The Global Technical Committee has reviewed and preliminarily approved the MiFID II and MiFIR Extensions Part 4 Proposal. This proposal addresses the Part 4 business requirements from the MiFID II Workshop (September 23, 2016) discussions including input from the Transparency Subgroup.
References considered in the gap analysis include:
FIX Trading Community - MiFID II Workshop September 23rd, 2016 Minutes (Dated October 10, 2016)
This gap analysis introduces multiple enhancements to FIX to support MiFID II and MiFIR requirements.
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.
Regarding the 2 new fields: ReportingPx(tbd) ReportingQty(tbd). Any reason why we are adding these 2 new tags and when they will be different from tag 6 and 14? Why we cannot use tag 6 (Average price) and 14 (Cummulative quantity) for this purpose?
Section 4 of the proposal tries to show the two distinct use cases. The fields AvgPx(6) and CumQty(14) are tied to the existing paradigm for quantities in FIX (see section 4.2). We did not want to change anything there and possibly cause breakage in existing applications. The new fields are only relevant when using the new paradigm (see section 4.1) and one should not use both in a single FIX session in my view to avoid confusion.
The new fields are only relevant when ExecutionReport message do not map 1:1 to regulatory reports, i.e. when sending less messages to the regulator than receiving ERs. This requires aggregation of ERs. CumQty cannot be used as it is required on every ER. ReportingQty is to be omitted on ERs that are not to result in a regulatory report.
Based on our explanation, that means client can rely on tag 6/14 for deal orders when broker will only provide tag 20073 on the message that should be reported. and if not, then the new tags come into play.
Not sure how that would work. Are you saying that you will ignore messages having neither the new fields nor the PartyRole 73 (Execution Venue)? You should not link any semantics to the existence of that PartyRole value. It is a matter of bilateral agreement whether the new paradigm is supported. This needs to be agreed upfront in the Rules of Engagement. You cannot really detect it on a message level. Brokers do not have to change unless they want to support less granular regulatory reporting. The clients need to be able to support it before introducing it as a broker.
Part 4 has been approved and is currently in implementation. It will be published shortly but I cannot give you an exact date. There were no material changes compared to the version posted for public review. Pre-assigments of new TradeReportingIndicator(2524) values have been published on the homepage of the FIX website. Do you need further information on any detail?