Imported from previous forum
[ original email was from Jim Northey - jnorthey@up.net ]
Is there a recommended way of handling crossing notifications / requests within FIX?
[ original email was from John Armstrong - johna@ms.com ]
> Is there a recommended way of handling crossing notifications / requests within FIX?
>
The Order.Side field has a value of Cross to
indicate a Cross request to an exchange at the
specified limit price.
BTW, we need to add CrossShort to this enum as well.
A report with Side=Crossed, ExecType=Filled
or Rejected should be the reply.
The crossing rules at LIFFE (& probably CBOE) are more complex. Crossing covers two scenerios.
- Where a trader has a client who wishes to buy and another client who wishes to sell (the exchange rules require this to be executed on the open market).
- Where two independent traders have negotiated a cross (e.g. by telephone).
Also there are two mechanisms.
a) Enter an order telling the market “If you don’t hit me I’m going to cross in X seconds”.
b) Enter a quote request telling the market “If you don’t respond with a quote/order within X seconds then I will cross it”.
Hence need crossing flag on Order and Quote Request. Also need intended crossing counterparty on both messages. Need to add to new book messages that the order will cross. For the cross counterparty only (anonymous) they need to see in the book message that the cross will be with them.
> > Is there a recommended way of handling crossing notifications / requests within FIX?
> >
>
> The Order.Side field has a value of Cross to
> indicate a Cross request to an exchange at the
> specified limit price.
>
> BTW, we need to add CrossShort to this enum as well.
>
> A report with Side=Crossed, ExecType=Filled
> or Rejected should be the reply.
>
[ original email was from Mark Kuuse - mark.kuuse@midas-kapiti.co.jp ]
What key fields of the NewOrderSingle message would be used to cover the sending an on-market cross for Paul’s Scenario 1 (a trader has two client orders he wants to cross on market)? Namely, if he puts Side as CROSS, then where could he indicate the Buy and Sell client codes if required? Also, for Scenario 2, if it was always assumed that he is to be the Sell side of the trade and be the one to report it, then would that exclude him from being able to use the same message to report situations where he is the Buyer and must report a trade.
I hope the questions make sense.
Regards
Mark Kuuse
>
> The crossing rules at LIFFE (& probably CBOE) are more complex. Crossing covers two scenerios.
>
> 1) Where a trader has a client who wishes to buy and another client who wishes to sell (the exchange rules require this to be executed on the open market).
> 2) Where two independent traders have negotiated a cross (e.g. by telephone).
>
> Also there are two mechanisms.
> a) Enter an order telling the market “If you don’t hit me I’m going to cross in X seconds”.
> b) Enter a quote request telling the market “If you don’t respond with a quote/order within X seconds then I will cross it”.
>
> Hence need crossing flag on Order and Quote Request. Also need intended crossing counterparty on both messages. Need to add to new book messages that the order will cross. For the cross counterparty only (anonymous) they need to see in the book message that the cross will be with them.
>
> > > Is there a recommended way of handling crossing notifications / requests within FIX?
> > >
> >
> > The Order.Side field has a value of Cross to
> > indicate a Cross request to an exchange at the
> > specified limit price.
> >
> > BTW, we need to add CrossShort to this enum as well.
> >
> > A report with Side=Crossed, ExecType=Filled
> > or Rejected should be the reply.
> >
>