|
ECNs, Exchanges
< Previous Next >
Re: Dark/Lit Indication on Execution Reports
Hanno Klein / Deutsche Börse Systems <>
18 Jun 2010 3:33AM ET 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
Hanno Klein / Deutsche Börse Systems 18 Jun 2010 3:33AM ET
|
