FIX MiFID Initiatives

MiFID II (the update to MiFID and introduction of MiFIR) comes into effect on the 3rd January 2018. The changes are broad-reaching, covering multiple asset classes and a significant part of the trade lifecycle. FIX Trading Community has, over the last few years, engaged in a number of the topics covered by MiFID II and is well placed to assist the industry – practitioners, regulators and solution providers – in a number of key topics.

To this end, FIX Trading Community™ has a number of MiFID-related initiatives in progress, reflecting the critical significance of effective connectivity as a key concern to members and other FIX® users. FIX maintains an ongoing dialogue with the regulatory community and are engaged with them to develop practical solutions to the requirements of MiFID II.

FIX MiFID Deliverables

EP206 Clock Synchronisation Datatype Enhancement
This extension pack enhances the precision of time stamp data types with higher resolution and greater granularity in order to meet MIFID II and MiFIR regulatory reporting requirements.

EP222 MiFID II/MiFIR Extensions Part I
This extension pack extends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers an initial set of critical data requirements identified by the sub-working groups on transparency, and order data and recordkeeping.
[Updated 2017-02-01] Added missing fields and components to be added to the ExecutionReport(35=8).

EP228 MiFID II/MiFIR Extensions Part II
This extension packextends the FIX Protocol to meet the requirements of MIFID II and MiFIR. This extension pack covers a second set of critical data requirements identified by the sub-working groups on transparency, and order data and recordkeeping.

MiFID II/MiFIR Extensions Part III
The third extension pack contains recent requirements from the various MiFID working groups. This document has had a public review period and is awaiting an EP Assignment.

RTS 22 Extension Proposal
The document seeks to address a gap in the FIX Protocol application layer to fulfill requirements for ESMA RTS 22 which addresses post-trade transaction reporting data requirements and obligations when reporting transactions to ESMA or National Component Authorities (NCA).  This document is out for public review until the 11th of July.

RTS 27 Extension Proposal
This document seeks to address gaps in MiFID II RTS 27 for specified reporting requirements.  This document is out of public review period until the 11th of July.

Commission Unbundling Enhancements
This document has been developed to provide recommended practices to facilitate industry-wide implementation of post-trade processing via FIX between buy-side and sell-side firms.  This document is out for public review until the 14th of July.

Working Group deliverables including Implementation Guidelines

MiFID/MiFIR II Trade Reporting Implementation Guidelines
These guidelines provide guidance on implementing the requirements for post trade transparency (referred to in this document as ‘trade reporting’, being a generally accepted term). Much of this material is based on “Standards for the Consolidation of Trade Reports and Market Data in Europe” from the FIX EMEA Trade Data Standardisation Working Group, December 2013, with updates made to bring the text in line with the relevant MiFID II level 2 text (also included).

MiFID II Order Record Keeping Venue Subgroup – Short Code Standard
Provides details of the short code format as produced by Order Data & Record Keeping Venue Subgroup

MiFID Trading Capacity & FIX Tag 29
Provides details on the usage of Tag 29 (Last Capacity) to meet requirements as defined by ESMA

Recommendations for Algorithmic Testing Test Cases
The MiFID RTS places the obligation to test algorithms on the investment firm operating the algorithms. Though it is ultimately up to individual investment firms to determine how best to achieve this, the following guidelines have been prepared to assist investment firms in meeting these requirements.

DRAFT RTS1 Tree – produced by the FIX MiFID Transparency Subgroup
Provides details on cash equity trading scenarios and usage of the post trade transparency flags to satisfy ESMA requirements as per RTS1 guidelines.

DRAFT RTS2 Tree – produced by the FIX MiFID Transparency Subgroup
Provides details on fixed income and derivatives trading scenarios and usage of the post trade transparency flags to satisfy ESMA requirements as per RTS2 guidelines.

DRAFT Best Execution Implementation Guidelines – provides guidelines to explain which entities must report under these new requirements, what data they must publish, how often and 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.

DRAFT AFME_FIX Hand Offs Implementation Guidelines – provides guidelines to show the required information to be passed between parties for Order Data and Record Keeping purposes and the FIX mappings for these.

DRAFT Inter-Firm Data Communication for Transaction Reporting Implementation Guidelines – The MiFID Transaction Reporting Working Group has prepared implementation guidelines for the communication of information between investment firms to facilitate transaction reporting requirements under MiFID II, please see attached.

DRAFT Mapping Tables – MiFID Fields to FIX Fields.

MiFID – FIX Discussion Forum
If you have any questions related to FIX for MiFID, please post them in the General Q&A Discussion Forum.

Newsletter -February 2017 edition

Newsletter – May 2017 edition

FIX MiFID Subgroups – Summaries and Activities:

These subgroups were created by the EMEA Regulatory Subcommittee to address issues specific to MiFID regulation requirements.

  • Transparency –pre- and post-trade transparency requirements including scenario modeling and data considerations for consolidated tape, leveraging related work from the FIX Trade Data Standardisation Working Group
  • Best execution– documentation of best practices for best execution reporting, leveraging related work from the FIX TCA Working Group.
  • Microstructure– implications of the requirements for algorithm testing, pre-trade controls, monitoring, tick sizes, OTR and market making regimes, leveraging related work from the FIX Risk Management Working Group.
  • Order data and record keeping– analysis of the data requirements for order record keeping, working on best practices, adoption of standards and implementation implications.
  • Clock synchronisation– implications and implementation considerations, leveraging related work from the FIX Interparty Latency Working Group
  • Reference data– ensuring the community fully understands the requirements and implications for reference data and is engaged in relevant industry discussions on common standards
  • Trade & Transaction Reporting– address the post trade reporting process across the transaction life cycle and try to create and adopt common standards, for post trade reporting and transaction reporting.
  • Commission Unbundling– provide guidelines as to how the use of FIX and standards can provide a solution with particular attention to the funding of an RPA via trading.

MiFID II Presentations (Recordings/Slides)

MiFID Overview – Jim Kaye, Co-Chair, GSC Committee, FIX Trading Community recently provided members of the FIX Global Buy-side Community with a presentation on MiFID II. Please click here to listen to the recording and here to view the slides.

Commission Unbundling– David Pearson, Co-Chair, Global Post-Trade Working Group, FIX Trading Community recently provided members of the FIX Global Buy-side Community with a presentation on commission unbundling. Please click here to listen to the recording and here to view the slides.

Best Execution – Rebecca Healey, Co-Chair, EMEA Regulatory Committee, FIX Trading Community recently provided members of the FIX Global Buy-side Community with a presentation on best execution. Please click here to listen to the recording and here to view the slides.

FIX Trading Community has worked closely with regulators across Europe, and as part of this work has responded to a number of Consultation and Discussion papers regarding MiFID II.  Details of these responses can be found here:

FIX Trading Community response to ESMA Consultation paper on MiFID II/MiFIR March 2016

FIX Trading Community response to ESMA Consultation paper on MiFID II/MiFIR Feb 2015

FIX Trading Community response to ESMA Discussion paper on MiFID II/MiFIR Aug 2014

FIX Trading Community response to ESMA Consultation paper on MiFID II/MiFIR Aug 2014

Market Model Typology (MMT)

The MMT was developed in the times of MiFID I through the collaborative efforts of exchanges, MTF’s, market data vendors and trade reporting venues as a means of standardizing post-trade data reporting.  Though much of it stems from an inherent lack of standards in the OTC market, Regulated Markets and MTFs also need to support a single industry standard that can be applied across all sources of post-trade data.

MMT has now been established for several years and also has been integrated into genuine FIX representation in 2012/2013 (EP 163, EP186, EP 216).  With the arrival of MiFID II it has been remodeled in order to become a tool for fulfilling all MiFID II post-trade flagging requirements. Current MMT Documentation can be found at FIX Trading Community – Market Model Typology (MMT).

If you are interested in participating in any of the subgroups please contact the Program Office.