Trade Reporting Scenarios

[fplpo_x]

Imported from previous forum

[fplpo_x]

[ original email was from Bernt Sandén - bernt.sanden@om.com ]
Hi,

At the NOREX exchanges most of the executions are done automatically. Executions that are done outside the exchange must however be reported to the exchange. The Trade Capture Report messages seem as a promising candidate for reporting off exchange trades to the exchange. In the NOREX trade reporting model both parties involved in the trade must report it’s own part. When both parts have reported their part of the trade the exchange disseminates the resulting execution (trade) after having matched the two trade reports. I consider the following scenario and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0 to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a notification that the seller has reported his part(150=F, 856=0, 573=1). This message is intended as a reminder for the buyer to report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0 to the exchange.
4. The two trade reports are matched by the exchange and a Trade Capture Report is sent unsolicited to both parties as a notification that the two trade reports match. (150=F, 856=0, 573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade Capture Report to indicate that the two trade reports match? (Case 4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade reports match?
c) Should the exchange reply with a Trade Capture Report Ack to indicate a successfully received trade report?

[fplpo_x]

[ original email was from Chris Pickles - chris.pickles@BTRadianz.com ]
Just a question re the work that FIX Protocol Ltd and the MiFID Joint Working Group are doing around the impacts of MiFID on the market.
Once MiFID has been implemented in 2007, does NOREX see that OTC equities trades will still have to be reported to NOREX? Also, will NOREX then be allowed to disseminate the resulting information? MiFID indicates that both of these situations may change.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following scenario
and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0 to
   the exchange.
4. The two trade reports are matched by the exchange and a Trade Capture
   Report is sent unsolicited to both parties as a notification that the
   two trade reports match. (150=F, 856=0, 573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match?
(Case 4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade
reports match?
c) Should the exchange reply with a Trade Capture Report Ack to indicate
a successfully received trade report?

[fplpo_x]

[ original email was from Bernt Sandén - bernt.sanden@om.com ]
Actually we don’t know. First we have to wait on the outcome of the MiFID directive. Then we have to wait on the national legislation coming after that.

Just a question re the work that FIX Protocol Ltd and the MiFID Joint
Working Group are doing around the impacts of MiFID on the market. Once
MiFID has been implemented in 2007, does NOREX see that OTC equities
trades will still have to be reported to NOREX? Also, will NOREX then be
allowed to disseminate the resulting information? MiFID indicates that
both of these situations may change.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following
scenario and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
4. The two trade reports are matched by the exchange and a Trade
   Capture Report is sent unsolicited to both parties as a
   notification that the two trade reports match. (150=F, 856=0,
   573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match? (Case
4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade reports
match?
c) Should the exchange reply with a Trade Capture Report Ack to
indicate a successfully received trade report?

[fplpo_x]

[ original email was from Matt Simpson - msimpson@cme.com ]
Bernt -
We use the Trade Capture Report at the CME to support off-exchange deals that are then reported to the exchange, matched, and cleared.

Essentially, the flow is as you described it. Trade Capture Reports are sent in by buyer and seller. Trade Capture Acks are sent back by the exchange to confirm receipt. When matched, Trade Capture Reports are sent by exchange back to firms in a matched status (tag 573). Execution Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade status, report type and trade type. ExecType is not used. I’d be glad to send you some flows and examples if you’re interested.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following scenario
and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0 to
   the exchange.
4. The two trade reports are matched by the exchange and a Trade Capture
   Report is sent unsolicited to both parties as a notification that the
   two trade reports match. (150=F, 856=0, 573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match?
(Case 4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade
reports match?
c) Should the exchange reply with a Trade Capture Report Ack to indicate
a successfully received trade report?

[fplpo_x]

[ original email was from Bernt Sandén - bernt.sanden@om.com ]
Matt,

It would be really helpful if you could send me flows and examples of off exchange trade reporting.

At the NOREX exchanges there are two separate ways to create a trade; 1) automatic matching of orders in the order book and 2) matching of two off exchange trade reports. In both cases the result is a trade and it would be more logical and symmetric to send an Execution Report in both cases (a trade is a trade), otherwise ISV’s and 3:rd party applications need to listen to Execution Reports as well as Trade Capture Reports to capture all trades. In that case I think some tags from the Trade Capture Report should be added to the Execution Report (Tag 828 TradeType and tag 572 TradeReportRefId). The TradeReportRefId should be there to make it possible to link the execution to the Trade Capture Report that resulted in an execution.

Bernt

Bernt - We use the Trade Capture Report at the CME to support off-
exchange deals that are then reported to the exchange, matched,
and cleared.

Essentially, the flow is as you described it. Trade Capture Reports are
sent in by buyer and seller. Trade Capture Acks are sent back by the
exchange to confirm receipt. When matched, Trade Capture Reports are
sent by exchange back to firms in a matched status (tag 573). Execution
Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade
status, report type and trade type. ExecType is not used. I’d be glad to
send you some flows and examples if you’re interested.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following
scenario and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
4. The two trade reports are matched by the exchange and a Trade
   Capture Report is sent unsolicited to both parties as a
   notification that the two trade reports match. (150=F, 856=0,
   573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match? (Case
4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade reports
match?
c) Should the exchange reply with a Trade Capture Report Ack to
indicate a successfully received trade report?

[jorgthonnes]

Bernt - We use the Trade Capture Report at the CME to support off-
exchange deals that are then reported to the exchange, matched,
and cleared.

Essentially, the flow is as you described it. Trade Capture Reports are
sent in by buyer and seller. Trade Capture Acks are sent back by the
exchange to confirm receipt. When matched, Trade Capture Reports are
sent by exchange back to firms in a matched status (tag 573). Execution
Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade
status, report type and trade type. ExecType is not used. I’d be glad to
send you some flows and examples if you’re interested.

Hi Matt,

I am also interested in some flows and examples. In addition, has CME some sort of “Rules of Enagement” which describes their usage of FIX? Please mail to Joerg.Thoennes@macd.com or post links in this forums as appropriate.

Thanks, Jörg

[rajaraobandu_x]

Bernt - We use the Trade Capture Report at the CME to support off-
exchange deals that are then reported to the exchange, matched, and
cleared.

Essentially, the flow is as you described it. Trade Capture Reports
are sent in by buyer and seller. Trade Capture Acks are sent back by
the exchange to confirm receipt. When matched, Trade Capture Reports
are sent by exchange back to firms in a matched status (tag 573).
Execution Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade
status, report type and trade type. ExecType is not used. I’d be glad
to send you some flows and examples if you’re interested.

Hi Matt,

I am also interested in some flows and examples. In addition, has CME
some sort of “Rules of Enagement” which describes their usage of FIX?
Please mail to Joerg.Thoennes@macd.com or post links in this forums as
appropriate.

Thanks, Jörg

Hi Matt,
Could you please include me also in the ‘“Rules of Engagement” with CME’ flows and examples. My email address is rbandu2@comcast.net. Link in the forums is also fine.

Thank You,
RB.

[chintangandhi_x]

Hi Matt,

Would please send those flows to me as well?

Thanks in Advance.

Bernt - We use the Trade Capture Report at the CME to support off-
exchange deals that are then reported to the exchange, matched,
and cleared.

Essentially, the flow is as you described it. Trade Capture Reports are
sent in by buyer and seller. Trade Capture Acks are sent back by the
exchange to confirm receipt. When matched, Trade Capture Reports are
sent by exchange back to firms in a matched status (tag 573). Execution
Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade
status, report type and trade type. ExecType is not used. I’d be glad to
send you some flows and examples if you’re interested.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following
scenario and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
4. The two trade reports are matched by the exchange and a Trade
   Capture Report is sent unsolicited to both parties as a
   notification that the two trade reports match. (150=F, 856=0,
   573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match? (Case
4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade reports
match?
c) Should the exchange reply with a Trade Capture Report Ack to
indicate a successfully received trade report?

[anthonygreen_x]

Not sure if its too late, but could you send me some of the flows also, or any other examples you may have on the Trade Capture Report as I am currently looking in to the design of one at the moment?
hillcrest34@hotmail.com

Thanks

Tony

Bernt - We use the Trade Capture Report at the CME to support off-
exchange deals that are then reported to the exchange, matched,
and cleared.

Essentially, the flow is as you described it. Trade Capture Reports are
sent in by buyer and seller. Trade Capture Acks are sent back by the
exchange to confirm receipt. When matched, Trade Capture Reports are
sent by exchange back to firms in a matched status (tag 573). Execution
Report is not used in this flow.

We make use of a number of tags 939, 487 and 828 in describing trade
status, report type and trade type. ExecType is not used. I’d be glad to
send you some flows and examples if you’re interested.

Hi,

At the NOREX exchanges most of the executions are done automatically.
Executions that are done outside the exchange must however be reported
to the exchange. The Trade Capture Report messages seem as a promising
candidate for reporting off exchange trades to the exchange. In the
NOREX trade reporting model both parties involved in the trade must
report it’s own part. When both parts have reported their part of the
trade the exchange disseminates the resulting execution (trade) after
having matched the two trade reports. I consider the following
scenario and wonder if it is correct.

1. The selling firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
2. A Trade Capture Report is sent unsolicited to the buying firm as a
   notification that the seller has reported his part(150=F, 856=0,
   573=1). This message is intended as a reminder for the buyer to
   report his part.
3. The buying firm sends a Trade Capture Report with tag 150=F, 856=0
   to the exchange.
4. The two trade reports are matched by the exchange and a Trade
   Capture Report is sent unsolicited to both parties as a
   notification that the two trade reports match. (150=F, 856=0,
   573=0)

Some questions:
a) Should the exchange send an ExecutionReport instead of a Trade
Capture Report to indicate that the two trade reports match? (Case
4 above)
b) Is it OK to used tag 573=0 to indicate that the two trade reports
match?
c) Should the exchange reply with a Trade Capture Report Ack to
indicate a successfully received trade report?