We’ve recently starting getting requests from clients to use tag 2405 to indicate which internal desk of ours executed flow under our SI MIC code. Since going live with MIFID II many brokers have a single MIC to indicate their SI but the SI liquidity could come from multiple internal desks that are filling the order as an SI.
Tag 2405 was added to the FIX protocol as part of MIFID II and is defined as ExecMethod with the values 0 – Undefined, 1 – Manual, 2 – Automated, and 3 – Voice brokered.
Clients are indicating that brokers are using the 2405 values 0,1,2,and 3 to represent internal SI liquidity sources so that whilst 2405=2 might be defined as ExecMethod=Automated it’s being used instead to communicate that it was an SI risk unwind fill. I spoke to some vendors about this and whilst they hadn’t had client requests to enable 2405 as an SI liquidity indicator they did support the parameter being MIFID II related and so were storing the value which could be used to indicate SI liquidity if that’s how the buyside was interpreting it.
Has the FIX Protocol had any discussions on how to represent different SI liquidity sources which share the same MIC code?
The concern of using 2405 is that it’s pre-assigned to ExecMethod so some buysides might be using the field to indicate ExecMethod and would then incorrectly interpret it if it was also used to show SI Liquidity sources. Also 2405 only has 4 possible values and its possible there could be more sources of SI liquidity within a broker.
Has there been any discussion on this topic?