Re: Help with messages for a privatly held trade between two parts, with an intermediary.
Jim Northey / The LaSalle Technology Group <>
20 Jul 2011 10:16PM ET
Drew is correct with his recommendation.
There is a well established protocol used by derivatives clearing houses to use TradeCaptureReports (TCR) that are submitted as alleged trades into a central counterparty for matching (trade matching - not order matching).
Both parties would submit their TCR reports for their sides - they can specify the counterparty in the TradeCaptureReportSideGroup.
The intermediary would acknowledge the TCR with a TCRAck.
You may need to consider some fields from FIX.5.0 for inclusion in the message.
> Hi Diego,
> I suggest you take a look at Trade Capture Reporting. There are several workflows for privately negotiated trades in FIX 5.0 Volume 5 in the "Trade Capture Report Usages" section. The Trade Capture Report messages are also specified in FIX 4.4 so it should satisfy your implementation.
> > What kind of messages should two parts send to communicate to the market, a privatly negotiated trade between two parts? And what answers should those two parts expect from the market?
> > The point is that in certain market, there is the possibility to negotiate private trades (by phone for example) between two parts. But, both parts should inform those trades to the market. I need to implement this protocol into a FIX 4.4 implementation that is currently in a development phase.
> > In this scenary, I can separate three roles: initiator, intermediary, respondent. And I thought in two options:
> > a) One solution can be starting the communication from Initiator with a 35=D filling the PreAllocGrp and Parties blocks, to the Intermediary, implying that the operation was pre-traded with another part (respondent). Then, the intermediary will send a 35=8 (150=F, 39=2 or Filled Trade) to the respondent. If respondent doesn’t agree can send a DontKnowTrade (DKT). (One question here is what should send the Respondent to the intermediary). Then, if ok, the intermediary can send to initiator a 35=8 (with 150=F, 39=2 or Filled Trade), but if not, can send a DKT.
> > b) The other option that I am analyzing is using 35=8 (150=F, 39=2 or Filled Trade) filling Parties block, to start the communication from the initiator to the intermediary. Then, as in the previous option, the intermediary will send a 35=8 (150=F, 39=2 or Filled Trade) to the respondent. If respondent doesn’t agree can send a DontKnowTrade (DKT). The problem is the same as in a) item, what should send the Respondent to the Intermediary and the Intermediary to the Initiator if the operation is ok. If it isn’t ok, both cases can be solved with the DKT.
> > Am I in the right way? Am I clear? Is there any other possibility?
> > I don’t know the best solution, and I don’t know which option (if there it is) should be the best or the traditional solution.
> > Thanks in advance for your help!