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ECNs, Exchanges
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Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy <>
22 Jul 2010 5:57PM ET Hi Natan,
I support your idea of introducing further best practise concepts for Trade Reporting either in Vol.5 of the FIX5 spec or as a separate best practise document.
Specifically relating to tag 11:
If a participant chose to submit Tag 11 in a TR then a best practise could be to use the Tag 11 value as it was at the point of the trade to aid traceability.
Acceptable practises could be to use the Tag 11 of the order at the point in time the TR is created or not to use Tag 11 at all in the TR.
Trade Reporting over a FIX connection may include Trades executed using non FIX electronic connectivity so Tag 11 shouldn't be mandatory for Trade Reporting of all electronic trades (and some participants may not want to disclose their Tag 11's to a 3rd party like a trade reporting system because their Tag 11's may include end client identifiers).
cheers
Aaron.
> The incentive is to come up with the best practice in regards to usage of ClOrdID [11] in trade Capture Reports.
>
> The issue is described above, where there are at leat two approaches for populating ClOrdID in Trade Capture Reports.
> 1) Refer to ClOrdID [11] value in the matching Execution Reports
> 2) Refer to the current ClOrdID [11]
>
> Each have pros and cons, as already outlined.
>
> Note. The issue is unrelated to usage of OrdId [37], which is a valid reference. However, for all transactions related orders submitted electronically ClOrdId [11] must be provided - this is a principle that is used in trading. I will argue that this is a valid requirement in post trading.
Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy 22 Jul 2010 5:57PM ET
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