. At the risk of opening up a can of worms, documenting MMT levels 1 and 2 and their support on execution report messages might be worth considering as this covers a variety of market models.
Thanks Jim. Your suggestion on value 5 for tag 29 makes sense.
I would also agree that having a link to the previous guidance would be preferable to explicitly showing it in section 7.4.
My point around the appendix (excluding 7.4) was more general - I do think it should stay in some form as it provides more granularity on the MiFIR requirements for this field. However, I think it would make more sense to merge this with section 4 rather than have it in an appendix.
Unless it is material to understand the document, I would recommend to keep the scope of the current version as-is to avoid a delay in finalisation. The WG can then start on the next version of the RP and enhance the content.