This extension pack supports requirements identified by Consolidated Audit Trail (the “CAT”) Working Group related to data reporting required by Phase 2A (equities) of the CAT NMS Plan.

All new tags and valid values have already been assigned and can be used for implementation.

Note: A revised document has been published 1/13/2020 for the final EP.

Update History

[Resolved 2020-11-11] Value 10 of RefOrderIDSource(1081) does not match data type [Jira SPEC-2476]. enumeration value of A assigned for “Manunal order identifier”. Resolved in EP253.

Recent extensions to the protocol, initiated by working groups, have completed Global Technical Committee review and approval and have been published on the website, please click here.  The below extension packs add new functionality to the standard and are available for download.

• EP250 – Share Trading Obligation Extension (Brexit Working Group)
• EP251 – APAC Client Facilitation Extension (AP Exchanges & Regulatory Subcommittee/AP Technical Subcommittee)
• EP252 – Liquidity Indicator Extension (FIX/FIF Regulatory Reporting WG/FIX Execution Venue WG)

This extension pack provides the ability to indicate an order neither added nor removed liquidity using the field LastLiquidityInd(851) = 0 (Neither added nor removed liquidity).

This extension pack supports the proactive indication of client facilitation using the value ExecInst(18) = z (Allow Facilitation).

Note ASBUILT updated to revision 0.5 (FIX-Protocol-Gap-Analysis-APAC-Client-Facilitation-v0.5_EP251_ASBUILT-.pdf) 2019-11-19.

This extension provides the ability to identify EU and UK share trading obligations using the OrderAttributesGrp component and fields OrderAttributeType(2594) ad OrderAttributeValue(2595).

This extension pack introduces a new set of messages to support the operational management and agreement of expected future payments and cash flows during the life cycle of existing contracts (e.g. swaps contracts) between parties in the contract. These new messages allow firms to send and receive details related to the expected periodic payments and to agree or dispute the calculations prior to any remittance instructions or actual physical cash movement.

This extension pack introduces a new key data element required for reporting to CAT – Firm Designated Identifier (FDID) and the new PartyIDSource(447) value S (FDID).

This extension pack adds trade aggregation for FX spot, vanilla forwards and non-deliverable forward transactions where individual trades are identified to be aggregated by the buy-side and communicated to the sell-side.  Once aggregated the “child trades” no longer exist from the broker’s perspective – the aggregated trade is the trade that now exist in their books.  This becomes the trade that the dealers know about which will be allocated.

This extension pack enhances the workflow when a third-party facility provides the confirmation matching function between the dealer and the investment manager. When there is a mismatch the matching facility should hold the confirmation pending and report the mis-match status and details awaiting action from the investment manager without rejecting the confirmation outright.

This extension pack adds one additional value to AllocHandlInst(209) to signal that the claim should be automatic and adds the AllocHandlInst(209) field to all appropriate allocation components since automatic claim applies equally to pre-trade messaging and to post-allocation reporting.