To conform with MiFID II regulations CQG introduced following fields for the NewOrderSingle(D), OrderCancelReplaceRequest(G), OrderCancelRequest(F) and ExecutionReport(8) messages. Those fields are:

•      SpeculationType(20154) - speculation type for the order, if specified by the client. Supported values:

o  S = Speculation;

o  H = Hedge;

o  A = Arbitrage.

NOTE: order with ‘Hedge’ speculation type value shall be considered by FIX Server as ‘risk reducing order’.

•      DirectElectronicAccess(20240) - MiFID II Direct Electronic Access indicator. Supported values:

o  0 – False;

o  1 – True.

•      TradingCapacity(20241) – MiFID II Trading Capacity applied to the order. Supported values:

o  DEAL (dealing on own account);

o  MTCH (matched principal);

o  AOTC (any other capacity);

•      LiquidityProvision(20242) – MiFID II Liquidity Provision Activity applied to the order. Supported values:

o  0 – False;

o  1 – True.

•      MiFIDInvestmentDecision(20244) - MiFID Investment Decision Within Firm.

•      MiFIDInvestmentDecisionQualifier(20245) - MiFID II Investment Decision Within Firm qualifier. Supported values:

o  0 - Human

o  1 - Algorithm

•      MiFIDExecutionDecision(20246) - MiFID II Execution Decision Within Firm.

•      MiFIDExecutionDecisionQualifier(20247) - MiFID II Execution Decision Within Firm qualifier. Supported values:

o  0 – Human;

o  1 – Algorithm.

•      MiFIDClientID(20248) - MiFID II Client ID.

•      MiFIDClientIDQualifier(20249) - MiFID II Client ID qualifier. Supported values:

o  1 - Legal Entity;

o  2 - Natural Person.

•      MiFIDClientDecisionMaker(20250) - MiFID II Client Decision Maker.

•      MiFIDClientDecisionMakerQualifier(20251) - MiFID II Client Decision Maker qualifier. Supported values:

o  1 - Legal Entity;

o  2 - Natural Person.

Additionally LegSpeculationType(20155) was added to the <NoLegs> repeating group.

Conversion of MiFID II attributes provided by CQG FIX Client to order destination Exchange specific values is FIX Server’s responsibility. So, when MiFID II attributes sending is enabled CQG FIX Client will send all available MiFID II attributes as is with following validation checks applied:

•      Empty MiFIDInvestmentDecision(20244) value is not allowed when MiFIDInvestmentDecisionQualifier(20245) value is 1 (Algorithm);

•      Empty MiFIDExecutionDecision(20246) value is not allowed.

Order will be rejected when one of above mentioned validation checks fail.

NOTE: when correct value specified, LegSpeculationType(20155) will be sent either for every strategy order related FIX message if <NoLegs> repeating group sending is enabled at FIX session level or when strategy has more than 2 legs.

Following is expected from the FIX server:

•      reporting AggressorIndicator(1057) field in every Execution Report(8) message delivering trade notification from Exchange which supports this attribute;

•      reporting back all MiFID II related attributes specified by FIX Client in NewOrderSingle(D), OrderCancelReplaceRequest(G), OrderCancelRequest(F) in  ExecutionReport(8) coming from FIX server.