EP265-EP269 added to FIX Latest

The FIX Global Technical Committee (GTC) announces the addition of five new Extension Packs to the FIX Latest specification, the normative specification of the FIX application layer, since the last blog post in November 2020. The artefacts for the individual Extension Packs described below are available here.

EP265 Previous Quote Identifier

This Extension Pack is a follow up to EP253 Extensions for CAT/FIX Mapping. Some of the extensions proposed by the CAT/FIX mapping were not included in EP253 and are covered with this Extension Pack.

EP266 Unique Product Identifier (UPI)

In order to improve transparency, mitigate systemic risk and protect against market abuse on a global basis, the Financial Stability Board (FSB) have implemented an internationally recognized Unique Product Identifier (ISO 4914 UPI) for over-the-counter (OTC) derivatives. The UPI is required to be common across all G20 jurisdictions and is therefore designed to support the global aggregation of transaction and position data reported to Trade Repositories (TRs) covered by G20 regulatory authorities. This Extension Pack added the field UPICode(2891) to support providing this information in FIX Equivalent fields for instrument legs and underlying instrument were included. See FIXimate for details.

EP267 Market Data Extensions

This Extension Pack addresses enhancements needed to support new market data types for changing market needs and new products’ data attributes. The business requirements covered with this Extension Pack are related to threshold limits and price banding, daily and accrued financing values, and TWAP (time weighted average price). The field MDEntryType(269) was extended with additional values and the existing PriceLimits component was added together with the field MaxPriceVariation(1143) to the main market data messages. See FIXimate for details.

EP268 MMT v3.5

This Extension Pack addresses the need to improve the overall post-trade transparency. It includes the mapping of new MMT flags to new fields and values in FIX. A new generic field TertiaryTrdType(2896) was created as part of the enhancement in addition to the existing fields TrdType(828) and SecondaryTrdType(855). This supports the use of up to three different trade types in a single message. See FIXimate for further details.

EP269 Extension for Trade Compression

This Extension Pack clarifies the support of bilateral and multilateral compression for portfolio and netted trades using the FIX. The existing value TrdSubType(829) = 48 (Multilateral compression) has been clarified to be applicable to appropriate trade types and a new value 54 (Bilateral compression) may be used to identify a special case of compression between two parties.