"the level at which the position becomes reportable to the CFTC"

1

We have a need to communicate “the level at which the position becomes reportable to the CFTC”.
Is this a quality that is represented on Instrument /Security Definition in the FIX Protocol ?
I know that we could use InstrumentExtension if this is an overly specialized case, but I found PositionLimit (970) for a similar requirement so I wonder if there is existing support for this case.
thanks

2

Are you able to elaborate what is meant by “level” ?

3

Sounds more like a (reporting) threshold than a limit and may represent a gap in FIX. The following is from https://www.cftc.gov/MarketReports/CommitmentsofTraders/ExplanatoryNotes/index.htm (see Reportable Positions):

Clearing members, futures commission merchants, and foreign brokers (collectively called reporting firms) file daily reports with the Commission. Those reports show the futures and option positions of traders that hold positions above specific reporting levels set by CFTC regulations. If, at the daily market close, a reporting firm has a trader with a position at or above the Commission’s reporting level in any single futures month or option expiration, it reports that trader’s entire position in all futures and options expiration months in that commodity, regardless of size. The aggregate of all traders’ positions reported to the Commission usually represents 70 to 90 percent of the total open interest in any given market. From time to time, the Commission will raise or lower the reporting levels in specific markets to strike a balance between collecting sufficient information to oversee the markets and minimizing the reporting burden on the futures industry.

1 Like
4

Position Size, good question because level often refers to price. Sorry I took that note from an
internal document.