New version of Market Data Interface of TREP RT system (Thomson Reuters) — 5.0.0

22 january 2018

The main change in this version of Market Data Interface of TREP RT system (Thomson Reuters) is support of MiFID II requirements. In particular, the interface transmits new order and trade table parameters identifying users as ‘Client’, ‘Investment decision maker’ and ‘Executing trader’.

The following parameters are also transmitted:

for orders — ‘Price currency’, ‘Extended order status’, ‘Filled value’, the ‘Extended hours’ value in the ‘Execution mode’ field for post-trading orders on American markets,
for trades — ‘Execute Market’, Liquidity’, ‘Capacity’.

The current trading table acquired parameters identifying instruments ‘StockCode’, ‘Bloomberg ID’, ‘CUSIP’, ‘SEDOL’, ‘StockName’ and parameters showing number of securities in trades of pre- and post-trading sessions.

When Market Data Interface of TREP RT system (Thomson Reuters) is used in conjunction with FIX order router program interface new options are available:

Identification of instruments specified in forwarded transactions may be set by classes of instruments. For example, it is possible to identify NASDAQ and LSE instruments by different types of instrument codes within one FIX connection to execution broker,
The functionality to redefine FIX tags, set in the MarketTransTags.xml file, was supplemented with an option to change values within a group of repeated tags. This may be useful when working with several execution brokers having different requirements for filling tags.

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