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FIX Execution Report Update for CLOB Trading

May 29th, 2023

Release date

May 29th, 2023

Release type

Informational – No action or changes necessary from platforms.

Summary

Zero Hash has updated our FIX API to include additional tags in execution reports. In tag <13> CommType, we are now sending the commission as 'absolute' which is represented by 13=3. In the commission tag <12>, we are sending the commissions on a per fill basis. We have also added in tag <381> Gross Trade Amount which returns the notional amount of the trade.

For self-trade prevention, Zero Hash has added tag <8000> Self-trade prevention instruction which allows clients to control the way they handle self-match prevention on order placements.

  • 8000=B: Self-matching orders will cancel both new and resting orders.
  • 8000=N: Self-matching orders will cancel the new order and keep the resting order. (Default)
  • 8000=O: Self-matching orders will cancel the resting order.

Endpoints impacted

On the FIX API, the following endpoints are impacted, the change being available in both Cert and Production environments:

  • New Order - Single (D)
  • SelfMatchPreventionInstruction <8000>
  • Execution Report - 8

Relevant documentation:
Additional CLOB information available here.