The Global Technical Committee has reviewed and preliminarily approved the Related Orders proposal submitted by the GTC. This proposal is a follow up to Extension Pack 253 Extensions for CAT/FIX mapping. One of the extensions proposed by EP253 was to add an enhanced version of an existing component to the ExecutionReport(35=8) message to convey the details of aggregated orders. This specific extension is being rescinded with this proposal and replaced with a new component that represents a more generic solution. The remainder of EP253 is left unchanged.
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: https://www.fixtrading.org/packages/fix-protocol-ga-related-orders-proposal/
The public comment period ends on June 8, 2020.
Good day,
It would be a good idea to make RelatedOrderIDSource and RefOrderIDSource consistent by sharing the same code set (and move 1081=7-10 to a separate field).
Ultimately I would suggest to get rid of RefOrderID/RefOrderIDSource and to only keep a repeating group NoRelatedOrders with tags:
- RelatedOrderID,
- RelatedOrderIDSource (ClOrdID, OrderID, SecondaryOrderID, etc),
- RelatedOrderIDType (aggregated order, parent order, previous order, etc).
Regards,
Xavier.
@xavierbruyet thanks for your review comment. You have a valid point suggesting to use the new generic repeating group also for cases where there is only one order to reference. However, our options for changes are limited. We cannot “get rid” of RefOrderID/RefOrderIDSource as they have been established with FIX 4.4 a long time ago. Existing applications using these tags would break and require changes. The tags are not only part of the ExecutionReport(35=8) but also part of messages for order entry (including multileg instruments and program trading), trade capture, and risk limit checks.
Business requirements change over time and we do not always anticipate a use case for multiple values, i.e. not always add a feature as a repeating group. The same happened with commission data, hence we now have a component CommissionData (non-repeating) and a component CommissionDataGrp (repeating). They are actually not mutually exclusive semantically.
The GTC will review the options which include the possibility to make further changes to the extensions introduced with EP253. Note that CAT reporting implementations are in progress and making such changes may have a negative impact on them.
It might be a good idea to extend this new group to TradeCaptureReport (AE) as well.
Please note that the gap analysis (see link above) has been updated to reflect comments made during the original public comment period, the resolutions have been documented and the original submission has been updated with changes. The proposal is available for public review for another week until Friday 26th of June.
*Additions: New field added to the proposed new component to describe the relationship. Proposed new component added to the TradeCaptureReport(35=AE)'s TradeReportOrderDetail component.
1 Like