EP259-EP264 added to FIX Latest

The FIX Global Technical Committee (GTC) announces the addition of six new Extension Packs to theĀ FIX Latest specification, the normative specification of the FIXĀ application layer. The artefacts for the individual Extension Packs described below are available here.

New Extension Packs

EP253 Extensions for CAT/FIX Mapping

This extension pack has actually already been published but needed to be republished due to a datatype error in one of the extensions. The new value for RefOrderIDSource(1081) to specify a manual order identifier had been defined as “10”, following the previous values of “0”…”9″. However, the datatype of this field is char and not int. The value was therefore changed to “A”. Apologies for any inconvenience caused by this correction.

EP259 Related Orders

Support for order aggregation on execution reports. This extension had originally been designed as a change to theĀ OrderAggregationGrp component in the post-trade area and adding it to the ExecutionReport(35=8) message. This was not possible as the component contains fields that are already part of the ExecutionReport(35=8) message, e.g. OrderID(37). The original proposal to extend OrderAggregationGrp with new fields OrderTime(2836) and OrderOriginationFirmID(2835) was hence rescinded in favor of a more generic solution similar to the repeating groups RelatedTradeGrp and RelatedPositionGrp.

EP260 Application Version for FIX Latest

Application version identifier for FIX Latest. This extension adds a new value 10="FIXLatest" (note that there is no space in the value) to ApplVerID(1128). FIX Latest is the term used to describe the latest version of the FIX application layer. FIX Latest is updated with each approved extension pack. FIX Latest is cumulative, containing all Extension Packs that have been approved prior. The number of included Extension Packs increases over time

EP261 RegulatoryReportType Extension

Additional support for CAT (Consolidated Audit Trail) event types. EP253 addedĀ RegulatoryReportType(1934) to a number of messages to convey the CAT event type. This extension adds the field to further messages (NewOrderSingle(35=D), ExecutionReport(35=8), Quote(35=S), QuoteStatusReport(35=AI)) for the same purpose.

EP262 APAC Master SPSA

Additional sources for parties to support segregated accounts in the APAC region. The Master SPSA (Master Special Segregated Account) Service is an optional service introduced to facilitate the trading efficiency of the Shanghai and Shenzhen Connect. It requires a number of identifiers for investors and their accounts that are assigned by the central clearing and settlement system(CCASS) of Hong KongExchanges and ClearingLimited (HKEX). This extension adds two new values to PartyIDSource(447) for SPSA and Master SPSA identifiers.

EP263 Regulatory Timestamps for Quotes

Support for repeating group of timestamps in quote messages. The TrdRegTimestamp component supports one or more timestamps related to trading and/or regulatory reporting. This extension adds the component to the pre-trade area, more specifically to the Quote(35=S)Ā andĀ QuoteStatusReport(35=AI) messages. It also adds the generic QuoteAttributeGrp component to the QuoteStatusReport(35=AI) message.

EP264 CAT/FIX Mapping Phase 2 (Update)

Additional support for data reporting required by CAT (Consolidated Audit Trail). EP253Ā already provided a significant number of extensions for CAT. A few of the enhancements proposed by the CAT/FIX mappingĀ were not included in original Extension Pack and are covered with this new extension. They mainly include the addition of existing fields and components and do not add any new fields or components.

SpecificationĀ Enhancements

In addition to the extensions of the application layer described above, there have also been a number of enhancements for the existing content. Previously, only the global components, i.e. components used in two or more business areas were shown as a diagram with their nested components. This visualization has now been extended to all components throughout the entire specification, for example to show the structure of the repeating groupĀ TrdCapRptSideGrp in the post-trade business area:

The diagram shows the next level of nesting and uses “…” to indicate whether there are any further nested components. It also uses a curved arrow (ā¤ø)Ā to indicate whether a component is repeating or not.