FIX Initiatives

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The table below provides background on the various initiatives underway within the FIX Trading Community™.  If you are interested in learning more details about or getting involved in any of the below initiatives, please contact the organisation’s Program Office.

Name of InitiativePurposeLatest Status
Consolidated Audit Trail (CAT)To further assist firms with their CAT implementations specifically looking at where FIX coverage is necessary to support the various CAT reporting requirements whether it be through existing tags or the creation of new tags.The group identified:

  • FIX extensionsneeded to address requirements related to data reporting required by the CAT NMS plan.
  • A standardized use of FIX to communicate Firm Designated Identifier (FDID) across different market participants. FDID is a unique identifier for each trading account required to provide data to the central repository.

EP264 CAT/FIX Mapping Phase 2

Additional support for data reporting required by CAT (Consolidated Audit Trail). A few of the enhancements proposed by the CAT FIX mapping 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.

EP253 Extensions for CAT/FIX Mapping

This extension pack was 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”.

The group is exploring the potential to develop FIX support for CAT Phase 2C.

Consolidated Tape (CT)The EU Commission and ESMA are pursuing the creation of a Consolidated Tape. Since March 2019 the Commission and ESMA have hosted a number of discussions and roundtables to which FIX has been invited to respond.Currently, there are two active working groups looking at the data standards that would be required to provide a clear and unambiguous consolidated tape. Due to the differing natures of Equities and Fixed Income, those standards are being bifurcated into separate work streams, but are following a similar path of considering all of the trade scenarios in use, identifying where additional trade flags are required to ensure absolute clarity of the meaning of the data, and reviewing and revisiting the trade flows trees that were originally created by the working groups during MiFID implementation.
CybersecurityTo 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.

The initial FIX-over-TLS (FIXS) standard was produced for using the Internet Transport Layer Security (TLS) protocol with FIX. Follow link in the first column to access the standard. The group is now looking at better ways to authenticate firms at the application level.

FIX Authentication (FIXA), brings a number of benefits, including improved security, greater flexibility and ease of use as well as removing out-of-date methods. The current thinking is to leverage HTTP Authentication which is widely used on the Internet today, and introduce it as a new framework with authentication schemes for FIX.

Possible Work Areas for 2021

  • FIXS – Update FIX-over-TLS (FIXS) for ISO standardization
    • Stunnel guide
  • FIX A – FIX Authentication
    • Replaces existing FIX session authentication methods
  • Encryption of payloads and messages at rest with possible fine-grained access to data
  • Security Handbook
  • Regulatory Stream
  • Discussion forum
  • Talks: Invite subject matter expert guests

The Cybersecurity co-chairs have put together a questionnaire in order to establish a baseline for the group and give an idea of the challenges that member firms face across all parts of the industry where FIX is deployed. Members are encouraged to respond.

FIX-over-TLS (FIXS) Version 1.1 Release Candidate 1 is available for implementation. Please click here to view.

Digital AssetThe Digital Asset Working Group centers around the development of best practices for the electronic trading of digital assets (Cryptocurrencies, Crypto assets, STOs) leveraging the FIX family of standards.

PODCAST: Ryan Pierce, co-chair of the FIX Digital Assets Working Group, provided a brief update on the current status of the working group and the development of the Digital Token Identifier (DTI) standard.

This group has taken a prominent role in the ISO TC68/SC8/WG3 initiative to create a standard symbology or registry for digital tokens, referred to as a Digital Token Identifier (DTI).

Additionally, the group provides a forum for communication between various tokenization standards and is actively promoting and supporting industry efforts to create codes of conduct and digital asset classification schemes.

FIX has a modern web-based technology stack using JSON and SBE encoding operating over FIXP, the FIX high performance session layer, which compliments the cryptocurrency trading venues(exchanges).

2021

The group will review the drafts of best practices for:

  • buy-side to sell-side trading
  • between market participant to trading venue
Execution VenueTo standardise 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.

 

PODCAST: Brian Lees, Capital Group and co-chair of the Global Buyside Committee, discusses Execution Venue Reporting Guidelines.

An updated version of the ‘Execution Venue Reporting Best Practices’ was distributed (see link in first column).

The latest revision produced addresses changes to Tag29 guidelines to reflect MiFID requirements and the impact that MiFID was having on determination of whether executions were principal or agency in Tag 29 as well as their CSA Eligibility. A collaborative exercise which included buyside and sell side participants from around the globe resulted in a global approach for some values and the identification of regional flavors for others. Additionally, changes to Tag 851 include new values and the codifying of values already being utilized in the industry.

2021

The group will be reviewing improvements for Tag851 and elaborations for Tag29 to provide elaboration on existing values for Tag29.

EMEA Equities Business Practices Since the implementation of MiFID II 2½ years ago the Equity markets continue to develop and as firms understand more about the impact of the regulation and how it impacts FIX. Whilst significant progress continues to be made, there is still scope for further improvement and this will likely only to be achieved through ongoing industry collaboration. This group is being reinstated after having been side-lined during the implementation of MiFID where a number of different groups were set up given the magnitude of the implementation task.The aim of the group will be to advance the use of FIX and open industry data standards in the Equities arena working with buy-side, sell-side, venue and all members, through improved manual and automated processes and – where appropriate – the adoption of new automation initiatives:

  • Tag29 – market indicators
  • Routing Transparency Initiative (RTI)
  • Transaction time – IOI trades

Brexit – In order to address the impact of Brexit on cross-border trading between UI and EU in financial services and capital markets the following collateral was produced:

  • Identified values for  Shared Trading Obligation identification to be used in conjunction with OrderAttributeType (2594) Extension produced to address cases where an STO is defined out-of -band.
  • Recommended FIX tags for the purpose of MiFID II post trade transparency and STO determination

2021

The group is in the process of prioritising its book of work including areas where there have been requests for more clarity on the use of existing FIX tags and areas where the FIX Protocol needs to develop to meet emerging business processes.

EMEA Fixed Income Business Practices Fixed Income business practice has improved markedly over the past decade as a result of regulation, drive for more efficiency and associated cost savings, and the never-ending pursuit of automation.The aim of the group is will be to advance the use of FIX and open industry data standards in the Fixed Income arena working with buy-side, sell-side, venue and all members, through improved manual and automated processes and – where appropriate – the adoption of new automation initiatives and look at issues such as:

  • New issues in Fixed Income
  • Axes
  • Addressing issues around wider adoption of harmonized data standards in the fixed income markets – leading to better data quality
  • End of Day prices
ESGTo investigate and report on the role that the FIX Trading Community should have in the ESG Space.

Sustainable and Governance investing has become a focus of all market participants and the current situation shows that there are no standards available. Whilst there is the existence of the Sustainability Accounting Standards Board (SASB), which provides the global use and support for SASB standards, the standards they define refer to the standardization of the categories of reporting rather than the mechanism of the actual reporting.

A further challenge for the industry is that the adherence to the standards are company led and this can lead to differing levels of compliance.

Initially, this exploratory working group will:

  • Identify the issues that are being faced by the industry regarding the lack of standards in the definition and availability of unambiguous data regarding ESG securities.
  • Work to define the way in which The FIX Trading Community can support the industry with regard to the mechanism of ESG reporting.
ETFTo standardize and simplify the ETF full lifecycle and ecosystem by defining and deploying an industry agreed FIX messaging specification to cover all aspects of the Ecosystem including the creation and redemption processes.

The goal is to define FIX across the ETF full lifecycle for all regions and product types.

Discretionary and Non-Discretionary drivers – regulatory, risk, cost, inefficiencies and lack of common or standard ways to connect across the ETF processes and ecosystem.

Initial focus will be:

  • ETF Create / Redeem Orders for all U.S. Listed products (from AP to Issuer / Order Taker)
  • ETF Fixed Income Custom In-kind basket submissions (from AP/MM to Issuer)
FICCTo oversee the multi-asset class activities and strategic considerations of FIX with regards to the Derivatives, Fixed Income and Foreign Exchange areas especially given many of the common and overlapping initiatives in the pre-trade, trade and post-trade space. Market consolidation, regulatory changes often involve multiple asset classes, and portfolio diversification increases the need for a comprehensive view.Several sets of FIX best practices have been developed in both the fixed income and foreign exchange arenas.  Additionally, a MiFID FICC Advisory Subgroup was developed to work alongside existing FIX MiFID working groups to review content and standards that are being created in the organisation and for the group to review from a FICC perspective.

 

2021:

Non-USD NDF fixing conventions using FIX: The lack of standardization of fixing conventions for non-USD NDFs has plagued voice trading for many years, adding operational risk that leads to market risk and potential losses. Therefore, the FICC Committee aims for the following goals:

  • Standardize the communication of the fixing source and time between market makers, clients and platforms
  • Support all possible fixes for NDF currencies – primarily APAC and LATAM
  • Not dictate which fixing conventions should be used
FIXatdlThe FIXatdl (previously known as the Algorithmic Trading working group is looking to improve and update the FIXatdl standard which enables algorithmic strategy providers to release specification to clients in a computer readable XML format. Objective is to add new functionality to the current version, FIXatdl 1.1 to address new features and changes which have been proposed by several sell-side firms and vendors of OMS platforms which support FIXatdl.The group is updating FIXatdl to include new features:

  • Additional Clock control capabilities
  • Grid orientation for the layout of Panels
  • Support for multi-leg-type orders such as pairs and spreads
  • Hooks into EOMS variables to allow for more comprehensive strategy and parameter filtering, or for use in validation and state rules. (E.g. Region, Country, Security Type, Side, Order Qty, Ord Type, Time in Force, etc.)
  • Global parameter, GUI control, panel and rule declarations. (Make them global so they can be defined once and then be referenced within the Strategy and Panel definitions.)
  • Fine-tuning of GUI control sizing, spacing and alignment
FIXatdl v1.2 Release Candidate 1 is available for implementation. Please click here to view.
FIX OrchestraTo 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.FIX Orchestra Draft Standard can be downloaded here: FIX Orchestra Draft Standard

 

The (member only tool) log2orchestra is a browser-based application that reads FIX logs files and produces an Orchestra machine readable rules of engagement specification corresponding to the behaviors found in the log file. It is a quick way to capture existing rules of engagement. Click here to watch a video.

Click here to view the FIX Orchestra 101 video.

Full Lifecycle and EcosystemMany of these efforts solve a particular problem or take a vertical approach, sometimes missing an opportunity to connect the full investment life cycle and broader ecosystem horizontally to create additional leverage and support a wider set of risk and efficiency best practices, and solve other non-discretionary and business drivers. The full life cycle and ecosystem working group will take a more holistic and broader view in driving FIX connectivity and create new opportunities to develop end to end processing. This group will complement established FIX working groups and seek new ways to advance overall FIX value and return on investment.
  • Maximize use of the FIX Protocol that firms have already invested in today and leverage further through the lifecycle creating connectivity, where we have the opportunity.  Some of the connectivity is already available just not adopted.
  • Drive the vision, understanding and education into the marketplace
  • Promote the adoption of the existing messaging, identify if there is an opportunity to enhance current messaging or create new messaging to further link the full lifecycle through the broader ecosystem.
  • FIX messaging over time has built digitized ways to connect transactions through the lifecycle, but we thought about it from a vertical point of view.  Many of today’s working groups are organized that way to focus on a certain problem.   The goal of this group is to bring those together and look at it from a horizontal view creating leverage to drive connectivity.
  • Document and drive extendibility across FIX from a full lifecycle ecosystem (pre-trade, execution, post-trade, asset servicing, settlement and clearing, managing data and regulatory & client reporting).
High PerformanceTo focus on specific aspects where fit-for-purposefulness of FIX for high performance financial transactions can be improved.The working group which is organized 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 and Google Protocol Buffers.  SBE and FIXP were moved to GitHub to add participation outside of the FIX Trading Community.
MiFID IITo discuss and address specific regulatory technical standards (RTS) items and provide guidelines and best practices to meet these regulatory requirements.The Best execution and Reference data MIFID II subgroups are currently revisiting:

  • Best execution – revising the Recommended Best Execution Practices document to ensure it becomes fit for purpose to the wider Non-Equity markets
  • Reference data– ensuring ongoing issues in relation to Data Quality, CFI Codes, Automated DVP Solutions, SIs, recent statements from ESMA & FCA in relation to MIFID Transparency Regime are addressed.

Click here to listen to an update on the MiFID Reference Data Subgroup from Richard Young.

Click here to view the FIX Trading Community’s regulatory response to the ESMA consultation paper on MiFIR review report on the obligations to report transactions and reference data.

2021

The group is currently working on recommended practices on Authoritative MiFID II Data Sources.

Market Model Typology (MMT)The FIX MMT data standard is an efficient operational solution for fulfilling trade flagging requirements raised by regulators.

MiFID/MiFIR RTS 1 and RTS 2 (Level 2 regulation) prescribe the adjunction of so-called trade flags embedded in outgoing market data messages. Trade flags provide standardised explanations about the type of price formation, the level of pre- and post-trade transparency that led to executions. FIX MMT supports the unambiguous identification of all execution types, irrespective of who is the original data producer. Consistent trade flags are of paramount importance to investors for assessing the quality of the price information they receive.

Consistent codes get disseminated efficiently across the market data value chain without the need of any local re-interpretation. MMT has been designed to support straight-through processing in data feeds, databases and display services.

FIX MMT data standard delivers higher data quality and lower processing costs.

The current version 3.04 of MMT data standard has been in place since MiFID/MIFR entry into force early 2018. More than 75% of all equity execution messages in Europe currently convey MMT flags. Latest update of the MMT FAQ on:

  • Best practice for flagging give-up trades further to ESMA Q&A update
  • Best practice for flagging trades with “pending price”/”PNDG” status

Click here to view the MMT FIXinar video.

The MMT committees are working closely with the FIX Consolidated Tape working groups to understand relevant scenarios. MMT will identify the appropriate flagging logic and prepare the documentation for final validation and publication.

Monitoring, Onboarding and Software Testing (MOST) To raise the quality and reliability of platforms operated by FIX Trading Members. Decreasing the time to market and reduce costs related to outages and software issues in production.The group will create a catalogue of tools & methods for Monitoring, Onboarding and Software Testing of FIX-related applications. Discuss open-source and commercial solutions available for the members. Create technical guidelines related to reliability of platforms.
Post-TradeTo 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.

PODCAST: Laurence Jones, Global Post-Trade Working Group co-chair provides an update on the group’s activities.

The group released a series of post-trade payment processing messages as an extension of FIX messaging. The group will begin moving on to create materials around netting, instruction, and settlement management.

Please click here to view the recommended practices document and here to view the related extension pack.

2021

The group will focus on creating settlement workflows, settlement for repos and netting.

RepoTo develop and maintain a standard and a detailed set of guidelines and message specifications for automating the full life cycle of Repos via FIX, including post trade, asset servicing, collateral management, regulatory reporting through the full life cycle and eco system of Brokers, Clients, Custodians and Service Providers.The group will identify the FIX messages per each categorization of Repo components. Most recently, the group has published a gap analysis for public comment addressing the requirements identified by the group related to trade and post-trade workflows for bilateral repo transactions. Additionally, two recommended practices on bilateral trade and post-trade have also been published.

The group will continue exploring tri-party repos and produce similar documents to identify any existing FIX messages already in place and gaps where new FIX messages is to be introduced.

Securities LendingTo develop a set of messages to support automated processing of securities lending.  The focus will be on cleared securities lending but consideration will be given for extensibility to non-cleared activity. The messages are intended to support loans collateralized by cash and non-cash securities and to support practices by global CCPs that cleared securities lending transactions.The group is in the process of generating an entire set of security lending messages for the post trade and clearing process with the possibility of extending into pre-trade and trade. The group will identify the relevant business workflows and overlay with existing messages to understand where gaps exist.