FIX Version FIX.5.0SP2 Extension Pack EP163

Approval Date 2012-12-10T00:00:00

Description MMT Technical Committee - Market Model Typology Coverage





Enumerations

Updated Enumerations

TagValueSymbolicNameGroupSortDescriptionElaborationDeprecated
6256ScheduledIntradayAuction6Scheduled intraday auction

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionElaboration
2776Benchmark104BenchmarkMarket Model Typology (MMT) terminology: The "benchmark" price depends on a benchmark which has no current price but derived from a time series such as a VWAP.
5749SystematicInternalizerGeneral Purpose78Systematic Internalizer
6259UnscheduledIntradayAuction9Unscheduled intraday auction An unscheduled intraday auction might be triggered by a circuit breaker.
62510OutOfMainSessionTrading10Out of main session tradingIn the context of Market Model Typology "Out of main session trading" refers to both before and after session, neither auction nor continuous trading.
82861GiveUpGiveInTrade61Give-up Give-in trade
82862DarkTrade62Dark tradeA Market Model Typology dark trade might also come from a lit/hybrid book, when an aggressive lit order hits a resting dark order.
82863TechnicalTrade63Technical trade
82864Benchmark64Benchmark
10243QuoteDrivenMarket4Quote driven marketExamples for quote driven markets are market maker or specialist market models.
10244DarkOrderBook5Dark order book
1430BCentralLimitOrderBook6Central limit order book
1430QQuoteDrivenMarket7Quote driven market
1430DDarkOrderBook8Dark order book

Messages


Components


Message/Component Content

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
2031TradePriceConditionGrp113.10
2031829131.20
2031574131.30
20311115131.40
20311390131.50
2032TradePriceConditionGrp124.010
2032829124.110
20321115124.30
20321390124.60