COD Typical Values

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Imported from previous forum

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Hi all,

embedded in a FIX logon message, there are 2 tags where the user can control the COD (Cancel on Disconnect) behavior. They are:

  • Tag 35002: which can have the values

    • 0: do not use COD
    • 1: use COD only when a “graceful” logout is sent
    • 2: use COD on any “network” disconnection
    • 3: 1 AND 2

  • Tag 35003: value, in ms, negotiated to be used in COD (0 to 60000)

So my questions to you guys are:

  • Is it COD widely used?
  • If so, what are the typical values negotiated to COD in tag 35003 (timeout)?

Thanks in advance,
Marcelo

3

[ original email was from Andrei Goldchleger - agoldchleger@bvmf.com.br ]
> Hi all,

embedded in a FIX logon message, there are 2 tags where the user can control the COD (Cancel on Disconnect) behavior. They are:

  • Tag 35002: which can have the values

    • 0: do not use COD
    • 1: use COD only when a “graceful” logout is sent
    • 2: use COD on any “network” disconnection
    • 3: 1 AND 2

  • Tag 35003: value, in ms, negotiated to be used in COD (0 to 60000)

So my questions to you guys are:

  • Is it COD widely used?
  • If so, what are the typical values negotiated to COD in tag 35003 (timeout)?

Thanks in advance,
Marcelo

This question is related to the BM&FBovespa implementation of COD. Although the tags you mentioned are specific to the BVMF implementation, COD is a common functionality that may be implemented in different ways (AFAIK there is no standard way to do it). Anyway, your questions are applicable to most of the solutions, so:

Q: Is it COD widely used?
A: Yes, it is, although not by all customer segments. It is most useful for price sensitive customers, such as HFTs.

Q: If so, what are the typical values negotiated to COD in tag 35003
A: This depends of the sensitivity of each application/trading strategy. Some of them can tolerate brief recoverable disconnections, while others might require immediate order cancellation.

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Note that there is also 18=o (ExecInst = Cancel on connection loss).

Hi all,

embedded in a FIX logon message, there are 2 tags where the user can control the COD (Cancel on Disconnect) behavior. They are:

  • Tag 35002: which can have the values

    • 0: do not use COD
    • 1: use COD only when a “graceful” logout is sent
    • 2: use COD on any “network” disconnection
    • 3: 1 AND 2

  • Tag 35003: value, in ms, negotiated to be used in COD (0 to 60000)

So my questions to you guys are:

  • Is it COD widely used?
  • If so, what are the typical values negotiated to COD in tag 35003 (timeout)?

Thanks in advance,
Marcelo

5

Cancel on disconnect is standardised on the message level but not (yet) on the session level. It is a common requirement for exchanges with high speed interfaces where a connection loss can have a severe impact if one’s orders/quotes are not automatically removed by the exchange. The extension of the logon may happen in the future if a corresponding proposal is submitted to FPL. I would expect to see more than just cancel behaviour, i.e. it could also be a suspension and there could be a distinction between orders and quotes. I would also expect any extension to be made to logon and logout to give the user the chance to override the settings on a graceful logout.
Similar to ExecInst on the message level it could be SessionInst on the session level, embedded in a repeating group with additional fields for actions (e.g. cancel, suspend) and entities (e.g. orders, quotes).
Regards,
Hanno.

Note that there is also 18=o (ExecInst = Cancel on connection loss).

Hi all,

embedded in a FIX logon message, there are 2 tags where the user can control the COD (Cancel on Disconnect) behavior. They are:

  • Tag 35002: which can have the values

    • 0: do not use COD
    • 1: use COD only when a “graceful” logout is sent
    • 2: use COD on any “network” disconnection
    • 3: 1 AND 2

  • Tag 35003: value, in ms, negotiated to be used in COD (0 to 60000)

So my questions to you guys are:

  • Is it COD widely used?
  • If so, what are the typical values negotiated to COD in tag 35003 (timeout)?

Thanks in advance,
Marcelo