Trade Flags

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1

Philip Westpfel
17 May 2017 4:55pm
afternoon. I am investigating the relevant Trade Flags for post trade & transaction reporting. With reference to the Final draft of the MiFID II/R Trade Reporting Implementation Guidelines document from FIX TC, I see that I have differences in the number of flags in scope. The document doesn’t refer to TNCP or RPRI when referencing where to source the data. Can someone clarify if these are indeed trade flags or should be considered under an alternative header. The values are included in APA specifications aligned to Trade Flags.

Hanno Klein
17 May 2017 5:33pm
Can you please post public links to documents you are referring to. The guidelines may still be documents internal to the working group.
Please take a look at the latest FIXimate (http://www.fixtradingcommunity.org/pg/resources/fiximate, labeled EP222) and the related Extension Pack 216 (http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP216) where you will find infromation on teh two flags you mention above.
TradePriceCondition(1839) = 14 (Price improvement, ESMA’s RPRI)
TradePriceCondition(1839) = 16 (Trade exempted from trading obligation, ESMA’s TNCP)
In my understanding the guidelines are work in progress and have not yet been made available for public review. However, The Extension Packs 216, 222 and 228 for MiFID already offer a lot of information such as above.

Philip Westpfel
18 May 2017 9:10am
Morning Hanno. The document I am referring to is http://www.fixtradingcommunity.org/pg/file/fplpo/read/3788798/mifidmifirii-trade-reporting-implementation-guidelines

Hanno Klein
18 May 2017 9:54am
Thank you, I see that this guideline has been published by the working group, i.e. questions should be answered by that group. The document does show RPRI and TNCP under Off-Venue Trade Flags on page 9. Looks like they are missing in the overview table on page 7. The document has not been versioned so far and has no history of changes but I would expect further updates to add guidance on additional topics of interest. This forum can be used to collect such topics.

2

Afternoon, are firms building to receive pre trade waiver values such as RFPT, NLIQ, OILQ, PRIC from Trading Venues. In one FIX document I noted that “It should be noted that venue waiver flags and deferral flags do not need to be passed.”

3

I guess that depends on your use cases and there will be both scenarios. Either you expect the sender to determine the flags for you (and you simply pass them on to ESMA) or you as a recipient have all the information required to calculate them (and then send them to ESMA). It is only ESMA who really needs to receive them. It would be interesting to see some posts here describing actual use cases where people have built software to receive such flags.