Imported from previous forum
Hi All,
EP 131 introduced the ‘DisclosureInstructionGrp’ component to the following message types;
-ExecutionReport (8)
-NewOrderSingle (D)
-NewOrderMultileg (AB)
-OrderCancelReplaceRequest(G)
-MultilegOrderCancelReplace (AC)
There is a requirement to add ‘DisclosureInstructionGrp’ to Quotes(S) and TradeCaptureReport(AE) – for off exchange trade submissions. However, looking at EP 131, this component block is not present for these message types. As we are highly focused on being FIX compliant, we see a conflict here.
I like to clarify the following;
-
Whats your view on the applicability of DisclosureInstructions for Quotes (Market Maker) and Off Exchange Trades? Is it a reasonable requirement to have these in Quotes and TCRs?
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Do you know of any new extensions to FIX 5.0 that will allow us to use ‘DisclosureInstructionGrp’ in Quotes and Trade Capture Reports to conform with the FIX standard?
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If answer to 2 is No, as per your knowledge, are there any other tags/component blocks in FIX 5.0 SP2 that we can use for the same purpose as ‘DisclosureInstructionGrp’ for Quotes and Trade Capture Reports?
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Finally, i was thinking of may be using custom FIX tags in Quotes and Trade Capture Reports as substitutes for ‘DisclosureInstructionGrp’. Is this recommended? And would this meet FIX compliance?
Thanks a lot,
Hiran
There is work in progress related to FIX MMT v3.0 which is intended to cover trade reporting gaps for MiFID 2. There will be a mapping to FIX tag=value This includes the idea to use DisclosureInstructionGrp on the TCR to indicate non-disclosed volume. The same approach could be taken for pre-trade transparency, e.g. the obligation of Systematic Internalisers to quote current prices and asking for non-disclosure of volume. Currently there is only a generic mechanism to suppress/defer publication of a trade as a whole, see TradePublishIndicator (1390) for details.