Trade reports, clearing and settlement

, ,
1

Imported from previous forum

2

Via the “Execution report” order status and somehow also trades can be identified.

When entering an order I can specify “on behave of” someone to act like a router services of orders.

Case:

If I act like a buy side and enter an order to a sell side (for example to the stock market) , and they match the order with another order they have got “on behave of” someone else. How is the trade reported so that clearing and settlement can be done?

I am missing “the other side” in the Execution report.

Clarify: Participant OHM buys ERICB shares over the stock market from Participant SEB.
How will the fix messages from the stock market to OHM and SEB look like so that OHM and SEB can settle the trade?

/ Jan

3

OnBehalfOf is part of the Standard Header for messages and not exclusive to Orders. The Execution Report should contain an OnBehalfOf tag too identifying the other side. Is this what you mean?

4

Thanks,
I did not understand that "on behave of " was a standard for all message. I will look into that.
/ Jan

5

[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
> Via the “Execution report” order status and somehow also trades can be

identified.

When entering an order I can specify “on behave of” someone to act like
a router services of orders.

Case:

If I act like a buy side and enter an order to a sell side (for example
to the stock market) , and they match the order with another order they
have got “on behave of” someone else. How is the trade reported so that
clearing and settlement can be done?

I am missing “the other side” in the Execution report.

Clarify: Participant OHM buys ERICB shares over the stock market from
Participant SEB. How will the fix messages from the stock market to OHM
and SEB look like so that OHM and SEB can settle the trade?

/ Jan

Jan,

The Execution Report is a message directed to the sender of the order and is used to relay order status information as well as fill information. You are looking for a way to send a Trade confirmation to both parties of a trade. The preferred way of doing this is to send a Trade Capture Report (TCR). This message can be sent to both parties of the trade. Please look into “Trade Capture Reporting” section in volume 5 of FIX 5.0 specification.

Regards,

Bernt Sandén

6

Thanks.
I will take a look at trade capture.

I also did look a little on OMX fast fix specification for vendors.
It would be nice to read the specification for saxsess 4.x.x over fix.

/ Jan

7

[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Jan,

Volume 5.0 of the FIX specification is a very good start. I recommend to read volume 5 in detail.

Thanks. I will take a look at trade capture.

I also did look a little on OMX fast fix specification for vendors. It
would be nice to read the specification for saxsess 4.x.x over fix.

/ Jan

8

Jan,

For fix versions prior to 5.0, I see that tag 115=OnBehalfOfCompID is used to identify the originator of the message when being reported by a hub such as Bloomberg, GL, Nyfix, etc. The same needs to be sent back in tag 128=DeliverToCompID by the counterparty to whom the message was delivered by the hub. I am not sure if 115/128 can be used by the exchange to identify the opposite party to the trade. The settlement generally takes place when the broker reports the trades offline. Need to see settlement meesages communicated via fix. If anyone has any such messages, that would be of great help for me.

Regards,
Sunil

9

I guess the message “Trade Capture Reporting” will do for settlement. At least for our needes.
/ Jan

Jan,

For fix versions prior to 5.0, I see that tag 115=OnBehalfOfCompID is
used to identify the originator of the message when being reported by a
hub such as Bloomberg, GL, Nyfix, etc. The same needs to be sent back in
tag 128=DeliverToCompID by the counterparty to whom the message was
delivered by the hub. I am not sure if 115/128 can be used by the
exchange to identify the opposite party to the trade. The settlement
generally takes place when the broker reports the trades offline. Need
to see settlement meesages communicated via fix. If anyone has any such
messages, that would be of great help for me.

Regards, Sunil

10

[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Jan,

Yes the TCR can be used for relaying confirmed trades to downstream systems as CSD’s and Clearing Houses. Volume 5 of the FIX spec says:

Trade Capture Report Usages
Trade Capture Reports are used for various purposes including:
• Relaying Confirmed Trades to various parties not directly involved in the execution, e.g. CSD’s, clearing houses, clearing firms and regulatory bodies. Those messages are outbound (from the marketplace).
• Relaying Confirmed Trades to counterparties of the trade. Where Execution Reports may be sufficient for front-office purposes, Trade Capture Reports can serve more demanding back-office processes better. Those messages are outbound (from the marketplace).
• Reporting of privately negotiated (“street-side”) trades, i.e. trades formed outside of the marketplace. Those messages are inbound (to the marketplace) but may also be used as outbound (when the marketplace relays them to counterparties).
• Reporting of trades executed on the floor or from an automated order routing mechanism. These messages are inbound.
• Requesting a cancellation or amendment of a Confirmed Trade. Those messages are inbound (to the marketplace) but may also be used as outbound (when the marketplace relays them to counterparties).

/Bernt

I guess the message “Trade Capture Reporting” will do for settlement. At
least for our needes. / Jan

Jan,

For fix versions prior to 5.0, I see that tag 115=OnBehalfOfCompID is
used to identify the originator of the message when being reported by
a hub such as Bloomberg, GL, Nyfix, etc. The same needs to be sent
back in tag 128=DeliverToCompID by the counterparty to whom the
message was delivered by the hub. I am not sure if 115/128 can be used
by the exchange to identify the opposite party to the trade. The
settlement generally takes place when the broker reports the trades
offline. Need to see settlement meesages communicated via fix. If
anyone has any such messages, that would be of great help for me.

Regards, Sunil