FIX Protocol enhanced for MiFID II Time Stamps

Originally published on 03 December 2015

 FIX Trading Community, the non-profit, industry-driven standards body at the heart of global financial trading, today announced that the FIX Protocol will now support higher time stamp resolution to enable market participants to be MiFID II compliant.

FIX formed the Clock Synchronisation Working Group in June 2015 to look at regulatory technical standard (RTS) on Clock Synchronisation as defined by ESMA and the practicalities of implementation. Within this RTS, there are requirements to communicate time stamps of certain events with granularities of one microsecond.  Those with the obligation to report with this level of granularity include certain execution venues, banks and buy-side customers. The FIX Working Group is comprised of these different market participants plus members of the vendor community who are proactively looking at MiFID II to address these issues and provide tangible guidelines for becoming compliant.

The tag=value encodings in the different versions of the FIX Protocol currently support millisecond granularity. The enhancement to support microseconds will be backwardly compatible and is relevant to all supported versions of FIX: FIX4.2, FIX.4.4 and FIX.5.0SP1, FIX.5.0SP2. Although the current business requirements speak about ‘microseconds’, there is a strong recommendation to enhance the standards to remove any limitation of time stamp granularities.

Neil Horlock, Director – Global Market Connectivity, Credit Suisse and Co-Chair Clock Synchronisation Working Group, FIX Trading Community noted, “By proactively making this adjustment, we are giving clear guidance to the industry on how to use FIX for MiFID II compliant time stamps. We also hope to protect the integrity of the standard while ensuring that all FIX encodings – past and present – are suitable not only for the MiFID II legislation but any likely future requirements for high-precision time stamps.”

Kathleen Traynor – Consultant to Cinnober Financial Technology AB and Co-Chair Clock Synchronisation Working Group, FIX Trading Community commented, “MiFID II implementation involves many IT challenges for industry participants.  FIX’s Clock Synchronisation Working Group brings people together to share ideas and find efficient ways of achieving compliance, which is vital given all the heavy lifting we have ahead.”

The proposals within the document will soon go to public review for a period of four weeks. The FIX Trading Community will work closely with its members to ensure that the industry adopts the increased time synchronisation in a consistent manner.