Reg NMS Changes

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1

Imported from previous forum

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[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
As part of the Reg NMS implementation, Exchanges and ECNs are required to provide an indicator on away execution reports when an order is
executed on a different market center as per Reg NMS rules along with Market Maker ID, if applicable.

NYSE is making changes to their CMS protocol to accommodate two new identifiers that would indicate linkage trade market code and Market Maker ID.

Here is the link for more info on NYSE changes:

http://www.nyse.com/pdfs/CMSAwayMKTIND13107.pdf

Are there any FIX tags assigned in FIX version 4.2 and above to this specific Reg NMS issue ?

Any information would be appreciated.

  • Sreedhar
3

Sreedhar,
Tag 30 Last Mkt is what should be used. CHX is using it NYSE Chicago

Regarding, market of execution for last fill, use ISO 10383 Market Identifier Code (MIC). Please refer to the FIX 4.4 specification for more information about the MIC.

Tom

As part of the Reg NMS implementation, Exchanges and ECNs are required
to provide an indicator on away execution reports when an order is
executed on a different market center as per Reg NMS rules along with
Market Maker ID, if applicable.

NYSE is making changes to their CMS protocol to accommodate two new
identifiers that would indicate linkage trade market code and
Market Maker ID.

Here is the link for more info on NYSE changes:

http://www.nyse.com/pdfs/CMSAwayMKTIND13107.pdf

Are there any FIX tags assigned in FIX version 4.2 and above to this
specific Reg NMS issue ?

Any information would be appreciated.

  • Sreedhar
4

Hi Sreedhar,

What is away trade? Is Away Trade and Execution reports are one and the same? Kindly post your reply to adex100@yahoo.com

Regards,
Adikkappan M.

As part of the Reg NMS implementation, Exchanges and ECNs are required
to provide an indicator on away execution reports when an order is
executed on a different market center as per Reg NMS rules along with
Market Maker ID, if applicable.

NYSE is making changes to their CMS protocol to accommodate two new
identifiers that would indicate linkage trade market code and
Market Maker ID.

Here is the link for more info on NYSE changes:

http://www.nyse.com/pdfs/CMSAwayMKTIND13107.pdf

Are there any FIX tags assigned in FIX version 4.2 and above to this
specific Reg NMS issue ?

Any information would be appreciated.

  • Sreedhar
5

Execution report is the term to indicate an execution regardless of where it was done. Away trade is the term that only makes sense in environments where multiple markets trade the same products and are required to be linked to each other. An away trade is then simply an execution that was done at one of the other markets that my market is linked to. It is a relative statement, i.e. there are n-1 away markets for each market within a group of linked markets.

Hi Sreedhar,

What is away trade? Is Away Trade and Execution reports are one and the
same? Kindly post your reply to adex100@yahoo.com

Regards, Adikkappan M.

As part of the Reg NMS implementation, Exchanges and ECNs are required
to provide an indicator on away execution reports when an order is
executed on a different market center as per Reg NMS rules along with
Market Maker ID, if applicable.

NYSE is making changes to their CMS protocol to accommodate two new
identifiers that would indicate linkage trade market code and Market
Maker ID.

Here is the link for more info on NYSE changes:

http://www.nyse.com/pdfs/CMSAwayMKTIND13107.pdf

Are there any FIX tags assigned in FIX version 4.2 and above to this
specific Reg NMS issue ?

Any information would be appreciated.

  • Sreedhar