Imported from previous forum
We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Hi,
Prioir to FIX 4.4, the Allocation (J) is also often used to communicate fees and this is now done by the Confirmation (AK).
We connect to a lot of destinations and a mixture of the options are used. We do the mapping on the incoming FIX gateway, so that we have a consistent internal mapping.
Cheers,
George.
We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Hi George,
Thanks for the reply. So internally do you have 35=8 interface consistently irrespective of the venue/exchange interface?
Hi,
Prioir to FIX 4.4, the Allocation (J) is also often used to communicate fees and this is now done by the Confirmation (AK).
We connect to a lot of destinations and a mixture of the options are used. We do the mapping on the incoming FIX gateway, so that we have a consistent internal mapping.
Cheers,
George.We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Hi George,
We are thinking of using 35=AE for conveying Quote trades. To link STP and trading messages we are thinking of stamping tag 131(QuoteRequestID) which is common between trading and STP side. But it seems to be tag 131 is not part of the FIX 5.0 SP2 35=AE message. What is your view on this?
Hi,
Prioir to FIX 4.4, the Allocation (J) is also often used to communicate fees and this is now done by the Confirmation (AK).
We connect to a lot of destinations and a mixture of the options are used. We do the mapping on the incoming FIX gateway, so that we have a consistent internal mapping.
Cheers,
George.We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Hi,
I would recommend using AK, or a combination of 8 and AK, although it would be good to hear other opinions.
George.
Hi George,
We are thinking of using 35=AE for conveying Quote trades. To link STP and trading messages we are thinking of stamping tag 131(QuoteRequestID) which is common between trading and STP side. But it seems to be tag 131 is not part of the FIX 5.0 SP2 35=AE message. What is your view on this?
Hi,
Prioir to FIX 4.4, the Allocation (J) is also often used to communicate fees and this is now done by the Confirmation (AK).
We connect to a lot of destinations and a mixture of the options are used. We do the mapping on the incoming FIX gateway, so that we have a consistent internal mapping.
Cheers,
George.We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Hi,
we are connected to different FIX systems that use both messages.
i.e. Bloomberg (FIX.4.4) uses AE messages in order to load trades on CMF books (position keeping); but sell side firms (brokers) or exchanges, are still using execution reports with FIX 5.0 too (see Eurex Exchange or London Stock Exchange).
Following these considerations: I thing that both messages are “actual”, one to report post trade deals (AE), the other one to report real-time trades (8).
Hoping this helps
Lanfranco
We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Thanks Lanfranco for the reply. So your suggestion is 35=AE for post trade messages and 35=8 for real time trade messages
Hi,
we are connected to different FIX systems that use both messages.
i.e. Bloomberg (FIX.4.4) uses AE messages in order to load trades on CMF books (position keeping); but sell side firms (brokers) or exchanges, are still using execution reports with FIX 5.0 too (see Eurex Exchange or London Stock Exchange).
Following these considerations: I thing that both messages are “actual”, one to report post trade deals (AE), the other one to report real-time trades (8).Hoping this helps
LanfrancoWe are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.
Thanks a lot for your suggestions/views. It would be great if few more people share their views on this topic.
We are looking into various venues of Fixed income products like Bloomberg, Tradeweb, Tradition, Iris, Dealerweb e.t.c. Each venue contains trading and STP connections. We get final trade confirmations through STP venue. Here some of the venues are FIX based and some are based on their native protocol. out of FIX based venues some are old FIX(FIX 4.2) based and some are latest FIX(5.0 SP2) based.
We have a conflict in representing this trade information internally. We have 2 options. one is Trade capture report(Message Type: AE) and the second one is Execution report(Message type: 8). As for latest FIX standard AE seems to be the future. But from your experience what do you think is the better way to go ahead by considering the Venues and their protocols? Are there any issues with Trade capture report representation? It would be great if you can share your experience on this topic.