FIX Version FIX.5.0SP2 Extension Pack EP258

Approval Date 2020-06-25T12:00:00

Description Repo Working Group Bilateral Repo Trade and Post-Trade Enhancement

Field Changes

Updated Fields

Tag	Name	Type	AssociatedDataTag	AbbrName	BaseCategory	BaseCategoryAbbrName	NotReqXML	EnumDatatype	UnionDataType	Description	Elaboration	Deprecated
381										Total amount traded expressed in units of currency - usually quantity * price. For FX Futures this is used to express the notional value of a fill when quantity fields are expressed in terms of contract size (i.e. quantity * price * contract size).
2374										Free form text to specify additional trade continuation information or data.

New Fields

Tag	Name	Type	AssociatedDataTag	AbbrName	BaseCategory	BaseCategoryAbbrName	NotReqXML	EnumDatatype	UnionDataType	Description	Elaboration
2885	UnderlyingAccruedInterestAmt	Amt		AcrdIntAmt			0			Amount of accrued interest of underlying security.
2886	UnderlyingNumDaysInterest	int		NumDaysInt			0			Number of days of interest for underlying security.

Enumerations

Updated Enumerations

Tag	Value	Description	Elaboration
233	REFTRADE	Reference to rolling or closing trade
233	REFPRIN	Principal to rolling or closing trade
233	REFINT	Interest of rolling or closing trade
694	7		Indicates an end to the trade negotiation.

Enumerations Added

Tag	Value	SymbolicName	Group	Sort	Description	Elaboration
233	PAYOFF	InterestPayoffOfRollingOrAmendingTrade	Other	72	Interest payoff of rolling or amending trade
297	23	ContractTerminates		24	Contract terminated	Indicates a contract has been or is being terminated.
694	11	Accept		11	Accept	Used in a response to acknowledge an action communicated by the counterparty.
694	12	TerminateContract		12	Terminate contract	Used to communicate the termination of an existing contract.
828	66	RollTrade		66	Roll trade	Trade is a roll from one contract that is about to expire to a new contract.
1937	32	Rerate		32	Rerate	Change in the repo rate of an open repo contract due to shift in the market conditions.

Message/Component Content

Message/Components Content Changes

ComponentID	TagText	Description
27	OrderQtyData	Conditionally required for Tradeable or Counter quotes of single instruments when applicable for the type of instrument.
69	OrderQtyData	Conditionally required when countering a single instrument quote or "hit/lift" an IOI or Quote when applicable for the type of instrument.
68	OrderQtyData	Conditionally required for quotes of single instrument depending on the type of instrument when QuoteType(537)=1 (Tradeable).
70	381	Gross trade amount for the allocated account being confirmed.
2045	OrderQtyData	Conditionally required for single instrument quoting when applicable for the type of instrument.

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Description
27	828	0	6.5
27	1937	0	70.055	May be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
27	2374	0	70.058
27	2372	0	70.06	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
27	2371	0	70.065	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
69	2878	0	21.5
69	1937	0	75.3	May be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
69	2374	0	75.35
69	2372	0	75.4	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
69	2371	0	75.45	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
68	2878	0	18.5
68	1937	0	68.15	If specified, this should echo the value in the message this status message is in response to.
68	2374	0	68.16
68	2372	0	68.17	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
68	2371	0	68.18	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
9	1937	0	160.88	May be used to indicate the post-execution trade continuation or lifecycle event. This should echo the value in the message that resulted in this report.
9	2374	0	160.92
9	2372	0	160.94	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
9	2371	0	160.96	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
19	2374	0	81.47
19	2372	0	81.48	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
19	2371	0	81.49	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
78	2374	0	15.185
78	2372	0	15.19	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
78	2371	0	15.195	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
70	2374	0	23.425
70	2372	0	23.45	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
70	2371	0	23.475	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
2045	RegulatoryTradeIDGrp	1	33.8
2045	1937	1	45.4	Maybe used to indicate quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
2045	2374	1	45.5
2045	2372	1	45.6	Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2045	2371	1	45.7	Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
1021	2885	0	48.4
1021	2886	0	48.7