Imported from previous forum
When does a DAY Order Expire? Is it up to the SELL-SIDE to send a DONE-FOR-DAY or EXPIRATION Msg? Should a BUY-SIDE pre-emptively cancel all outstanding DAY orders after a specified amount of time. What if a fill comes in the next day? Should it be DK’ed? -thx
[ original email was from Brian Gay - brian.gay@transacttools.net ]
DAY orders expire at the end of the day’s trading session. If the order has not been filled, the open quantity is considered cancelled. There is generally no need for the buyside or sellside to communicate anything additional electronically in this instance.
The sellside would generally send a DONE FOR DAY status to indicate they will send no more execution reports for that particular order on that day. EXPIRE TIME is generally used when the buyside either sends a Good Til Date order, in which instance they are telling the sellside to cancel at the end of a trading session on the specified date if the order has not been filled, or if they wish the order to expire at a particular time within a specified trading session.
If the buyside wishes to cancel all open day orders after a specified amount of time, they can do so by sending cancel request msgs.
If the sellside were to send an execution on an DAY order the next day, I would expect the buyside to DK the execution.
-Brian
> When does a DAY Order Expire? Is it up to the SELL-SIDE to send a DONE-FOR-DAY or EXPIRATION Msg? Should a BUY-SIDE pre-emptively cancel all outstanding DAY orders after a specified amount of time. What if a fill comes in the next day? Should it be DK’ed? -thx
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