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Streamlining Post-Trade Event Messaging: Approaches and Challenges

This paper explores the structure and content of generic messages in the context of post-trade events, addressing complex cases like exceptions and trade parties. It highlights the need for a robust approach to extend existing message frameworks while proposing solutions to current limitations around schema requests. Topics include the challenges of associating payloads with trades instead of loosely defined products, the handling of execution notifications, and the necessary adjustments for complex derivatives messages. Open questions regarding message naming conventions and event selection are also presented for further discussion.

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Streamlining Post-Trade Event Messaging: Approaches and Challenges

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  1. Simplified Messages Based on MTF Post Trade Event Sequence Paper

  2. Introduction • Illustrates what generic messages would look like • Includes solution to • Acknowledgements • Exceptions • Parties and accounts • Still open questions regarding • Use of choices to select events • RFQ, Matching processes • Naming of messages

  3. Extensions • Have used a choice group for content rather than a substitution group for now • Need an approach that tackles both extending existing message and creating new ones • Not easy with the limitations of schema

  4. requestQuote • Document suggests trade or post trade event as payload but current message is based on loosely defined products not trades • Position of ‘documentation’ element is problematic for complex derivatives (e.g. CDS)

  5. quoteException • Error expressed in terms of numeric codes, XPaths and text values • Could add Exception.model content to ExceptionMessage and use same type for all messages

  6. quote • Document suggests trade or post trade event as payload but current message is based on loosely defined products not trades

  7. quoteCancelled & quoteUpdated • No quoteCancelled in current messaging • Quotation always have an expiration date/time and can’t be retracted by the offerer • ‘dictum meum pactum’ • Requesters don’t have to take up offers (might have got a better one) • Do quotes need updating? • Probably not necessary, requester can just ask for another

  8. placeOrder • Payload is a trade or a trade event

  9. orderAcknowledgement • What content • CorrelationId could be useful to include

  10. orderException • Order can’t be executed for business reasons

  11. executionNotification • Notification to trading party, or advice to a downstream organization. • Payload can be a trade or a post-trade event • Correctable

  12. executionAcknowledgement

  13. executionException

  14. executionRetracted • How much detail of the action being retracted should be specified?

  15. confirmationRequest

  16. confirmationAcknowledgement

  17. confirmationException

  18. confirmationRetracted

  19. confirmationStatus

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