Publish delay for trade capture reports

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1

Imported from previous forum

2

Good day,

TradePublishIndicator allows to delay a trade publication (1390=2). Is there a way to specify the delay or is it planned to create a tag for that?

Regards,
Xavier.

3

Currently, this is not possible for trades. The basic concept has been added for orders with OrderDelay (1428) and OrderDelayUnit (1429) to epxress the duration that an order was resting on the book prior to being matched. I am not aware of an FPL member planning to submit a Gap Analysis to create a tag for trade publication delays. It would be fairly straightforward (TradeDelay and TradeDelayUnit) to follow the existing semantics for orders.
However, there is a workaround with existing tags. You can use LastUpdateTime (779) in the TCR to indicate the original time of submission, i.e. when the “delay clock” started ticking. The TransactTime (60) in the TCR should then represent the actual time of publication and the delay can then be calculated as the difference between the two.
Regards,
Hanno.

Good day,

TradePublishIndicator allows to delay a trade publication (1390=2). Is there a way to specify the delay or is it planned to create a tag for that?

Regards,
Xavier.

4

Thank you Hanno and Jim for your replies.

I’m wondering if specifying a time for the delay is not too specific if we only want to specify “end of day”…

Good day,

TradePublishIndicator allows to delay a trade publication (1390=2). Is there a way to specify the delay or is it planned to create a tag for that?

Regards,
Xavier.

Hi

I don’t believe there’s a way to specify a required delay period on the report itself, but the plan is to have separate execution and publication times on the message. If they’re not there already, they’ll be requested soon as part of the consolidated tape analysis going on at the moment.

Jim.

5

You could define the absence of a specific time to represent “end of day”.

Thank you Hanno and Jim for your replies.

I’m wondering if specifying a time for the delay is not too specific if we only want to specify “end of day”…

Good day,

TradePublishIndicator allows to delay a trade publication (1390=2). Is there a way to specify the delay or is it planned to create a tag for that?

Regards,
Xavier.

Hi

I don’t believe there’s a way to specify a required delay period on the report itself, but the plan is to have separate execution and publication times on the message. If they’re not there already, they’ll be requested soon as part of the consolidated tape analysis going on at the moment.

Jim.