EP297 – Algo Trading Identifiers

This Extension Pack covers a request to provide data on ExecutionReport(35=8) messages relating to the usage of execution algorithms on orders.

Specifically, these changes allow brokers to communicate to their clients:

• Whether an order is being executed as part of a randomised trial, and which ‘flavour’ of the algorithm is being used for that specific order.
• The identifier of the algorithm used by the broker for the last fill (outside of trials).
• Where an algorithm testing certificate exists, the identifier of the certificate.