Imported from previous forum
is it correct to use 39=7 in an execution report to indicate that a stop order was triggered? i can only assume that’s what ‘stopped’ means in the spec. (and for fix 4.2 and above 150=7 also?)
thanks
-Jeff
[ original email was from Richard Mirsberger - rmirsberger@bear.com ]
"You Are Stopped" is a message from the exchange to the entering party indicating that the they are promised a fill of their order at the price specified in the message OR better. It is not used to indicate that a stop order has been elected.
Richard Mirsberger
Bear, Stearns & Co.
(212)272-4137
> is it correct to use 39=7 in an execution report to indicate that a stop order was triggered? i can only assume that’s what ‘stopped’ means in the spec. (and for fix 4.2 and above 150=7 also?)
> thanks
> -Jeff
>
>
what do you mean by ‘elected’? that an entering party wants to enter a stop order? if so, that is not what i’m asking. let me rephrase…
what status and exec type (tag 39 and 150) should be used to indicate in an execution report that a stop order has been triggered (not filled, just triggered and is now active)?
>
> “You Are Stopped” is a message from the exchange to the entering party indicating that the they are promised a fill of their order at the price specified in the message OR better. It is not used to indicate that a stop order has been elected.
>
> Richard Mirsberger
> Bear, Stearns & Co.
> (212)272-4137
>
> > is it correct to use 39=7 in an execution report to indicate that a stop order was triggered? i can only assume that’s what ‘stopped’ means in the spec. (and for fix 4.2 and above 150=7 also?)
> > thanks
> > -Jeff
> >
> >
>
[ original email was from Himanshu Sharma - himanshu.sharma@schwab.com ]
IMHO, after Stop is triggerred, the order becomes MKT (or Limit if it was StopLimit) and OrdType changes to MKT (or Limit). Hence ExecReport should keep OrdStatus same as before and only change OrdType to MKT (or Limit).
Its just change in OrdType and not OrdStatus.
Any ideas?
> what do you mean by ‘elected’? that an entering party wants to enter a stop order? if so, that is not what i’m asking. let me rephrase…
> what status and exec type (tag 39 and 150) should be used to indicate in an execution report that a stop order has been triggered (not filled, just triggered and is now active)?
>
> >
>
> > “You Are Stopped” is a message from the exchange to the entering party indicating that the they are promised a fill of their order at the price specified in the message OR better. It is not used to indicate that a stop order has been elected.
> >
> > Richard Mirsberger
> > Bear, Stearns & Co.
> > (212)272-4137
> >
> > > is it correct to use 39=7 in an execution report to indicate that a stop order was triggered? i can only assume that’s what ‘stopped’ means in the spec. (and for fix 4.2 and above 150=7 also?)
> > > thanks
> > > -Jeff
> > >
> > >
> >
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> IMHO, after Stop is triggerred, the order becomes MKT (or Limit if it was StopLimit) and OrdType changes to MKT (or Limit). Hence ExecReport should keep OrdStatus same as before and only change OrdType to MKT (or Limit).
> Its just change in OrdType and not OrdStatus.
> Any ideas?
I don’t thin that there is a widely implemented way to inform a client in FIX that a stop order has triggered.
Your suggestion gave me an idea for a good way to implement this, which is consistent with the rest of the spec.
FIX 4.2 introduced the concept of "Restatement" where a sell-side could make a modification to the terms of an order which were not electronically initiated by the buy-side (i.e. not in response to a cancel or cancel/replace.) Examples include a GTC order repriced due to a corporate action, a verbal request via telephone to change an order, or the market choosing to partially decline part of the order.
So in FIX 4.4, I would suggest sending:
OrdType=Market or Limit
Price=(if order was Stop Limit)
ExecType=Restated
ExecRestatementReason=Market (Exchange) Option
Obviously, your counterparty needs to know to expect it.
Further, I would suggest that the next FIX version include a new ExecRestatementReason called "Stop Order Triggered" which would describe this situation perfectly. Could this please be captured as a proposed change?
if this concept of using an exec report to notify of a stop order triggered is going to be introduced, i’d suggest just adding a new value for tag 150 for ‘stop triggered’. i dont see why you’d need execution type as restated and a restatementreason. wouldnt this be simpler?
anyhow, from the feedback i’ve received and from answers i got from colleagues, it doesnt seem like there is any way to do this now in FIX. at least no consistent way. thanks for your input
-jeff
Bloomberg LP
> > IMHO, after Stop is triggerred, the order becomes MKT (or Limit if it was StopLimit) and OrdType changes to MKT (or Limit). Hence ExecReport should keep OrdStatus same as before and only change OrdType to MKT (or Limit).
> > Its just change in OrdType and not OrdStatus.
> > Any ideas?
>
> I don’t thin that there is a widely implemented way to inform a client in FIX that a stop order has triggered.
>
> Your suggestion gave me an idea for a good way to implement this, which is consistent with the rest of the spec.
>
> FIX 4.2 introduced the concept of “Restatement” where a sell-side could make a modification to the terms of an order which were not electronically initiated by the buy-side (i.e. not in response to a cancel or cancel/replace.) Examples include a GTC order repriced due to a corporate action, a verbal request via telephone to change an order, or the market choosing to partially decline part of the order.
>
> So in FIX 4.4, I would suggest sending:
>
> OrdType=Market or Limit
> Price=(if order was Stop Limit)
> ExecType=Restated
> ExecRestatementReason=Market (Exchange) Option
>
> Obviously, your counterparty needs to know to expect it.
>
> Further, I would suggest that the next FIX version include a new ExecRestatementReason called “Stop Order Triggered” which would describe this situation perfectly. Could this please be captured as a proposed change?
>
>