Imported from previous forum
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
What if we used Tag 855 Secondary Trade Type (@TrdTyp2) in combination with Tag 828 TradeType?
So, a Block TAS trade could be represented as TrdTyp=1 (block) and
TrdTyp2=15 (TAS).
This would preclude the need to modify the standard as TrdSubType (Tag 829) has no enum for TAS. Tag 855 already has all the enums for Trade Type.
Would that be acceptable way of representing a Block TAS trade?
Using TrdSubType would require the FPL to add an enum for TAS and other trade types like TAMM.
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
FPL had received a proposal a year ago for this functionality. This has been approved as EP107 and will be published as part of FIX 5.0 SP3.
The enhancements already approved by the GTC included the following to support TAS, TAM as trade subtypes with the following new enum values for TrdSubType (tag 829):
41 – Trade at Settlement (TAS). Identifies a trade that will be priced using the settlement price
43 - Traded at Marker. Trade at Marker - posted at a specific time the beginning of each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.
What if we used Tag 855 Secondary Trade Type (@TrdTyp2) in combination with Tag 828 TradeType?
So, a Block TAS trade could be represented as TrdTyp=1 (block) and
TrdTyp2=15 (TAS).
This would preclude the need to modify the standard as TrdSubType (Tag 829) has no enum for TAS. Tag 855 already has all the enums for Trade Type.
Would that be acceptable way of representing a Block TAS trade?Using TrdSubType would require the FPL to add an enum for TAS and other trade types like TAMM.
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
Thanks Lisa.
FPL had received a proposal a year ago for this functionality. This has been approved as EP107 and will be published as part of FIX 5.0 SP3.
The enhancements already approved by the GTC included the following to support TAS, TAM as trade subtypes with the following new enum values for TrdSubType (tag 829):
41 – Trade at Settlement (TAS). Identifies a trade that will be priced using the settlement price
43 - Traded at Marker. Trade at Marker - posted at a specific time the beginning of each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.
What if we used Tag 855 Secondary Trade Type (@TrdTyp2) in combination with Tag 828 TradeType?
So, a Block TAS trade could be represented as TrdTyp=1 (block) and
TrdTyp2=15 (TAS).
This would preclude the need to modify the standard as TrdSubType (Tag 829) has no enum for TAS. Tag 855 already has all the enums for Trade Type.
Would that be acceptable way of representing a Block TAS trade?Using TrdSubType would require the FPL to add an enum for TAS and other trade types like TAMM.
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
FIX 5.0 SP2 Extension Pack 107 goes back to a proposal from CME and has added TAS to TrdSubType (829) as valid value 41. Please refer to http://fixprotocol.org/documents/4749/FIX%20Gap%20Analysis%20CME%20OTC%20Trading%20and%20Clearing%20Extensions%20v0.9_ASBUILT.doc
What if we used Tag 855 Secondary Trade Type (@TrdTyp2) in combination with Tag 828 TradeType?
So, a Block TAS trade could be represented as TrdTyp=1 (block) and
TrdTyp2=15 (TAS).
This would preclude the need to modify the standard as TrdSubType (Tag 829) has no enum for TAS. Tag 855 already has all the enums for Trade Type.
Would that be acceptable way of representing a Block TAS trade?Using TrdSubType would require the FPL to add an enum for TAS and other trade types like TAMM.
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?
Please find the updated version under http://fixprotocol.org/documents/4749/FIX%20Gap%20Analysis%20CME%20OTC%20Trading%20and%20Clearing%20Extensions%20v1.0_ASBUILT.pdf
FIX 5.0 SP2 Extension Pack 107 goes back to a proposal from CME and has added TAS to TrdSubType (829) as valid value 41. Please refer to http://fixprotocol.org/documents/4749/FIX%20Gap%20Analysis%20CME%20OTC%20Trading%20and%20Clearing%20Extensions%20v0.9_ASBUILT.doc
What if we used Tag 855 Secondary Trade Type (@TrdTyp2) in combination with Tag 828 TradeType?
So, a Block TAS trade could be represented as TrdTyp=1 (block) and
TrdTyp2=15 (TAS).
This would preclude the need to modify the standard as TrdSubType (Tag 829) has no enum for TAS. Tag 855 already has all the enums for Trade Type.
Would that be acceptable way of representing a Block TAS trade?Using TrdSubType would require the FPL to add an enum for TAS and other trade types like TAMM.
TrdType only takes a single value. If you do not to further distinguish which type of trade was a TAS then TrdType is sufficient. If you need more granularity, you can add TAS as a TrdSubType to multiple TrdType values. The FPL standard might not always be a single way of doing things. You could choose to also use the more granular approach and simply set TrdType to 0=Regular and then use TrdSubType to convey whether it was TAS or not.
For regulatory purposes currently we report TAS and TAS block trades to the CFTC using TrdTyp=15 for TAS and TrdTyp=1 TrdTyp2=15 for Block TAS trades. Another exchange is using TrdSubTyp.
Is there any FPL standard for Post Trade reporting in the Trade Capture report for TAS/TAS Block trades?