Auction Orders

, ,
1

Imported from previous forum

2

Does FIX support auction orders?

3

Yes, to a certain extent, extensions are forthcoming. Currently, you can use TradingSessionSubID (625) and TimeInForce (59) to define that an order can only participate in a specific auction (e.g. opening, closing, crossing).

What are your requirements related to auction orders? What is the message flow?

Does FIX support auction orders?

4

Hi Hanno:
The flow is:
Auction initiator places auction order of type English/Yankee/Dutch (forward or reverse) and specifies the bidding period. Users then place bids against this order. what would be the best way of implementing this.
-Pravin

5

Suggest to use NewOrderSingle for entry of the auction order. Use MarketDataSnapshotFullRefresh to send information about the order to the bidders (just the fields needed to bid, e.g. OrderID or MDEntryID). Bidders then use NewOrderSingle with field RefOrderID (1080) and RefOrderIDSource (1081) to specify the auction order they are bidding on (ID value comes from the market data message).

Initiators and bidders (respondents) have their own ClOrdID values for chaining.

A field AuctionType does not exist (yet) but this is something I would like to extend FIX with. For now, you could use the UDF 9383 even if its description does not fit 100%. It is a matter of bilateral agreement to extend its usage beyond the stated values 1 and 2. Auctions can be very specific and it might be best not to pre-define auction type values at all and just leave them to bilateral agreement.

Regards,
Hanno.

Hi Hanno: The flow is: Auction initiator places auction order of type
English/Yankee/Dutch (forward or reverse) and specifies the bidding
period. Users then place bids against this order. what would be the best
way of implementing this. -Pravin

6

thanks a lot Hanno. How do I specify in the order type that this is an auction order.

Suggest to use NewOrderSingle for entry of the auction order. Use
MarketDataSnapshotFullRefresh to send information about the order to the
bidders (just the fields needed to bid, e.g. OrderID or MDEntryID).
Bidders then use NewOrderSingle with field RefOrderID (1080) and
RefOrderIDSource (1081) to specify the auction order they are bidding on
(ID value comes from the market data message).

Initiators and bidders (respondents) have their own ClOrdID values
for chaining.

A field AuctionType does not exist (yet) but this is something I would
like to extend FIX with. For now, you could use the UDF 9383 even if its
description does not fit 100%. It is a matter of bilateral agreement to
extend its usage beyond the stated values 1 and 2. Auctions can be very
specific and it might be best not to pre-define auction type values at
all and just leave them to bilateral agreement.

Regards, Hanno.

Hi Hanno: The flow is: Auction initiator places auction order of type
English/Yankee/Dutch (forward or reverse) and specifies the bidding
period. Users then place bids against this order. what would be the
best way of implementing this. -Pravin

7

You can handle an auction order similar to a reserve order, i.e. the presence of a specific field represents the special order type, e.g. DisplayQty in case of a reserve order. In your case it would be AuctionType. One could add order types but only if there is no conflict. If your auction orders can be market or limit, you cannot use another order type without using the ability to distinguish market from limit.

thanks a lot Hanno. How do I specify in the order type that this is an
auction order.

Suggest to use NewOrderSingle for entry of the auction order. Use
MarketDataSnapshotFullRefresh to send information about the order to
the bidders (just the fields needed to bid, e.g. OrderID or
MDEntryID). Bidders then use NewOrderSingle with field RefOrderID
(1080) and RefOrderIDSource (1081) to specify the auction order they
are bidding on (ID value comes from the market data message).

Initiators and bidders (respondents) have their own ClOrdID values for
chaining.

A field AuctionType does not exist (yet) but this is something I would
like to extend FIX with. For now, you could use the UDF 9383 even if
its description does not fit 100%. It is a matter of bilateral
agreement to extend its usage beyond the stated values 1 and 2.
Auctions can be very specific and it might be best not to pre-define
auction type values at all and just leave them to bilateral agreement.

Regards, Hanno.

Hi Hanno: The flow is: Auction initiator places auction order of
type English/Yankee/Dutch (forward or reverse) and specifies the
bidding period. Users then place bids against this order. what would
be the best way of implementing this. -Pravin