EP053 – EEWG Market Segmentation

This proposal gives FIX an explicit model for markets, market segments and their trading rules. It distinguishes a marketplace from segments such as wholesale versus retail, liquid continuous trading versus recurring auctions, or electronic versus floor trading. A segment may have its own instruments, schedule and default trading rules.

It introduces Market Definition Request, Market Definition and Market Definition Update Report, plus Trading Session List Update Report. MarketID and MarketSegmentID are added to relevant trading-session, security-status and security-type messages, and SecurityExchange is removed where it had been pressed into use as a market filter. Trading Session List is also extended with a description and trading-rule component.

The proposal supports periodic market-structure downloads and update reports. It complements the separate GDC Product Reference proposal, which handles the association of securities and derivative product definitions with markets and segments.