FIX Version FIX.5.0SP2 Extension Pack EP225

Approval Date 2017-01-18T17:00:00

Description AFME-IA IOI Message Enhancements

Enumerations

Updated Enumerations

Tag	Value	Sort	Elaboration
104	A	1
104	B	2
104	C	3
104	D	4
104	E	5
104	F	6
104	G	7
104	I	9	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type P1 - Potential. Post-execution, a client should be able to seek verification (from IOI publisher’s management/ compliance) that, for any P1 IOIs received and executed against, there was by time of the execution, an opposing specific client order. Resulting trades are expected to be of a riskless nature. If the anticipated client order does not materialise, and the broker elects to commit capital, this must be disclosed prior to execution.
104	L	12
104	M	13
104	O	15
104	P	16
104	Q	17
104	R	18
104	S	19
104	T	20
104	V	22
104	W	23
104	X	24
104	Y	25
104	Z	26

Enumerations Added

Tag	Value	SymbolicName	Sort	Description	Elaboration
104	c	OutsideSpread	39	Outside spread	The IOI is identifiable outside the current bid/offer.
104	N	ClientNaturalBlock	14	Client natural block	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C1 - Client Natural (Block). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C1 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.
104	H	ClientNaturalWorking	8	Client natural working	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C2 – Client Natural (Working). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C2 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.
104	U	Unwind	21	Unwind	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H1 - Unwind. Brokers will be responsible for ensuring that the size of the IOI reflects the actual house position in the relevant business unit and should not inflate the size of the IOI. The presumption is that there is no intent to immediately replace the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.
104	J	PositionWanted	10	Position wanted	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H2 – Position Wanted. Brokers will be likely be sourcing liquidity and therefore may advertise the size of IOI they wish; however, clients can expect the broker to honour the size of IOI shown. The presumption is that there is no intent to immediately unwind the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.
104	K	MarketMaking	11	Market making	With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H3 – Market Making, no enforcement is required.