FIX Publishes FX Reject Code Guidance

The FIX Trading Community’s global FX sub-committee has published recommended practices aimed at clarifying and simplifying practices around reject codes when FX trades are refused due to last look.

Citing asset managers’ “legitimate concern”, FIX observes that they want to know why their trade has been rejected, to ensure their own clients are not being disadvantaged. It adds that previously, the FX market had no widely accepted standardised set of reject codes, and as such, the “idiosyncratic/non-standard nature of reject codes’ distinctions did not assist the asset managers as much as they might”.

FIX suggests that a standardised messaging protocol using FIX with a defined set of reject codes increases efficiency in communicating rejections of FX orders and assists asset managers and thereby their clients. It observes that some execution providers offer several dozen different reject codes, and that the demarcation and extent of

each was idiosyncratic for each execution provider. “It is in the interests of clients of asset managers that the reasons for rejection are rapidly analysed so that steps can be taken to

remedy any operational or procedural errors, or issues raised with the execution provider,” the FIX paper states.

The FIX work was in response to an initiative by the Investment Association to standardise reject codes. To this end, the paper offers guidance on how to implement eight quote rejection and six trade request rejection categories suggested by the IA. In the former they are under the credit, pricing outage, regulatory, risk constraint, static data errors, unsupported product and exceptional categories; in the latter, the pricing credit and data reasons are joined by last look and last look – latency as reasons.

The full paper can be downloaded here.