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ECNs, Exchanges
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Re: Dark/Lit Indication on Execution Reports
Lalin Dias / Millennium Information Technologies <>
18 Jun 2010 4:50AM ET Yes. That is the intension that is apparent from the specification. However, I recall seeing posts on this discussion forum about also using TradingSessionID (336) to denote separate books (e.g. odd lots). I was curious whether such a use would be deemed appropriate.
> TradingSession(Sub)ID has a different intention, i.e. to represent (sub-)phases in terms of time, not location. FIX 5 SP1 defines a list of recommended valid values even if you can still use any value for backward compatibility.
>
> TradingSessionID is for larger phases that can be expressed in terms of the business day (e.g. 1=Day, 2=Half Day,...). TradingSessionSubID is for shorter phases that are part of TradingSessionID (e.g. 1=Pre-Trading, 2=Opening,...).
>
> > Would TradingSessionID (336) be another option?
> >
> > > I am not aware of a standard here but I am not sure distinct MICs are the best approach. You do not want a hierarchy of MICs, one for ExDestination and sub-MICs for the lit and dark book. Also without a hierarchy, there is often a lot more attached to a MIC, e.g. trading admissions which you do not want to duplicate. Something more lightweight is needed here.
> > >
> > > There is a user defined field (5018 OrderBookID) that goes more in the direction I think we should be going. Another option is to extend an existing tag (1021 MDBookType) beyond market data. It covers all kinds of situations where you have distributed liquidity of a single instrument within the same trading venue, i.e. round lot vs odd lot book, retail vs institutional order book.
> > >
> > > > > Is there a (burgeoning) standard mechanism for indicating that an execution has occurred on a dark or lit segment of an integrated book?
> > > >
> > > > No market standard. Using FIX 4.2 some firms will modify tag 30 on exec reports to distinguish.
> > > >
> > > > Personally I think we should see 2 ISO MICS - light and dark - per ex destination....
Re: Dark/Lit Indication on Execution Reports
Lalin Dias / Millennium Information Technologies 18 Jun 2010 4:50AM ET
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