The Gateway to Algorithmic and Automated Trading

FIX Protocol adds extensions to meet MiFID II and MiFIR requirements

First Published 27th February 2017

Enhancements to the FIX Protoco Extension Pack cover trade reporting requirements, venue waiver indicators, algorithm and trader IDs and short-sell marking.

Hanno Klein, Deutsche Boerse

Hanno Klein, Deutsche Boerse

London, New York, and Hong Kong - FIX Trading Community has published a document detailing extensions to the FIX Protocol to meet the requirements of MiFID II and MiFIR. The FIX Global Technical Committee has approved these changes and these are now available to use within the industry.

By walking through a number of different trading scenarios, Members of the FIX Trading Community have been able to document what additional data will be required to be passed between investment firms and/or trading venues to meet MiFID II requirements. This additional data has been incorporated into the FIX Protocol and changes within this Extension Pack cover MiFID related items such as trade reporting requirements, venue waiver indicators, algorithm and trader IDs and short-sell marking.

Hanno Klein, EMEA Chair, Global Technical Committee, FIX Trading Community, Senior Vice President, Deutsche Boerse, commented, "During the detailed analysis it turned out that the majority of business requirements from ESMA were already covered by the FIX Protocol, building on the foundational work completed for Dodd-Frank Act reporting requirements. We were able to re-use many of the existing concepts and workflows and have so far not needed to add a single new message to the FIX Protocol. This significantly lowers the impact on existing users of the FIX Protocol when passing information to each other to allow regulatory reporting to ESMA."

The FIX Protocol now has three extension packs available for firms to download and implement as part of their work on MiFID II. These are as follows:

  • EP206 - Clock synchronization
  • EP216 - Post-Trade Flagging Obligations
  • EP222 - Critical data requirements identified by the sub-working groups on transparency, and order data and recordkeeping

The FIX MiFID Working Groups are continuing to meet on a regular basis and address the following MiFID topics: Best Execution, Clock Synchronisation, Commission Unbundling, Microstructure, Order Data and Record Keeping, Reference Data and Transparency.