Philip Westpfel
24 March 2017 10:36am
Hello
Can someone advise the difference between TAG 1390 & 2524?
My understanding is that 2524 advises whom has reported the execution fill.
Does 1390 advise the recipient whether the fill is a reportable fill or a reference message. Thus could the buy side look to this tag to determine what execution level information to include in the T+1 transaction reports.
Hanno Klein
24 March 2017 10:59am
TradePublishIndicator(1390) was initially created as an (inbound) instruction to a venue whether to publish (to the public, not to the regulator) or not. We have now realised that it also needs to be used outbound as information when a trade has actually been published. In the context of MiFID this is useful for an APA to convey publication status. Changes to this field are currently being discussed in the FIX Global Technical Committee.
TradeReportingIndicator(2524) was added specifically for MiFID II to indicate the staus of trade reporting (to the regulator, not the public), i.e. it is only outbound from a reporting venue.
None of the two is about details related to what is to be published/reported. What RTS document/article is the basis for your requirement?
Philip Westpfel
24 March 2017 11:08am
I looked at EP222 document. However maybe I can phrase the question slightly differently. Is there concensus from the working group how the sell side firms will advise which execution level they are reporting on T+1 transaction reports. Our understanding is that the levels must match between the investment firm & client. As such the buy side must understand if the fill received is a reference message or one that will be reported by the Investment firm.
Hanno Klein
24 March 2017 12:30pm
The MiFID II Gap Analysis Part 2 Table 2 #5 possibly adresses this issue which runs unders “Notice of Execution”. It was out for public comment (see http://www.fixtradingcommunity.org/pg/discussions/topicpost/3795251/) and says:
There is no gap for this requirement. GTC recommends the following approach to avoid disrupting established fills reporting paradigm in FIX:
Investment firms will continue to report partial fills and fills to their customers using the ExecutionReport(35=8) with:
ExecType(150)=F (Trade)
OrdStatus(39)=1 (Partially filled) or 2 (Filled)
For the “single transaction at the end of the order” requirement, investment firms can send to their customer who requires this an ExecutionReport(35=8) with:
ExecType(150)=I (Status)
OrdStatus(39)=3 (Done for day)
This serves as a “trade recap” at the end of the day. The LeavesQty(151) and CumQty(14) would reflect the overall leaves and cumulative quantities for the order at the end of the day, whether the order is fully filled or not.