EP058 – EEWG Phase I Req’s

This is the broadest Batch 3 proposal. It addresses exchange and ECN order routing, market data, security identification, order identifiers, bundled execution reporting, pre-allocation instructions, automatic suspension, mass order actions, mass cancellation, fill-to-trade linkage and trading-state events. Its declared asset classes are equity, derivatives and fixed income, with detailed examples spanning options, futures, FX, commodities and energy.

Major changes include a FillsGrp in Execution Report for multiple fills; use of SecurityID as the preferred marketplace identifier; conditional treatment of ClOrdID and OrigClOrdID when orders originated outside FIX; echoing of pre-allocation data; new Order Mass Action messages; broader mass-cancel filters; linkage between Execution Report and Trade Capture Report; and trading-session or security event fields.

The proposal also makes extensive workflow recommendations for electronic marketplaces, including omission of artificial intermediate Execution Reports when an order is immediately filled or cancelled, and optional bundling of multiple fills into one final-state report. Numerous proposed fields and both new Order Mass Action message identifiers remain TBD in this source.