Imported from previous forum
The Global Technical Committee has reviewed and preliminarily approved the Market Center Transparency 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/5008/FIX%20Protocol%20Gap%20Analysis%20-%20Market%20Center%20Transparency%200.2.doc
The public comment period ends on March 1, 2010.
In the US, Away Markets could also be identified by the OPRA/SIAC Participant ID code instead of a MIC. Does it make sense to add a new PartyIDSource (TBD=OPRA/SIAC Participant ID) for that or should one use “C = Generally accepted market participant identifier (e.g. NASD mnemonic)”. It is somewhat confusing that OPRA defines markets as “participants” whereas exchanges mean their members when they talk about participants.
Here is the list of currently valid values for OPRA/SIAC IDs:
A NYSE AMEX
B Boston Stock Exchange
C Chicago Board Options Exchange
I International Securities Exchange
N NYSE ARCA
O Options Price Reporting Authority
Q NASDAQ Stock Market
X NASDAQ OMX PHLX
Z BATS Global Markets
If it is decided to add a new PartyIDSource, the same value should be added to tag 1133 ExDestinationIDSource.
[ original email was from Ryan Pierce (FPL Technical Director) - ryan.pierce@fixprotocol.org ]
Hanno, that’s a very interesting point.
If one wishes to use OPRA/SIAC Participant ID codes and FPL does not create a new PartyIDSource and ExDestinationIDSource for them, my personal opinion is that “C = Generally accepted market participant identifier (e.g. NASD mnemonic)” would be inappropriate. The intent with “C” was to provide a means to identify brokers using whatever is the generally accepted standard, e.g. NASD mnemonics in the US. If one used C and indicated an OPRA/SIAC Participant ID, that would cause confusion. I would think OPRA/SIAC Participant IDs should either:
- Be expressed using “D = Proprietary / Custom code” where such usage is agreed bilaterally, or
- Be given their own PartyIDSource / ExDestinationIDSource enumeration, or
- Be translated to ISO 10303 MICs, in which case one would use “G”.
Regarding extending PartyIDSource / ExDestinationIDSource, I think this goes beyond the scope of the Market Transparency proposal, as an additional PartyIDSource could affect a wide number of applications. I see arguments on both sides for this.
On one hand, I think the values you mention map to MICs, so I’d question whether the additional complexity of allowing two formats benefits the FIX Protocol user community.
And on the other hand, I also recognize that FIX allows many different ID sources for symbology, when mappings clearly exist, so a similar argument could be made for identifying exchanges.
The big question in my mind is whether OPRA/SIAC Participant ID codes include the three FINRA “meta-values” as I’m calling them, e.g. Foreign exchange, Multiple venues, and Unknown venue. If so, I’d see this as a good argument for inclusion. It is uncertain whether these meta-values could be added to the ISO 10383 MIC standard, so use of them in the OPRA/SIAC Participant ID code standard could solve this problem.
Also, ExDestinationIDSource brings up an interesting issue. Its enumerations are a subset of the values of PartyIDSource. Within the FIX Repository, we can’t map that; ExDestinationIDSource simply duplicates the applicable values of PartyIDSource. I’m wondering if it would be possible to model this relationship. I believe ISO 20022 modeling has this kind of concept.