EP273-276 added to FIX Latest

The FIX Global Technical Committee (GTC) announces the addition of new Extension Packs to the FIX Latest specification, the normative specification of the FIX Protocol. The artifacts included for each of the individual Extension Packs are as follows:

  • ASBUILT – clean PDF document of the implemented Gap Analysis that includes the assignment of new tags and values;
  • ASBUILT with changetracks – same as ASBUILT but with changetracks showing the differences compared to the document submitted to the GTC;
  • Orchestra Repository – single XML file of FIX Latest using Orchestra v1.0;
  • Unified Repository – XML files of FIX Latest using Repository 2010 Edition;
  • Basic Repository – XML files of FIX Latest using basic repository format;
  • FIXML Schema – XSD files of FIX Latest using FIXML.

The complete list of Extension Packs is available here.

EP273 Digital Asset Trading Extensions

This Extension Pack allows FIX to support two different digital asset trading styles, due to different existing market practices:

  • FX-style – currency pairs (e.g. BTC/USD, BTC/ETH) of fiat and/or digital currencies
  • Securities-style – for trading any digital asset, priced and/or settling in either a fiat or digital currency

The identification of fiat currencies has been standardized a long time ago with ISO 4217, whereas the identification of digital assets (including digital currencies) has only recently been standardized with ISO 24165 Digital Token Identifier (DTI). One of the main changes is to enhance the existing FIX datatype “Currency” to support both ISO 4217 and ISO 24165. This requires a number of additional extensions to support the ability to distinguish between the two code schemes when using FIX currency fields such as Currency(15) and SettlCurrency(120).

Please see here for the ASBUILT document, repository files, and FIXML schemas.

EP274 Anonymous Trade Indicator Extension

On July 24, 2020, the US Commodity Futures Trading Commission issued their final rule which amended Part 37 of the Commodity Exchange Act (CEA) to prohibit post-trade name give-up for swaps trades executed anonymously that are intended to be cleared.

Swap Execution Facilities (SEF) or responsible party reporting trades to a SDR is required to indicate that the trade was executed anonymously.

In order to precisely and unambiguously indicate that the trade was executed anonymously and to meet CFTC’s requirement imposed on SDRs to mask counterparty identity, this Extension Pack adds a new explicit field, AnonymousTradeIndicator(2961) to the main level of the ExecutionReport(35=8) and TradeCaptureReport(35=AE) messages and within the MDFullGrp and MDIncGrp components.

Please see here for the ASBUILT document, repository files, and FIXML schemas.

EP275 RegulatoryTradeIDGrp Enhancements

The US Commodity Futures Trading Commission published an update to their Technical Specification for Parts 43 and 45 swap data reporting and public dissemination requirements. The updated guidelines require either a Unique Swap Identifier (USI) or a Unique Transaction Identifier (UTI, ISO 23897) to uniquely identify the swap transaction.

The CFTC’s USI Data Standard is a 2-field representation of the USI where the first “field” is the namespace identifying “the registered entity creating the USI” and the second “field” contains the transaction identifier. The UTI (ISO 23897) is defined as a single string where the entity creating the identifier is part of the UTI in the form of the entity’s LEI (ISO 17442 Legal Entity Identifier), therefore a separate namespace is not needed.

In order to meet the requirements of being able to convey both the USI and UTI in the same components in FIX, this Extension Pack extends the field RegulatoryTradeIDSource(1905) with a field elaboration as well as a code set value with a single value 1 = Unique Transaction Identifier (ISO 23897) to allow for explicit indication that the value in RegulatoryTradeID(1903) is a UTI value.

Please see here for the ASBUILT document, repository files, and FIXML schemas.

EP276 Security Reference Data Extension

This Extension Pack addresses a gap in the FIX Protocol related to the unique identification of derivative instruments where the security identifier and core reference data attributes are not sufficient, e.g. two or more separate instruments having the same date of expiration.

A new field, SecurityReferenceDataSupplement(2962), was added to generically assist in disambiguating an instrument where the security identifier and core reference data attributes are not sufficient to uniquely identify the instrument.

The data used for disambiguation can be of synthetic nature (e.g. 1, 2, 3,… or A, B, C,…) or based on other characteristic of the instrument. An example of the latter is an energy futures or options contract which may have the same expiration date with different delivery dates that fall on a non-business day; in such a use case the first day of delivery date may be used to disambiguate such contract.

Please see here for the ASBUILT document, repository files, and FIXML schemas.