FIX Initiatives Update

Name of Initiative Purpose Latest Status Published Documentation
Cybersecurity To discuss current issues and challenges on this front, review processes and procedures, and leverage the community to develop best practices on how best to handle security concerns. A document with various security threat scenarios was created which represents possible strategies a hostile party may employ to disrupt, imitate or change legitimate message traffic between electronic trading counterparties. The ‘FIX Security White Paper’ (see link to the right) has been updated to incorporate these scenarios. The group’s top focuses include:

  1. Continuing to extend the FIX Cybersecurity Best Practices document
  2. Creation of a regulatory subgroup to consistently monitor regulations globally dealing with cybersecurity
  3. Development of FIX over TLS  Standard – extending the FIX Protocol to meet cybersecurity requirements
 FIX Security White Paper
Digital Currency / Blockchain To educate the FIX community on cryptocurrency, with a particular focus on how cryptocurrencies are being traded as well as how the trading life cycle is impacted by cryptocurrency. A survey was disseminated to the group to find out firm’s understanding of blockchain usage and development activities.  The responses revealed that the majority of participants were interested in focusing on best practices, particularly in the post-trade space.  The primary framework for blockchain post-trade best practices is being drafted.  The existing post-trade best practices will be leveraged in this effort. Additionally, an identifier stream will be established to set-up a framework for digital currency/blockchain identifiers. Digital Currency Working Group Page
Execution Venue To standardize the reporting of the executing venue and create a set of guidelines to provide greater transparency for buy-side clients about where and how their orders are executed by their brokers. An updated version of the ‘Execution Venue Reporting Best Practices’ was distributed (see link to the right) and is focused on adding further clarity around Last Capacity and Liquidity flag definitions, as well as mandating all executing venues, including broker crossing and alternative trading systems, to supply valid Market Identifier Codes (MICs) on their executions.  These changes were made to comply with MiFID II requirements.  Going forward, the group has expanded to include all firm types to work through some of the issues and will also globalise the initiative working with representatives from Europe and Asia. Execution Venue Reporting Best Practices
FIX Orchestra To address the work of generating machine readable rules for FIX Specifications to improve operational efficiency and the value of the FIX Protocol by reducing the time and effort it takes to onboard, certify, and deploy new FIX connections with counterparties. Participants of this group are currently defining the requirements for creating a machine readable FIX specification. FIX Orchestra Page
High Performance To focus on specific aspects where fit-for-purposefulness of FIX for high performance financial transactions can be improved. The working group which is organised into subgroups focused on specific aspects where fit-for-purposefulness of FIX for high performance financial transactions can be improved, continues to meet.  Subgroups include:

  • Application layer
  • Session layer
  • FIX Simple Binary Encoding (SBE)
  • ASN.1
  • Google Protocol Buffers

SBE and FIXP were moved to GitHub to add participation outside of the FIX Trading Community.

 High Performance Website Page
IPO To create a practice that would bring the new issue order placing process in line with the same procedure used for secondary market orders and trade fills. A successful proof of concept sending an electronic order between a buyside trading desk and a sellside syndication software was completed.  Next steps to include keeping the momentum going, increasing awareness in all jurisdictions (EMEA, US, Asia), determining what other work needs to be done and encouraging the sell-side to participate. IPO Best Practices
Post-Trade To explore how to effectively address the many challenges impacting global post-trade processing to encourage the development of increased transparency, reduced costs and greater efficiencies in this space. The group published a standardised and detailed set of guidelines for a number of different asset classes and workflows:

  • Common Framework
  • SEF, FX, FI
  • Futures
  • Equity Swaps
  • Qualified Vendor
  • FX
  • Equity Allocations

See link to our guidelines page to the right and under the ‘Post-Trade’ header you will see the various guidelines listed above as well as the original equities version.

 See Post-Trade Section on Guidelines Page
MiFID II / MiFIR To discuss and address specific regulatory technical standards (RTS) items and provide guidelines and best practices to meet these regulatory requirements. The following set of subgroups continue to meet:

  • Best Execution – creating a set of guidelines for firms to reference in order for them to be compliant explaining which entities must report under these new requirements, what data they must publish and how often.  It will also provide clarity as to how these reports apply to different scenarios based on the entity, their role in the trading workflow and the trading model they employ. Additionally, there is a glossary providing clear definitions of the terms used by ESMA.
  • Clock Synchronisation – focuses include 1) the construction of  a framework of tests that can be used to evaluate a solution and that meets the group’s collective definition of what a compliant solution may look like and which to a large extent helps with the annual review of system suitability, 2) the revival of work to establish a common baseline for traceability reporting that the group are both comfortable with, and that we feel meets the spirit and word of the regulations, 3) implementation challenges addressing questions for network providers, both in-house and for hosting solution providers, who need to understand the technical constraints of synchronisation over wide areas and how to assess such things.
  • Commission Unbundling – A proposal has been put forward to use existing FIX tags that are currently available and then to add an additional value to highlight research payment. The Global Post Trade Working Group is currently reviewing this proposal and will advise shortly.
  • Order Data & Record Keeping – a merged FIX / AFME group that is currently exploring using short codes to represent the data required and then collect a mapping file at the end of the day. By encrypting the information and storing it securely, the aim is to provide the regulators with workflows that meet their approval. The WG is additionally reviewing the requirements of submitting firm to receiving firms and will soon look at receiving firms to submitting firms.  The final task for the WG will be to provide a set of guidelines and best practices that can be shared with the industry.
  • Reference Data – understanding the reference data requirements across the transparency RTS 2, transaction reporting RTS 22 and the reference data reporting RTS 23. In the coming months, the WG will focus on RTS 23 reference data reporting requirements and the extension of ISIN reporting to OTC derivatives.
  • Transparency – has been working on three particular areas:
    • Updating the documentation for usage of the MiFID II post-trade transparency flags.
    • Best practice guidance for post-trade transparency for MiFID II, encompassing APA messaging, ‘who reports’ logic, deferrals and related topics.
    • The first set of FIX Protocol extensions for order record keeping, transaction reporting and post-trade transparency.
 MiFID II Initiative
Risk Mitigation Symbology To increase the availability of ‘listed’ test / spurious financial instruments in the industry. As FIX Protocol adoption for post-trade matures, increased demand will follow for allocations and if so would therefore require test symbols that can be allocated and cleared without the transfer of monies. A set of best practices is currently being pulled together. The group received its first futures test symbol from the CME called 0-MD (including a rules of engagement), which will be available for pre-market testing for futures.  Toronto Stock Exchange has granted a test symbol.  Regulation will likely require more test symbols to be utilized by a number of exchanges. Risk Mitigation Symbology Working Group Page
Transaction Cost Analysis To create a standardised set of guidelines for understanding the true cost of transactions among brokers and liquidity destinations. Phase II (not officially underway yet) of the project will expand the document to include TCA perspectives on Futures and Listed Options, Foreign Exchange and Fixed Income.  In early 2014, a set of best practices for equities was released to develop industry-wide terminology and methodology for TCA equities, from pre-trade to post-trade analytics.  This was recently updated by the IA (Investment Association) (link to the right). TCA Best Practices