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ECNs, Exchanges
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Re: Dark/Lit Indication on Execution Reports
Hanno Klein / Deutsche Börse Systems <>
17 Jun 2010 11:30AM ET 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?
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> No market standard. Using FIX 4.2 some firms will modify tag 30 on exec reports to distinguish.
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> Personally I think we should see 2 ISO MICS - light and dark - per ex destination....
Re: Dark/Lit Indication on Execution Reports
Hanno Klein / Deutsche Börse Systems 17 Jun 2010 11:30AM ET
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