Imported from previous forum
Hi experts,
In FIX TCR message, TrdCapRptSideGrp is mandatory and could be 1 or 2, refer to BUY/SELL side of this deal.
My understanding is, for a TCR message with 2 TrdCapRptSideGrp, the 2 side are refer to the 2 counterparty of this deal, eg buy firm and sell firm. Is this correct?
For FX SWAP deal, since it’s 2 leg deal, for instance, party A is BUY/SELL at near/far leg, normally we call party A ‘SELL’ side regarding far leg direction. I saw some FIX implementation use 2 side groups to represent party A’s information in near/far leg, not sure this is appropriate.
Furthermore, for multiple leg deal, eg, FX Option, which might have more than 2 leg, we should not use SIDE to represent one firm’s side at each leg with TrdCapRptSideGrp.
Thanks for any thoughts in advance!
The basic concept of the TCR is that the sides represent the two counterparties having traded and that one party buys whereas the other one sells. A match event of an exchange involving many different pairs of counterparties can be conveyed to clearing by means of the TradeMatchReport. An individual party will not be eligible to see more than its direct counterparty with whom it traded or not even that if a central counterparty is involved.
The entity that the two parties traded may be multi-legged. That is why there is a TrdInstrmtLegGrp on the root level if you need to explicitly describe the individual legs rather than reference the entire strategy synthetically with SecurityID.
Thanks Hanno! that's very clear.