FIX Version FIX.5.0SP2 Extension Pack EP231

Approval Date 2017-08-25T17:00:00

Description ESMA RTS 27 Extension

Field Changes

New Fields

Tag	Name	Type	AbbrName	Description	Elaboration
2711	MDValueTier	int	Tier	Describes the reporting ranges for executed transactions.	In context of ESMA RTS 27 Article 9, the execution venue is required to report on transactions within several size ranges (in terms of a value and currency). The thresholds for these ranges are dependent on the type of financial instrument.
2712	MiscFeeQualifier	int	Qual	Identifies whether the current entry contributes to the trade or transaction economics, i.e. affects NetMoney(118).
2713	MiscFeeDesc	String	Desc	Can be used to provide a textual description of the fee type.

Enumerations

Updated Enumerations

Tag	Value	SymbolicName	Sort	Description	Elaboration
2456	2				Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.
2456	3				Aggregated quantities of entities across events, e.g. total trade volume during a period of time.
2456	11	AverageValue	11	Average value	Average quantity multiplied by price.
2456	12	TotalValue	12	Total value	Aggregated quantity multiplied by price; also described as turnover.

Enumerations Added

Tag	Value	SymbolicName	Sort	Description	Elaboration
2711	1	Range1	1	Range 1
2711	2	Range2	2	Range 2
2711	3	Range3	3	Range 3
2712	0	Contributes	0	Contributes (default)	Fee contributes to the trade or transaction economics.
2712	1	DoesNotContribute	1	Does not contribute	Fee does not contribute to the trade or transaction economics.
139	24	ExecutionFee	26	Execution fee
139	25	OrderEntryFee	27	Order or quote entry fee	Order or quote submission fees per transaction.
139	26	OrderModificationFee	28	Order or quote modification fee	Order or quote modification fees per transaction.
139	27	OrdersCancellationFee	29	Orders or quote cancellation fee	Order or quote cancellation fees per transaction.
139	28	MarketDataAccessFee	30	Market data access fee	Fee for market data access.
139	29	MarketDataTerminalFee	31	Market data terminal fee	Fee for market data terminal.
139	30	MarketDataVolumeFee	32	Market data volume fee	Fee for market data per volume group.
139	31	ClearingFee	33	Clearing fee	Fee for clearing of trades.
139	32	SettlementFee	34	Settlement fee	Fee for settlement of trades.
139	33	Rebates	35	Rebates	Rebates offered to the client.
139	34	Discounts	36	Discounts	Discounts offered to the client.
139	35	Payments	37	Payments	Other benefits offered to the client.
139	36	NonMonetaryPayments	38	Non-monetary payments	Non-monetary benefits offered to the client.
338	4	Voice	4	Voice
2456	24	AverageDuration	24	Average duration	Average duration of time periods of events.
2456	25	AveragePrice	25	Average price	Average price across entities e.g. trade prices.
2456	26	TotalFees	26	Total fees	Aggregated fees.
2456	27	TotalBenefits	27	Total benefits	Aggregated benefits.
2456	28	MedianValue	28	Median value	Median quantity multiplied by price for orders or quotes.
2456	29	AverageLiquidity	29	Average liquidity	Average liquidity of an instrument e.g. average effective spread.
2456	30	MedianDuration	30	Median duration	Median duration of time periods of events.
2457	18	Outages	18	Outages	System halt due to a technical malfunction or failure.
2457	19	ScheduledAuctions	18	Scheduled auctions
2457	20	ReferencePrices	20	Reference prices
2457	21	TradeValue	21	Trade value	Trade size multiplied by price.
2457	22	MarketDataFeeItems	22	Market data fee items	Fees related to market data access.
2457	23	Rebates	23	Rebates	Rebate items offered to the client.
2457	24	Discounts	24	Discounts	Discounts offered to the client.
2457	25	Payments	25	Payments	Other benefits offered to the client.
2457	26	Taxes	26	Taxes	Taxes incurred.
2457	27	Levies	27	Levies	Levies incurred.
2457	28	Benefits	28	Benefits	Benefits offered to the client.
2457	29	Fees	29	Fees
2457	30	OrdersRFQs	30	Orders and RFQs (Request for quotes)
2457	31	MarketMakers	31	Market makers
2457	32	TradingInterruptions	32	Trading interruptions	Disruption in trading due to an automatic or manual decision.
2457	33	TradingSuspensions	33	Trading suspensions	An instrument is deliberately prevented from being quoted or traded due to a decision by execution venue or a competent authority.
2457	34	NoQuotes	34	No quotes	Period of no quotes received.
2457	35	RequestForQuotes	35	Request for quotes
2458	7	Power	7	Power	Outages due to power failure.
2458	8	HardwareError	8	Hardware error	Outages due to a hardware malfunction or failure.
2458	9	SoftwareError	9	Software error	Outages due to a software malfunction or failure.
2458	10	NetworkError	10	Network error	Outages due to network error.
2458	11	Failed	11	Failed	Transaction voided by the execution venue.
2458	12	Executed	12	Executed	Total or partial execution of an order or quote.
2458	13	Entered	13	Entered	Order or quote entry.
2458	14	Modified	14	Modified	Order or quote modification.
2458	15	Cancelled	15	Cancelled	Order or quote cancellation.
2458	16	MarketDataAccess	16	Market data access
2458	17	TerminalAccess	17	Terminal access
2458	18	Volume	18	Volume	Specifies sub-scope of market data per volume.
2458	19	Cleared	19	Cleared	Cleared trade.
2458	20	Settled	20	Settled	Settled trade.
2458	21	Other	21	Other	Any other fees incurred by the client.
2458	22	Monetary	22	Monetary	Monetary benefits offered to the clients.
2458	23	NonMonetary	23	Non-monetary	Non-monetary benefits offered to the clients
2458	24	Gross	24	Gross	Total fees excluding rebates and discounts.
2458	25	LargeInScale	25	Large in scale	Means an order classified as large in scale in accordance with a regulatory definition.
2458	26	NeitherHiddenNorLargeInScale	26	Neither hidden nor large in scale	Excluding orders pending disclosures and LIS.
2458	27	CorporateAction	27	Corporate action	Specifies type of trading suspension.
2458	28	VenueDecision	28	Venue decision	Specifies type of trading suspension.
2458	29	MinimumTimePeriod	29	Minimum time period	Minimum time period for the event defined by scope.
2458	30	Open	30	Open	Open status of RFQs (request for quotes), no quotes have been provided.
2458	31	NotExecuted	31	Not executed	Orders or quotes that didn't execute.
2472	8	FailedToTotalTradedValue	8	Failed to total traded value	Total value of failed trades over total traded value.
2472	9	BenefitsToTotalTradedValue	9	Benefits to total traded value	Total value of all benefits over total traded value.
2472	10	FeesToTotalTradedValue	10	Fees to total traded value	Total value of all fees excluding rebates over total traded value.

Components

Components Changed

ComponentID	ComponentType	CategoryID	Name	AbbrName	NotReqXML	Volume	Description	Elaboration	Deprecated
2035							The MiscFeesGrp component is used to provide details of trade and transaction fees other than commissions, e.g. regulatory, exchange, taxes, levies, markup, trade reporting, etc. In the context of ESMA RTS 27 Best Execution Reporting, it may also be used to collect and publish the nature and level of current venue fees, rebates and payouts. Use MiscFeeQualifier(2712) to communicate whether the fee affects trade economics.

Message/Component Content

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Description
2250	1024	0	31
2250	2711	0	32
2250	338	0	33
2250	1022	0	34
2250	1629	0	35
2250	1916	0	36	Conditionally required when ExposureDuration(1629) is specified.
2250	1057	0	37
2035	2712	1	4.1
2035	2713	1	8
106	MiscFeesGrp	0	14.85