OTC Trade Reporting via FIX - Service and Technical

SERVICE & TECHNICAL DESCRIPTION Non-Member OTC Trade Reporting Service via FIX

CONTENTS 1.

Service Description ............................................................... 3 1.1.1 1.1.2 1.1.3 1.1.4

2.

Monitoring.....................................................................................................................6 Correction Process .......................................................................................................7 Publication Delay..........................................................................................................7 Trade Reporting Responsibility ....................................................................................8

1.2

Market data ..........................................................................9

2.1

INTRODUCTION..................................................................... 11

Technical Description ........................................................... 11 2.1.1

2.2 2.3

2.3.1 2.3.2

2.4

2.4.1 2.4.2

2.5 2.6

Readership .................................................................................................................11

SUMMARY OF TECHNICAL CHANGES ............................................ 11 SERVICE ACCESS ............................................................... 13

Network Access..........................................................................................................13 Business Hours ..........................................................................................................13

TRADE REPORT MAPPING ......................................................... 13

Message Level Mapping.............................................................................................13 Field Level Mapping ...................................................................................................14

TESTING REQUIREMENTS ......................................................... 28 CONTACT DETAILS ................................................................. 28

London Stock Exchange

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1. Service Description Service Summary The Exchange will provide a pan-European OTC trade reporting service to allow non-member firms to meet their post-trade transparency obligations. The service will support publication for any unregulated trades executed away from the Exchange’s markets. Key features: •

‘One stop shop’ pan-European service available from 07:15 to 17:15 UK time / 08:15 to 18:15 CET. Reports received outside these hours will be stored and then forwarded for publication once the system opens

•

Open on all EU business days for the European Markets. The LSE Markets (including the UK and International trading services) will be open on all UK business days

•

Designed for customers to meet their requirement for immediate real-time trade reporting with a backstop of three minutes

•

Fully automated management of any publication delays applicable under MiFID

•

Real-time price monitoring to uphold data integrity

•

Venue ID displayed for each trade

•

Publication to over 100,000 terminals, displayed in over 100 countries, and to over 150 vendors

•

Delivered on the Exchange’s next generation trading technology offering the highest levels of availability

•

Global publication via our website showing delayed data free of charge1

Trade Types & Venue ID Trade types will be used to demonstrate that a trade has been executed OTC rather than on Exchange. Customers will need to select the suitable trade type and report the transaction to the Exchange. The table below shows the trade types that will be offered for reporting OTC trades and the Venue ID that will be shown per trade type. We will 1

Data is delayed by 15 minutes and is non-chargeable


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automatically populate the Venue ID field on the published trade report based on the selected trade type. Our current understanding is that the Venue ID should be a suitable Market Identifier Code (MIC)2. Non-members reporting inter-fund crosses will be able to use a specific trade type to notify the market. Customers will automatically receive any applicable delay to their trade report. On Exchange or OTC OTC OTC OTC

TradElect Trade Type OT TK IF

Description

Venue ID

OTC trade immediate publication OTC delayed publication Inter fund cross publication

XOFF XOFF XOFF

Please note these trade types are only applicable to trade reports in European Regulated Market (EURM) securities. Subscription Non-member firms wishing to use the OTC reporting service will need to subscribe. The relevant form will be available via eContracts: http://www.londonstockexchange.com/en-gb/products/eContracts/ FIX Connectivity The FIX Gateway is the Exchange’s electronic messaging network for both buy and sell side firms. It is based on FIX 4.2 and is vendor and network neutral supporting connections via TNS, BT Radianz and Extranex, the Exchange’s own network. The Gateway will be linked into TradElect for trade reporting purposes only and will support additional tags from FIX 4.4 and other industry standards to support the required information to enable a report to be fully populated. Testing will be available from mid-August and the service will go live during October 2007. Using the FIX Gateway in this manner allows non-member firms to take advantage of standardised FIX connectivity to access the Exchange’s OTC trade reporting service via TradElect and take advantage of the same technological and data integrity surveillance benefits as offered to any on Exchange reports. Please contact your account manager if you are an existing customer and/or email [email protected] for further information and the relevant documentation.

2

The MIC codes are subject to final confirmation from the FSA / CESR.


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Stock Coverage & Other Features We estimate approximately 10,000-15,000 new securities will be traded on this service. The scalability of the Exchange’s next generation trading technology means that this incremental service can be accommodated within system capacity. The table below sets out the segmentation of the stocks as set up in the Exchange’s systems:

Stock Coverage

Timezone*

OFF EXCHANGE OTC Trade Reporting (MiFID securities only)

UK SETS

FTSE All Share & some Fledgling

UK (GMT / BST)

9

SETSqx

Remaining Fledgling & non-indexed equities on Main Market

UK (GMT / BST)

9

ITBB

International securities including Japan, Hong Kong & some EURM

UK (GMT / BST)

9

IRS

Major European and US blue chip securities & some EURM

UK (GMT / BST)

9

EuroSETS

Dutch Liquids and all equities in AMX and AEX indices

CET

9

EQS

EURM Liquid equities (non-UK / Dutch)

CET

9

ITR

Remaining EURM, non-Liquid equities

CET

9

International

European

NOTES

* The trade time populated in a trade report must be specified in the applicable timezone ** Available for only the few MiFID securities / EURM securities which are in segment

All EURM stocks The ETR off Exchange service supports trade reporting in all EURM securities and is available in the securities on the trading services (SETS, SETSqx, EQS, EUROSETS) as well as the MiFID regulated market segment of the International Bulletin Board (ITBB) and the International Retail Service (IRS). In addition, a new trade reporting only segment (International Trade Reporting ‘ITR’) will be introduced for the remainder of EURM securities not traded on the above services. •

Market Segments & Sector Structure: the market segment structure is available at MiFID Service which contains full details on all these trading services.


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•

Currency: the currency of trading for the respective securities will be determined on a security-by-security basis and will follow the Home Market. Due to the broad geographical spread of securities on the market, a wide range of international currencies will be represented. Trades executed in currencies that are not the Home Market currency will be converted by the reporting party into the Home Market currency for reporting purposes.

•

Stock Suspension in the Home Market: where a stock is suspended on the Home Market for regulatory reasons, the FSA will ordinarily require all UK markets to also suspend trading, “unless this would damage the interest of investors or the orderly functioning of the financial markets” [Article 41(2) of MiFID]. Where trading is halted in the Home Market owing to technical reasons or pending news announcements, we will continue to operate our service unless instructed to do otherwise by the FSA.

The most important distinction is between those securities that are UK listed (“UK” and a few in the “International” segments) and the European securities that are not listed on a UK market. A trade must be reported in the local time relevant to each security. UK securities (including those trading on an International service) •

Time Zone: the market operates on GMT / BST - 07:15 to 17:15.

•

Business Calendar: the market will be open each weekday with the exception of days that are public holidays within UK. The business calendar will be kept under review and will be published annually in Q4.

European securities •

Time Zone: the market operates on CET - 08:15 to 18:15.

•

Business Calendar: the market will be open each weekday with the exception of days that are public holidays within the entire EU. The business calendar will be kept under review and will be published annually in Q4. The public holidays for the European Market for the remainder of 2007 will be 25 and 26 December.

1.1.1 Monitoring The Exchange has supported the FSA and the EU in their efforts to seek an effective approach that maintains and promotes data integrity and identifies an effective way of enabling data to be consolidated. Our investment in a pan-European service means the level of quality can be achieved across all equities and will ensure we can comply with both MiFID’s regulatory


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standards and the FSA’s Trade Data Monitor (TDM) guidelines for OTC reporting3. OTC trade reports will be monitored in line with MiFID and the FSA’s TDM guidelines. Monitoring will consist of at least the activities shown below. •

Real time price monitoring. TradElect rejects any outlier trade reports to prevent ‘fat finger’ errors being published to the market.

•

Published trades will be monitored by our surveillance system to ensure data integrity, with firms disseminating corrections as required.

1.1.2 Correction Process Where a correction to a trade report is to be submitted within three days of publication of the trade report or, where the trade report will not be published within three days of submission of the trade report, the correction shall be effected by: •

cancelling the trade report (which will prevent an incorrect trade report publishing if this is done before a delayed report’s delay has expired); and

•

if correcting an error in the trade report, submitting a new trade report.

1.1.3 Publication Delay Post-MiFID, the Exchange’s service will be enhanced to offer a fully automated publication delay regime for all EURM securities. The delay will be calculated as per the regime specified in MiFID using the Average Daily Turnover (ADT) (see appendix B for further details). This regime will be used in MiFID and non-MiFID securities with the exception of Gilts and Fixed Interest securities which will continue to operate as today. Gilts will continue to publish only if the consideration is less than £50,000 and risk trades in Fixed Interest securities will publish with a one-day delay. When a trade type offering delayed publication is used the system will check whether there is any applicable delay and apply this. The delay will follow the Business Calendar for the trading service on which the security is traded. EURM securities whether traded on the Exchange’s Regulated Markets or as an MTF will have the ADT set by the relevant competent authority (e.g. FSA). Non-EURM securities traded on our markets will have the ADT 3

http://www.fsa.gov.uk/pubs/cp/cp07_16.pdf


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calculated and set by the Exchange. This information will be included in the Exchange’s reference data. Publication thresholds will be translated into the trading currency of the relevant security. These will be reviewed on an at least an annual basis and will be rounded to provide a suitable number of shares. The Exchange will use MiFID’s methodology for publication delay in all equity markets (including the Main Market and AIM). For non-EURM securities, the Exchange will set parameters that are relevant for that specific market. These will be published in due course. 1.1.4 Trade Reporting Responsibility Where the transaction is executed outside the rules of a regulated market or an MTF, one of the participating investment firms shall, by agreement between the parties, arrange to make the information public. In the absence of an alternative agreement, the information shall be made public by the investment firm determined by proceeding sequentially from point (a) to point (d) until the first point that applies to the case in question. (a) the investment firm that sells the share concerned; (b) the investment firm that acts on behalf of or arranges the transaction for the seller; (c) the investment firm that acts on behalf of or arranges the transaction for the buyer; (d) the investment firm that buys the share concerned.


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1.2 Market data The Exchange OTC market data service offering will be as follows: •

We will include the relevant and appropriate trade reports within existing UK and International on Exchange data channels for ease of implementation and use amongst current subscribers. New European OTC data will also be disseminated via the existing European channels. There will be no additional charge for receiving this OTC data within these existing data channels.

•

In addition, we will offer a new service package (consisting of two core service channels: S21 and S22 in the diagram below) that is purely for off book trades data, covering existing UK, International, EUROSETS and new European off book trade reports. This will include both on Exchange and OTC trade reports.

Note that we are renaming the “DTS” data service to “European” as it will not only include the EUROSETS (DTS) data as it does today but also the new European data generated in EQS and ITR. The new channels will be disseminated via the Exchange’s highly reliable and resilient market data system, Infolect, and will be fully integrated within our feed to minimise the impact on customers wishing to take this additional data set. The diagram below shows the service channels which will disseminate off book trade reports in EURM securities post-MiFID. “On Exchange Trade Data” refers to off book trades regulated by the Exchange’s Rules.


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S01 UK Level 1 UK On Book Trade Data UK OTC Trade Data

UK On Exchange Trade Data

UK OTC Trade Data

S05 International Level 1 International On Book Trade Data

Intl. OTC Trade Data

Intl. On Exchange Trade Data


S09 European Level 1 EUROSETS OTC Trade Data

TradElect TradElect

New European OTC Trade Data

Infolect

EUROSETS On Book Trade Data

EUROSETS On Exchange Trade Data

EUROSETS OTC Trade Data New European On Exchange Trade Data


S21 Off Book Trade Data UK On Exchange Trade Data

Intl. On Exchange Trade Data

UK OTC Trade Data


Existing Data New UK / Intl Data

S22 European Off Book Trade Data

New European Data


EUROSETS On Exchange Trade Data

EUROSETS OTC Trade Data

New European On Exchange Trade Data


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2. Technical Description 2.1 INTRODUCTION This section describes the technical aspects of the London Stock Exchange’s FIX Trade Reporting Service that maps FIX “Trade Report” messages to the equivalent TradElect “Trade Report” messages. FIX Trade Report messages are routed to and from the London Stock Exchange’s TradElect trading system via the existing London Stock Exchange FIX Gateway. The mapping information is based on the formats defined in the Exchange’s Technical Specifications that are available at the link detailed in section 2.1.1..

2.1.1 Pre-requisites This section is aimed at readers requiring an understanding of the London Stock Exchange FIX Gateway, technical details of which are available on our website at: http://www.londonstockexchange.com/engb/products/membershiptrading/tradingservices/Fix+Gateway+1/ A basic understanding of the FIX Protocol specification is also required, and these can be found at the FIX Protocol website at: http://www.fixprotocol.org/specifications/ It is assumed that readers are familiar with TradElect and the Exchange’s Technical Specifications that are available on our website at: http://www.londonstockexchange.com/engb/products/membershiptrading/techlib/techspecs.htm Readers who want a more general understanding of the changes described below should refer to the service description section of this document.

2.2 SUMMARY OF TECHNICAL CHANGES A summary of the service that we are introducing is detailed below. Where possible, the Exchange has sought to leverage existing infrastructure and message types to minimise disruption and development cost for firms. The service is based on the Exchange's FIX Gateway product which uses a 4.2 FIX Session plus two custom FIX 4.4 messages to support Network Status Request. The service uses two FIX 4.4 messages to support Trade Reporting: the Trade Capture Report message (MsgType = AE) and the Trade Capture Report Ack (Msg Type= AR). In summary, the basic operation of a Trade Report submission will be as follows:


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•

A FIX Trade Report message is sent to the FIX Gateway and received by this service.

•

The equivalent TradElect Trade Report message is created and sent to the TradElect trading system.

•

TradElect will acknowledge this Trade Report and send the appropriate response message back to the FIX Gateway..

•

The equivalent FIX Trade Report acknowledgment message is created and sent to the originator of the FIX Trade Report from the FIX Gateway.

The service supports ‘Over The Counter’ (OTC) business only. As a result, only the following trade types can be submitted using this service:

1 2 2

FIX TrdType (828) 0 1 42

TradElect Trade Type OT TK IF

Description OTC trade immediate publication OTC delayed publication Inter fund cross delayed publication

For further information on these trade types, please refer to Section 1 Service Description. The diagram below shows the message flow through the services used by the FIX Trade Reporting Service. FIX Interface

FIX Gateway Supporting FIX Message Types AE and AR

Map FIX Trade Capture message to SETS Trade Report

TradElect Interface

TradElect

5ET / 5CN

AE

4.2 FIX Session, Msg Types AE / AR

Map SETS Response to FIX Trade Capture Ack message AR

5AT / 5PH / 5IC

FIX Trade Reporting Service Infolect

4.2 FIX Session, Msg Types AE / AR

Trade Report Customer #1




Level 1 Multicast Msg Type 5OZ

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2.3

SERVICE ACCESS

2.3.1 Network Access Connectivity to the FIX Gateway is currently available via the Exchange’s own network (Extranex), or via third party Network Providers (such as Radianz or TNS). For the test service participants can also use the Internet. Extranex access to the FIX Gateway is via an address range allocated by the Exchange as part of the enablement process. For third party network providers, this will be allocated by the provider. Customers using Extranex can either use the native addressing scheme or use their own devices to network translate to and from the allocated addresses. For further information regarding the enablement process and the Exchange’s Extranex service, please contact the Client Technology Group (see section 1.6 Contact Details).

2.3.2 Business Hours Market Segment Rules determine the times during which trade reports may be entered on the trading system (07:00 to 17:15 UK time / 08:00 to 18:15 CET). TradElect system hours are from 07:00 to 20:00 UK time. The FIX Gateway operates 23.5 hours a day, 5 days a week. The FIX Gateway is closed for maintenance daily between 22:30 and 23:00 UK time. As a result, the FIX Trade Reporting “session” will open as soon as this service is started and any Trade Report messages received while TradElect is unavailable will be stored by this service for passing on to TradElect when it becomes available. Please note that all trades should be submitted with a trade time specified in UTC. This service will be responsible for any conversion to local time.

2.4 TRADE REPORT MAPPING This section describes the FIX and TradElect messages that require mapping, and the specific field mappings that have been identified.

2.4.1 Message Level Mapping There are 2 FIX messages and 5 TradElect messages involved with this service. These are listed in the table below.

1

From FIX

2

FIX

Message Description AE Trade Capture Report for “New Trade” AE Trade Capture Report for “Cancel Trade”


To Message Description TradElect 5ET (AD) Enter Trade Report TradElect 5CN (AB)

Cancel Trade Report

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3 4 5

TradElect 5AT (AB)

Acknowledge Trade Report TradElect 5PH (AB) Acknowledge Cancel Trade Report TradElect 5IC (AA) Invalid Command

FIX

AR

FIX

AR

FIX

AR

Trade Capture Report Ack Trade Capture Report Ack Trade Capture Report Ack

2.4.2 Field Level Mapping This section describes the field mapping between the FIX and TradElect messages. This document uses the term “primary key” to mean the message field(s) that uniquely identifies a Trade Report. On the FIX side, the “primary key” that uniquely identifies a Trade Report is the following pair of FIX fields, both of which are set by the sender of the FIX Trade Report message: “CompID” and “TradeReportID” where “CompID” is the original sender. Duplicate detection is carried out on incoming Trade Report messages by comparison of these two FIX primary key fields. Please note that the TradeReportID that is sent in by the customer should always be unique. This uniqueness should last forever. If a duplicate TradeReportID is provided, the Acknowledge Trade Report message that is returned will be the same message that was returned for the initial Trade Capture Report with the same TradeReportID (even if it’s contents are different). On the TradElect side, the “primary key” that identifies a Trade Report is the “Trade Code”. In TradElect, all instruments are uniquely identified by the use of a 4 way key consisting of: Tradable Instrument Code Currency Code Segment Code Country of Register Any Trade Report sent to TradElect must provide all of these fields. Ideally, a FIX customer would supply each of them; however, the minimum that the FIX customer will need to supply is the ISIN and currency code. Customers should use Exchange reference data to guarantee accurate use of the 4 way key, specifically Segment Code and Country of Register. Customers who would like to know how they can obtain Exchange reference data should contact the Client Technology Group (see section 1.6 Contact Details for further information).

2.4.2.1 FIX AE Trade Capture Report for “New Trade” → TradElect 5ET ‘Enter Trade Report’ The table below outlines the field mappings required for submitting a Trade Report to TradElect via the FIX Gateway. The FIX “Trade Report Capture” message (message type “AE” with an ExecType value of “0” (zero)) is mapped to a TradElect 5ET ‘Enter Trade Report’ message. London Stock Exchange

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Note that grey fields indicate that there is no corresponding field on the FIX or TradElect side. An Arrow indicates that the field is part of a group. The “Mand” column indicates mandatory FIX fields.

FIX Field (tag)

TradingSessionID (336)

Req’ d

N

Usage

To contain LSE Segment Code (if known)

TradElect Field Service Code Segment Code

Trader Group Message Type Message Version Trader Group Sequence Number Trader ID Unsolicited Connection Status TradeReportID(571)

Y

ExecType(150)

Y

PreviouslyReported (570)

Y

Set to “T04”. Obtained from TradElect reference data. From database lookup by CompID. “5ET” “AD” Unused, set to blank Set to blank Set to blank.

Together with CompID, this field uniquely identifies an incoming trade report. Must be “0” (zero) for “New Trade” ‘N’ if not previously reported, ‘Y’ if this is this report is a repeat. Message Reference Number


Source

Generated by this service. Unique value Page 15 of 30

FIX Field (tag)

Req’ d

Usage

SecurityID(48)

Y

ISIN of security

SecurityIDSource(22)

Y

AgreementCurrency(918)

Y

FIX always sets code “4” meaning ISIN4 ISO 4217 code

LastPx(31)

Y

LastQty(32)

Y

TransactTime(60)

Y

Datetime in YYYYMMDD HH:MM:SS format

CountryOfIssue (470)

N

ISO 3166 code of issuing country (if available)

NoSides (552)

Y

May be 0, 1 or 2. See “Buy/Sell Member IDs”. Value 1 = Buy, 2 = Sell Original order id for

4

Î Side (54)

Y

Î OrderID (37)

Y

Format is ‘Float’ Format is ‘Float’

TradElect Field Tradable Instrument Code

Currency Code Trade Price Trade Size

Source per Enter Trade Report. Must be an ISIN.

ISO 4217 code copied from FIX field. Format is 18.8

Quantity: signed numeric, 13 chars. Trade Date Format CCYYMMDD. Extracted from FIX TransactTime Trade Format Time HHMMSS. Extracted from FIX TransactTime Country of Country of the Register instrument. ISO 3166 code. If not supplied, lookup via reference data

Trade Reporting bridge will verify this incoming value.


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FIX Field (tag)

Req’ d

Î NoPartyIDs (453)

Y

Î Æ PartyID (448)

Y

Î Æ PartyIDSource (447)

Y

Î Æ PartyRole (452)

Y

Î AccountType (581)

Î OrderCapacity (528)

Y

Usage the side Always 1 for each side LSE Member ID Always code ‘C’ = Exchange supplied Always value 27 = buyer/selle r 1= “Client”, 3= “House”

‘A’ = agency, ‘P’ = principal, ‘R’ = riskless principal

TrdType (828)

Y

42=”Portfol io Transfer”

SettlDate (64)

Y

Format YYYYMMD D

TradElect Field

Source

Settlement Account.

Set to ‘C’ for “Client” or ‘H’ for “House”. Obtained from reference data if not supplied In FIX message. Code ‘A’ is “Agent” ‘P’ is “Principal” ‘S’ is “Riskless Principal”. Obtained from reference data if not supplied In FIX message. See “Buy/Sell Member IDs”. See “Buy/Sell Member IDs”. ‘IF’ is “Interfund”

Capacity

Member ID Buy Member ID Sell Trade Type Indicator Settlement Due Date

Converted Price Indicator Settlement London Stock Exchange

Format CCYYMMDD, the date that the transaction is due to settle. Set to ‘N’. Set to ‘ ‘ (3 Page 17 of 30

FIX Field (tag)


Req’ d

Usage

TradElect Field Venue. Trade Request Status Reason Text

Source blanks) Set to ‘ ‘ (blank) for “single sided”. Left empty.

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2.4.2.2 TradElect 5AT ‘Enter Trade Report Acknowledgment’ → FIX AR Trade Capture Report Ack A TradElect 5AT ‘Enter Trade Report Acknowledgment’ message will be mapped to a FIX “Trade Report Capture Ack” message (message type “AR”). TradElect Field Application Advisory Code

Trade Code Trade Status

Usage Non-blank to indicate an error condition. See error mapping description below. Code allocated to the trade by TradElect ‘S’ indicates a single sided trade

FIX Field (tag)

Source

TradeReportID (571)

Sourced from database. ExecType (150) ‘0’ (zero) TrdRptStatus (939) ‘0’ (zero) for success or ‘1’ for rejection TradeReportRejectReason Error number (if (751) this is a rejection) SecurityID (48) ISIN of Security SecurityIDSource (22) Code “4” meaning ISIN Text (58) Error message (if this is a rejection) The FIX message is routed to the FIX CompID that sent in the original Trade Report. If the Trade Report has been successfully entered into TradElect, the ‘TrdRptStatus’ field is set to ‘0’ (zero) and the ‘Text’ field is empty. If a failure has occured, the ‘TrdRptStatus’ field is set to ‘1’ and the ‘TradeReportRejectReason‘ and ‘Text’ fields contain an error number and error message according to the TradElect “Application Advisory Code”.


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2.4.2.3 FIX AE Trade Capture Report for “Cancel Trade” → TradElect 5CN ‘Cancel Trade Report’ A FIX message indicating a cancel trade will be mapped to a TradElect 5CN ‘Cancel Trade Report’ message. This Trade Code (required by TradElect) will be obtained by using a combination of the “TradeReportID” and “CompID” fields. FIX Field (tag)

Req’d

Usage

TradElect Field Service Code Segment Code

Trader Group Message Type Message Version Trader Group Sequence Number Trader ID Unsolicited Connection Status TradeReportID(571)

Y

ExecType(150)

Y

Set to “T04”. Sourced from the database row that was populated for the original “5AT” From reference data. “5CN” “AB” Unused, set to blank Set to blank Set to blank.

Together with CompID, this field uniquely identifies an incoming trade report. Must be “H” for “Cancel Trade” Message Reference Number Trade Code


Source

Generated by this service. Unique value per Cancel Trade Report. Sourced from the database row that was populated for the original “5AT” Page 20 of 30

FIX Field (tag)

Req’d

Usage

TradElect Field Tradable Instrument Code Country of Register

Currency Code

Reason Text

Source Sourced from the database row that was populated for the original “5AT” Sourced from the database row that was populated for the original “5AT” Sourced from the database row that was populated for the original “5AT” Set to “Cancelled by FIX customer”

2.4.2.4 TradElect 5PH ‘Acknowledge Cancel Trade’ → FIX AR Trade Capture Report Ack This TradElect message results in a FIX “AR” message and is mapped in the same way as for a 5AT ‘Enter Trade Report Acknowledgment’ TradElect message.

2.4.2.5 TradElect 5IC ‘Invalid Command’ → FIX AR Trade Capture Report Ack In certain circumstances, for example if an invalid segment is provided in a Trade Capture Report for “New Trade”, a TradElect 5IC ‘Invalid Command’ message will be returned by TradElect to the FIX Gateway. This TradElect message contains only the Architecture and Business Headers and the cause of the error is indicated by the “Session Error Code” field. Handling will be the same as a TradElect 5AT ‘Enter Trade Report Acknowledgment’ message but based on this “Session Error Code” field value rather than the “Application Advisory Code” field.

2.4.2.6 Error Handling In the event that the original FIX message contained missing or incorrect values, the FIX customer will be informed of the error by use of the “TradeReportRejectReason” and “Text” tags in the returned “AR” message. They should take the appropriate action and then re-enter the trade report. Note in the event that a Trade Report is sent to the FIX Gateway at a time when the TradElect system is unavailable, this will not result in an error message being returned to the FIX customer since this service stores the details from the FIX London Stock Exchange

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message and passes them on at a later time when the TradElect system becomes available. In this scenario an “interim” acknowledge will be sent and will show the FIX customer that the Trade Report has been received but not acknowledged (positively or negatively) by TradElect yet. If the TradElect connection is available, this interim FIX acknowledge is not sent to the FIX customer. It will consist of a FIX “Trade Report Capture Ack” message (message type “AR”) as in section “


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TradElect 5AT ‘Enter Trade Report Acknowledgment’ → FIX” but with the following differences: The ‘ExecType’ field is set to ‘A’ meaning “Pending New”. The ‘TrdRptStatus’ field omitted, as it is optional. If this service is not available for any reason but the FIX Gateway is up, then standard FIX Store&Forward functionality will be used to hold on to the message until the Trade Report Service returns. If the service does not return before the end of the day, then the trade report will be returned using a Business Reject message. Customers will be able to see this happening because they will not receive any ack for the trade report (interim or otherwise). Note Store&Forward will depend on individual customer settings. If a customer has requested that Store&Forward not be configured for them, then trade reports will be immediately returned if the Trade Reporting Service is off-line. Customers can confirm this through the Network Status Message or using the Network Status Web Site. Please see the FIX Gateway Technical Guide for further information on these services. If an error occurs internally before the incoming FIX Trade Report is committed, a FIX “Trade Report Capture Ack” message will be sent to the FIX customer with a “reject” status indicating the reason as an internal problem. For each error, the possible handling implications are: •

Client error indicating that the original FIX message contained missing or incorrect values that were mapped, unchanged, to the TradElect message. In this case, the submitter will be informed and should re-enter the trade report.

•

Internal error indicating that the mapping itself failed. An error message is sent to the submitter, who should then contact the Service Support team for further information as to what the problem is.

•

Availability error indicating that the TradElect system is unavailable at the present time. Note that this does not actually cause an error message return of any kind to the FIX customer since the service stores the details from the FIX message and passes them on at a later time when the TradElect system becomes available.

Error Code

Meaning

Notes

Handling Method

Q002I

Period authorisation failed Segment does not match Participant suspended in

Exchange system is closed

Availability Error

Incorrect segment

Internal error Internal error

Q008I Q104I


Example Client Error Message

Reject Reason Number

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Q107I

Q112I

Q113I

Q115I

Q134I

Q137I Q156I

Q157I

Q189I

Q197I Q203I

Q217I

Q218I

Q219I

Q244I

Q248I Q249I Q250I

Q326I

segment Participant not found in segment Inst/seg/curr combination invalid Mandatory fields not specified Numeric fields contains nonnumeric Message contains invalid field Field must be blank Participant sell not in segment Participant buy not in segment Trade date/time invalid Invalid trade type indicator Size must be greater than zero Not in trade reporting period Rules prevent participant trade message No trade report exists for trade code Trade report cannot be cancelled Trade date invalid Trade time invalid Buy participant equals sell participant Capacity


Internal error Could be a customer or mapping problem

Internal Security and error/Client currency do error not match Internal error

4009

Internal error Internal error

Incorrect sell member code. Incorrect buy member code.

Internal error Internal error/Client error Internal error/Client error Internal error

4010 4011

Internal error Internal error Availability error Internal error Internal error

Values must be different

Client error Trade report can no longer be cancelled Internal error Internal error Internal error

4002

Internal Page 24 of 30

invalid Q327I Client ref must be entered Q328I Client ref sell must be entered Q330I Converted price indicator invalid Invalid date. Q331I Settlement due date invalid Q430I Segment code not equal to original segment code Q448A Segment does not exist Instrument/currency Q452I Inst/seg/curr combination mismatch does not match Q460I Tradable instrument not enabled for capacity Q461I Participant not enabled for capacity Q462I No unsuspended role for segment Q468I Trade request status invalid Q469I Tradergroup invalid for member Q470I Settlement venue/account invalid Q471I Trader ID not populated Q472I Trader ID not valid for tradergroup Q477I Trader ID suspended Q479I Trade size invalid Q481I Consideration invalid Q482I Trader group ID suspended London Stock Exchange

error Internal error Internal error Internal error Internal error Internal error Internal error Internal Security and error/Client currency do error not match

4003

Internal error Internal error Internal error Internal error Internal error Internal error Internal error Internal error Internal error Client error LastQty is invalid Internal error Internal error

4004

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Q483I Q491I

Q500I

Q503I

Q505I

Q508I

Q509I

Q510I

for member No role for trade type Consideration must be greater than or equal to minimum Settlement venue suspended for security Trade price outside threshold Trade date outside allowable range Settlement venue, account, capacity invalid for tradergroup Settlement venue, account, capacity suspended for tradergroup Invalid capacity for trade type in segment

Internal error Client error LastQty is invalid

Client error Settlement venue suspended

4005

4006

Client error LastPx is 4007 outside threshold Client error TransactTime 4008 is outside allowable range Client error (to be confirmed)

Client error (to be confirmed)

Internal error

For the user of this service, the following behaviour would be observed for each error handling method: Handling Method Availability error

Client error

Internal error

Behaviour No immediate visibility. The TradElect connection is logged-off. The submitter will have received an interim acknowledge. When the TradElect connection is reestablished, the Trade Report is sent again. A “Trade Capture Report Ack” message (msgType “AR”) is received by the submitter. The value in the “Text” field of the message is sourced depending on the TradElect error code. The user is then expected to correct the error. A “Trade Capture Report Ack” message (msgType “AR”) is received by the submitter. The value in the “Text” field of the message is “Internal error”. The FIX customer can contact the Service Support desk if further information is required.


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2.4.2.7 Buy/Sell Member IDs The “Member ID Buy” and “Member ID Sell” fields in an “Enter Trade Report” message to TradElect cannot be blank and must have values entered. If the incoming FIX message has one or both of these values present, that value will be used. They are supplied in nested fields within a “Party” block which, in turn, is nested within a “Side” block. The FIX message may contain 0, 1 or 2 “Side” blocks each of which should have a single “Party” block containing a “PartyID” field. The PartyID field (tag 448) should contain the Member ID as defined by the London Stock Exchange. (The “PartyIDSource” field (tag 447) should be value ‘C’ indicating that the PartyID code is an “Exchange-supplied” code). The TradElect MemberID, Settlement Account and Capacity resolution for the three differing combinations of sides (0, 1 or 2 present) are processed as below. Zero Sides supplied in Fix Trade Report message A lookup by CompID is used to determine Member ID, AccountType and OrderCapacity. The MemberID found there is used as the Member ID for the seller side of the trade report - this follows the MiFID standard. "NONMEMBER01" is used as the Member ID for the buyer side of the trade report. One Side supplied in Fix Trade Report message The base assumption is that the trade report is one where the report has the same member on both sides (as implemented when zero sides are supplied). If a single side is supplied then it could be for one of two reasons: 1. The submitter wishes to submit a non-default value for AccountType and/or OrderCapacity, or the submitter wishes to indicate that they were the buyer, not the seller a. In this case the PartyID (if present) will match MemberID will be the value mapped from the CompID. This case is also assumed if no PartyID is present in the FIX side. The values for AccountType and OrderCapacity in the side are used, if one or both is present. If not present, then the value(s) looked up by the CompID are used. The MemberID Buy/Sell should match the Side of the trade report. b. "NONMEMBER01" is used as the Member ID for the other side of the trade report 2. The submitter wishes to report a trade with someone else a. In this case, the PartyID on the side will be different from the one associated with the CompID. This MemberID is used in the appropriate side of the trade report, but the AccountType and OrderCapacity must be the default ones associated with the CompID, which will also provide the MemberID for the other side of the Trade Report.

Two Sides supplied in Fix Trade Report message The "normal case" here is that the CompID is trying to report a trade with another entity and that when the sides are reviewed, one will be for the MemberID associated London Stock Exchange

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with the CompID and one will be for another MemberID. The two PartyIDs/MemberIDs from the sides should be used as appropriate in the trade report and the AccountType and OrderCapacity should be taken from the side where the MemberID matches the one associated with the CompID - if they are present, and from the default if they are not. There are two error conditions where 2 sides are supplied: 1. Both sides hold the same MemberID. This is invalid, irrespective of whether it is the one associated with the CompID. The correct approach is to report just 1 side as shown above. 2. Neither of the MemberIDs from the Sides is for the MemberID associated with the CompID. This means that the trade report did not involve the reporter. This is not the normal model and so returns an error since valid (or even default) values for AccountType and OrderCapacity cannot be established.

2.5 TESTING REQUIREMENTS In order to connect to the FIX Gateway a participant will need to undergo a small amount of testing to confirm connectivity prior to going live. All Customers will be required to demonstrate that their FIX Gateway applications can connect successfully to the Exchange over the Third-Party Infrastructure (or via the Internet, for the Customer Development Service - CDS only) by undergoing a FIX Connectivity Testing (FCT). No customers will be enabled for access to the Production FIX Gateway environment without passing a FIX Live Connectivity (FCON) test. FIX Connectivity Testing (FCT) is designed to give customers the opportunity to resolve any network or application level issues with direct Exchange and Third-Party Network support. Connectivity testing is carried out using the FIX Gateway Test Service. The FIX Live Connectivity (FCON) testing follows exactly the same format as the FCT and is designed to demonstrate that customers can connect to the Production FIX Gateway service without any issues that may impact live service. Customers will also be required to perform functional testing against the FIX Gateway CDS environment to demonstrate that they can send and receive Trade Capture Reports without experiencing any issues. Testing can be arranged by contacting Service Support (see section 2.6 for details).

2. 6 CONTACT DETAILS The Exchange recognises the importance of supporting a customer throughout the implementation of the service detailed in this document. The current support mechanisms will continue to be available to provide assistance throughout your design, development through to live service. Please find below the contact details of the teams who would interact with you during the course of an implementation: London Stock Exchange

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Client Technology Group (CTG) CTG would provide technical support during an implementation, and can be contacted via: The Technical Information Desk - Tel: +44 (0) 20 7797 3939, STX 33939 E-mail Client Technology Group at: [email protected] Questions regarding of a technical nature may also be raised directly through your Technical Account Manager. Client Implementation Team (CIT) CIT are responsible for co-ordinating the implementation of a customer’s FIX Gateway enablements and may be contacted via: Client Implementation Team - Tel: +44 (0) 20 7797 3232, STX 33232 E-mail Client Implementation Team at: [email protected] Implementation queries may also be raised directly through your Client Implementation Consultant. Other key contacts Please contact the following people directly for all other queries of a commercial and/or business nature. Business Manager • •

Tom O’Brien Tel: +44 (0)20 7797 4135

•

Email: [email protected]

Investment Management Sales • •

David Letton Tel: +44 (0)20 7797 4390

•


Broker Sales • •

Nirosh Wijewardene Tel: +44 (0)20 7797 1466

•


Other non member firm queries • •

Alex Dalley Tel: +44 (0)20 7797 2134

•



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Service support Live Service Support for the FIX Gateway is available 24/7 via the London Stock Exchange Helpdesk on +44 (0)20 7797 3100.


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OTC Trade Reporting via FIX - Service and Technical

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