|
ECNs, Exchanges
< Previous Next >
Re: Dark/Lit Indication on Execution Reports
Hanno Klein / Deutsche Börse Systems <>
2 Jul 2010 9:31AM ET Hi Andrew,
I would concur that distinct venues can use distinct MIC values. I am not aware of any restrictions on getting more than one MIC for a given marketplace. The way you describe the separation fits the purpose of two MICs in my view as it includes non-technical aspects. I was concerned that the idea was to use CHIX as an overall MIC and subordinate values such as CHIL and CHID for lit and dark book. This would constitute a hierarchy which should be covered by the market segmentation concept in FIX (tag 1300 MarketSegmentID). However, MarketSegmentID is not (yet) part of the single order messages and the ExecutionReport.
Multiple MICs also seem to be the wrong choice when there are automated interactions between them that the user does not control, e.g. round lot and odd lot book with round lots being tradable in both (don't know if that is a good example but I hope it shows what I mean).
Regards,
Hanno.
> Hanno, I'm interested to see your views on the MIC codes. Personally I think separate MIC codes is critical. At a regulation level, a lit book (eg Chi-X) is forced to operate distinctly from a dark book (Chi-Delta), and the venues are not allowed to mix the flow from one pool to the other. They are distinct venues and should be treated as such. Additionally it is critical for all post trade processing (venue activity reporting on fills, TCA analyses, and their consequent impact on smart routing behaviour) that this distinction can be made. Our clients are consequently asking us to create dummy MIC codes to compensate for use of tag 30, so that we use CHIX vs CHID for example, even though CHID is not an ISO standard. It would be better for all if such standards were properly established and adopted to avoid growth of alternative MICs. Anything that works off another tag will mean multiple touch points wherever MICs are used having to adapt to a new multi tag denomination. At the regulatory level, CESR are taking on board exactly this perspective when thinking about the tape quality and plans for MiFID II. Andrew
>
>
Re: Dark/Lit Indication on Execution Reports
Hanno Klein / Deutsche Börse Systems 2 Jul 2010 9:31AM ET
|
