Summary of Changes to FIX for MiFID

 

The changes proposed to the FIX specification are relatively minor and consist of a small number of new fields and enumerations. No new message types are required.

 

A summary of the changes made to FIX for MiFID are included in the below table. Please see the full MiFID Gap Analysis which is located at the following link: http://www.fixprotocol.org/documents/2527/MiFID_FPL_Gap2.1.pdf

 

 

Tag

Field Name

Action

Data type

Field Description

FIXML Abbreviation

Add to / Deprecate From Message Type or Component Block

1132

TZTransactTime

Add new

TZTimestamp

Represents the transact time in the local date-time stamp with a TZ offset to UTC identified

 

TradeCaptureReport

1133

ExDestinationIDSource

Add new

char

identifies the ID source of ExDestination

Add enums

B - BIC

C – AccptMarketPart

D – PropCode

E – ISOCode

G - MIC

 

 

New Order Single

New Order List

OrderCancelReplaceRequest

Quote

NewOrderCross

CrossOrder CancelReplace Request

New Order Multileg

MultilegOrder CancelReplaceRequest

QuoteStatusReport

QuoteResponse

1134

ReportedPxDiff

Add new

Boolean

Shows that the reported price that is different from the market price

Update usage description in message tables to state that the reason(s) for the price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType as well

 

TradeCaptureReport

828

TrdType

Update

int

Add new enums

·          Error trade

·          Special cum dividend = CD

·          Special ex dividend = XD

·          Special cum coupon = CC

·          Special ex coupon = XC

·          Cash settlement = CS

·          Special price (usually net- or all-in price) = SP

·          Guaranteed delivery = GD

·          Special cum rights = CR

·          Special ex rights = XR

·          Special cum capital repayments = CP

·          Special ex capital repayments = XP

·          Special cum bonus = CB

 

 

 

 

 

 

 

·          Special ex bonus = XB

·          Block trade (same as large trade)

·          Worked principal trade (UK-specific)

·          Block Trades – after market

·          Name change

·          Portfolio transfer

·          Prorogation buy – Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system) . Trades must be reported as crosses at zero price

·          Prorogation sell  - see prorogation buy

·          Option exercise

·          Delta neutral transaction

 

 

 

 

 

 

 

·          Financing transaction (includes repo and stock lending)

 

 

829

TrdSubType

Update

int

Add new enums

·          Al - automated input facility disabled in response to an Exchange request.

·          B - transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.

 

 

 

 

 

 

 

 

·          K - transaction using block trade facility.

·          LC - correction submitted more than three days after publication of the original trade report.

·          M - transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.

 

 

 

 

 

 

·          N - non-protected portfolio transaction or a fully disclosed portfolio transaction

·          NM

i) transaction where Exchange has granted permission for non-publication

ii)IDB is reporting as seller

iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.

·          NR - non-risk transaction in a SEATS security other than an AIM security

 

 

 

 

 

 

 

·          P - protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities

·          PA - protected transaction notification

·          PC - contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system

·          PN - worked principal notification for a portfolio transaction which includes order book securities

 

 

 

 

 

 

 

·          R

(i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction)

(ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)

or

 

 

 

 

 

 

 

(iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).

 

 

 

 

 

 

 

·          RO -  transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant

·          RT - risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security

·          SW - transactions resulting from stock swap or a stock switch (one report is required for each line of stock)

·          T - if reporting a single protected transaction

 

 

 

 

 

 

·          WN - worked principal notification for a single order book security

·          WT - worked principal transaction (other than a portfolio transaction)

 

 

 

21

HandlInst

Update

MultipleCharValue

Add new enum:

·          Best Execution

 

 

269

MDEntryType

Update

 

Add new enum:

·          Auction clearing price

 

 

270

MDEntryPx

Update

 

Update usage description in message tables to state MDEntryPx is conditionally required when MDEntryType = "auction clearing price"

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

271

MDEntrySize

Update

 

Update usage description in message tables to state MDEntrySize is conditionally required when MDEntryType = "auction clearing price"

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

452

PartyRole

Update

 

Add new enums for:

·          Quote originator

·          Report originator

·          Systematic internaliser (SI)

·          Multilateral Trading Facility (MTF)

·          Regulated Market (RM)

·          Market Maker

·          Investment Firm

·          Host Competent Authority (Host CA)

·          Home Competent Authority (Home CA)

·          Competent Authority of the most relevant market in terms of liquidity

·          (CAL)Competent Authority of the Transaction (Execution) Venue (CATV)

 

 

 

 

 

 

·          Reporting intermediary (medium/vendor via which report has been published)

·          Execution Venue

·          Market data entry originator

·          Location ID

·          Desk ID

 

 

 

803

PartySubIDType

Update

 

Add new enums:

·          Market maker

·          Eligible counterparty

·          Professional client

·          Location

·          Execution Venue

 

 

RoutingGrp

RoutingGrp Component Block

Add

 

Add NoRoutingIDs repeating group

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

 

282

MDEntryOriginator

Deprecate

 

 

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

283

LocationID

Deprecate

 

 

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

284

DeskID

Deprecate

 

 

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh

285

MDMkt

Deprecate

 

 

 

MarketDataSnapshotFullRefresh

MarketDataIncrementalRefresh