"End of day" order

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1

Imported from previous forum

2

Hi,

I am a trader and have a query concerning the way fix messages manage “end of day” orders. We are actually connecting our own OMS to a network.

End of day is different if you are in Europe, America or Asia.
When you place an electronic order to a broker, is it better to specify a precise hour or does the system recognize the place of trading and knows by itself that the closing is at for instance 17h30?

What is the best way to work with this subject?

Thanks in advance for your help.

Géry

3

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Géry,

There is no clear answer to your question as actors implement differnt behavior. You need to find out how the markets where you are active work.

A day order is generally expressed as TimeInForce (59) = 0 in FIX. The semantics is defined by the receiver. An order can be routed through a number of participants ultimately ending up in an execution venue. Each of those may act on the expiry instruction.

A broker recieving a day order from a client may attempt executing it at another venue if it expires at the first venue (due to it closing for the day).

It is common that exchanges expire day orders after the ordinary trading session, however some exchanges may include the order in e.g. an “evening” session or expire them at the start of the next trading day. In the latter case an intermediary may need to cancel the order if he wants to try another venue.

If you specify an expiry time instead (again something that may not be supported everwhere), the order might be removed too early, e.g. in the case trading is extended at the execution venue.

An option (provided your broker / execution venue supports them) is to specify the Trading Sessions (TradingSessionID, 336 / TradingSessionSubID, 625) for which the order is valid. Some marketplaces allow only a single Trading(Sub)SessionID and expire the order before or after it. TimeInForce = 0 (Day or Session) in those cases too.

Regards

Rikard

Hi,

I am a trader and have a query concerning the way fix messages
manage “end of day” orders. We are actually connecting our own OMS
to a network.

End of day is different if you are in Europe, America or Asia. When you
place an electronic order to a broker, is it better to specify a precise
hour or does the system recognize the place of trading and knows by
itself that the closing is at for instance 17h30?

What is the best way to work with this subject?

Thanks in advance for your help.

Géry

4

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Géry,

on second thought I’d like to add a couple of things:

  • some brokers send out Execution Reports with a “Done for Day” state when the order is not eligible for execution during the rest of the day, others use “Expired” or “Canceled”.

  • if what you want to do is to execute the order at the closing of the trading day only, using TimeInForce = 7 (At the close) is your best option

Géry,

There is no clear answer to your question as actors implement
differnt behavior. You need to find out how the markets where you are
active work.

A day order is generally expressed as TimeInForce (59) = 0 in FIX. The
semantics is defined by the receiver. An order can be routed through a
number of participants ultimately ending up in an execution venue. Each
of those may act on the expiry instruction.

A broker recieving a day order from a client may attempt executing it
at another venue if it expires at the first venue (due to it closing
for the day).

It is common that exchanges expire day orders after the ordinary trading
session, however some exchanges may include the order in e.g. an
“evening” session or expire them at the start of the next trading day.
In the latter case an intermediary may need to cancel the order if he
wants to try another venue.

If you specify an expiry time instead (again something that may not be
supported everwhere), the order might be removed too early, e.g. in the
case trading is extended at the execution venue.

An option (provided your broker / execution venue supports them) is to
specify the Trading Sessions (TradingSessionID, 336 /
TradingSessionSubID, 625) for which the order is valid. Some
marketplaces allow only a single Trading(Sub)SessionID and expire the
order before or after it. TimeInForce = 0 (Day or Session) in those
cases too.

Regards

Rikard

Hi,

I am a trader and have a query concerning the way fix messages manage
“end of day” orders. We are actually connecting our own OMS to a
network.

End of day is different if you are in Europe, America or Asia. When
you place an electronic order to a broker, is it better to specify a
precise hour or does the system recognize the place of trading and
knows by itself that the closing is at for instance 17h30?

What is the best way to work with this subject?

Thanks in advance for your help.

Géry

5

Rikard,

Thanks for your explanations
Brokers trade different markets and we have to be compliant with the brokers we use whatever the Exchanges they send orders to.

Géry,

on second thought I’d like to add a couple of things:

  • some brokers send out Execution Reports with a “Done for Day” state
    when the order is not eligible for execution during the rest of the
    day, others use “Expired” or “Canceled”.

  • if what you want to do is to execute the order at the closing of
    the trading day only, using TimeInForce = 7 (At the close) is your
    best option

Géry,

There is no clear answer to your question as actors implement
differnt behavior. You need to find out how the markets where you are
active work.

A day order is generally expressed as TimeInForce (59) = 0 in FIX. The
semantics is defined by the receiver. An order can be routed through a
number of participants ultimately ending up in an execution venue.
Each of those may act on the expiry instruction.

A broker recieving a day order from a client may attempt executing it
at another venue if it expires at the first venue (due to it closing
for the day).

It is common that exchanges expire day orders after the ordinary
trading session, however some exchanges may include the order in e.g.
an “evening” session or expire them at the start of the next trading
day. In the latter case an intermediary may need to cancel the order
if he wants to try another venue.

If you specify an expiry time instead (again something that may not be
supported everwhere), the order might be removed too early, e.g. in
the case trading is extended at the execution venue.

An option (provided your broker / execution venue supports them) is to
specify the Trading Sessions (TradingSessionID, 336 /
TradingSessionSubID, 625) for which the order is valid. Some
marketplaces allow only a single Trading(Sub)SessionID and expire the
order before or after it. TimeInForce = 0 (Day or Session) in those
cases too.

Regards

Rikard

Hi,

I am a trader and have a query concerning the way fix messages
manage “end of day” orders. We are actually connecting our own OMS
to a network.

End of day is different if you are in Europe, America or Asia. When
you place an electronic order to a broker, is it better to specify a
precise hour or does the system recognize the place of trading and
knows by itself that the closing is at for instance 17h30?

What is the best way to work with this subject?

Thanks in advance for your help.

Géry