Imported from previous forum
1.Tag #388, DiscretionInstr, whatdoes "2=Related Primary Price" mean? what is this used for?
-
In buy order, if we were to place a "Careful Discretion order" for 10000 shares of MSFT (benchmark:volume weight average price), what signal or code or tag should we use? example… 8=fIX4.3,9=0126,35=D… is this
correct? -
In "Basket Order" buy order, if we wanted to buy below two diff shares in a basket order, how should we do this?
Msft 10000 shares 40$(Limit Price)
IBM 1000 shares 30$(Limit Price)
Any help will be great.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
I’m not sure how “Careful Discretion” relates to discretion as specified by DiscretionInst and DiscretionOffset, but I can explain the latter.
DiscretionInst and DiscretionOffset are used to specify a hidden price at which something will trade, which is better than the displayed price. This type of discretion is determined entirely by a mathematical formula. The method for handling discretion is, by design, very similar for the method used to handle pegging, and the FIX spec allows the use of both in combination. (Note that people who implement discretion might not allow every combination.)
> 1.Tag #388, DiscretionInstr, whatdoes "2=Related Primary Price" mean? what is this used for?
This states that the rule to determine the hidden, discretionary price is to take the bid if buying, or the offer if selling, and add DiscretionOffset to it.
For example, the market for a security might be 50.00 50.10. I could place the following order:
Side=Buy
OrdType=Limit
Price=49.90
DiscretionInst=2
DiscretionOffset=0.05
This order will be displayed to the marketplace at 49.90, but is eligible to trade at any price up to and including 50.05 (the bid + 0.05). If the bid drops to 49.95, then the discretion price at which I am willing to trade drops automatically to 50.00 (bid + 0.05).
> 2. In buy order, if we were to place a "Careful Discretion order" for 10000 shares of MSFT (benchmark:volume weight average price), what signal or code or tag should we use? example… 8=fIX4.3,9=0126,35=D… is this
> correct?
Again, I’m not sure if Careful Discretion maps entirely to the concept of Discretion as specified by DiscretionInst and DiscretionOffset.
I remember that VWAP was added as a peg type (ExecInst); it makes sense to consider adding "Related to VWAP" as a DiscretionInst value in the next spec version.
I agree with Ryan that “Careful Discretion” does not relate to DiscretionOffset. Please see FIX 4.3 Volume 4’s “Order Handling and Instruction Semantics” section’s “Asia/Pacific Regional Order Handling”.
Note that the term "Careful Discretion" is defined as specifying OrdType=1 (Market) and ExecInst=4 (Over the Day).
> I’m not sure how “Careful Discretion” relates to discretion as specified by DiscretionInst and DiscretionOffset, but I can explain the latter.
>
> DiscretionInst and DiscretionOffset are used to specify a hidden price at which something will trade, which is better than the displayed price. This type of discretion is determined entirely by a mathematical formula. The method for handling discretion is, by design, very similar for the method used to handle pegging, and the FIX spec allows the use of both in combination. (Note that people who implement discretion might not allow every combination.)
>
> > 1.Tag #388, DiscretionInstr, whatdoes “2=Related Primary Price” mean? what is this used for?
>
> This states that the rule to determine the hidden, discretionary price is to take the bid if buying, or the offer if selling, and add DiscretionOffset to it.
>
> For example, the market for a security might be 50.00 50.10. I could place the following order:
>
> Side=Buy
> OrdType=Limit
> Price=49.90
> DiscretionInst=2
> DiscretionOffset=0.05
>
> This order will be displayed to the marketplace at 49.90, but is eligible to trade at any price up to and including 50.05 (the bid + 0.05). If the bid drops to 49.95, then the discretion price at which I am willing to trade drops automatically to 50.00 (bid + 0.05).
>
> > 2. In buy order, if we were to place a “Careful Discretion order” for 10000 shares of MSFT (benchmark:volume weight average price), what signal or code or tag should we use? example… 8=fIX4.3,9=0126,35=D… is this
> > correct?
>
> Again, I’m not sure if Careful Discretion maps entirely to the concept of Discretion as specified by DiscretionInst and DiscretionOffset.
>
> I remember that VWAP was added as a peg type (ExecInst); it makes sense to consider adding “Related to VWAP” as a DiscretionInst value in the next spec version.
>
>
[ original email was from Hank Terrebrood - Hank.Terrebrood@csfb.com ]
You should also realize that OMSs in the US (the example used MSFT)will probably not be able to display or discern that you mean CD as the order handling instructions. CD is not used in the US.
> I agree with Ryan that “Careful Discretion” does not relate to DiscretionOffset. Please see FIX 4.3 Volume 4’s “Order Handling and Instruction Semantics” section’s “Asia/Pacific Regional Order Handling”.
>
> Note that the term “Careful Discretion” is defined as specifying OrdType=1 (Market) and ExecInst=4 (Over the Day).
>
>
> > I’m not sure how “Careful Discretion” relates to discretion as specified by DiscretionInst and DiscretionOffset, but I can explain the latter.
> >
> > DiscretionInst and DiscretionOffset are used to specify a hidden price at which something will trade, which is better than the displayed price. This type of discretion is determined entirely by a mathematical formula. The method for handling discretion is, by design, very similar for the method used to handle pegging, and the FIX spec allows the use of both in combination. (Note that people who implement discretion might not allow every combination.)
> >
> > > 1.Tag #388, DiscretionInstr, whatdoes “2=Related Primary Price” mean? what is this used for?
> >
> > This states that the rule to determine the hidden, discretionary price is to take the bid if buying, or the offer if selling, and add DiscretionOffset to it.
> >
> > For example, the market for a security might be 50.00 50.10. I could place the following order:
> >
> > Side=Buy
> > OrdType=Limit
> > Price=49.90
> > DiscretionInst=2
> > DiscretionOffset=0.05
> >
> > This order will be displayed to the marketplace at 49.90, but is eligible to trade at any price up to and including 50.05 (the bid + 0.05). If the bid drops to 49.95, then the discretion price at which I am willing to trade drops automatically to 50.00 (bid + 0.05).
> >
> > > 2. In buy order, if we were to place a “Careful Discretion order” for 10000 shares of MSFT (benchmark:volume weight average price), what signal or code or tag should we use? example… 8=fIX4.3,9=0126,35=D… is this
> > > correct?
> >
> > Again, I’m not sure if Careful Discretion maps entirely to the concept of Discretion as specified by DiscretionInst and DiscretionOffset.
> >
> > I remember that VWAP was added as a peg type (ExecInst); it makes sense to consider adding “Related to VWAP” as a DiscretionInst value in the next spec version.
> >
> >
>