FIX has released new guidance on using FIX Protocol and MMT standards when transmitting and using post-trade transparency data regarding European securities. Speaking exclusively to BEST EXECUTION, Jim Kaye, executive director, FIX trading community, said the FIX Trading Community has been active in its work on defining standards and best practices for European post-trade transparency for several years.
The documentation, intended for producers and consumers of post-trade market data in
European securities, provides clarification on the data formatting/population rules for
post-trade transparency in the EU and UK, and to show how FIX Protocol messages should be constructed to facilitate the communication of post-trade transparency reports in a
standardised manner.
Kaye told BEST EXECUTION: “We have working groups covering equities and fixed income with attendance from all parts of the industry, and have had an active dialogue with regulators on the details of post-trade transparency, particularly regarding data formats and trade flags.”
“These two documents are part of a series to help guide the industry in a uniform and high quality implementation, not just of the core regulatory requirements, but everything needed to provide the granularity and conformity of data the industry needs. One provides a scenario-based approach to usage of trade flags in both the UK and EU (which helps to untangle the differences and similarities between the two regimes). The other provides guidance on formatting post-trade transparency reports. We are working on a third document to cover reporting logic including the DR and DPE regimes, cross-border reporting and similar,” Kaye said.
The document is based on guidelines produced by the FIX Trading Community’s MiFID Transparency subgroup, which was last updated in May 2017. The new version covers regulatory changes in the EU and UK and provides more detail on FIX Protocol field usage.
Both EU and UK regulatory authorities are currently making changes to transparency regulation. Therefore the guidance covers EU reporting up to 31 December 2023, and UK reporting up to 28 April 2024, and EU reporting from 1 January 2024, specifically relating to trade flags, venue of execution identification and handling of pending/not-applicable prices and deferrals.
Additionally, the documentation covers UK reporting from 29 April 2024, specifically relating to trade flags.
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