Imported from previous forum
[ original email was from Vivien Lee - vivien.wm.lee@ing-barings.com ]
I think some one asked this before, but never get the exact answer. There are the below ExecInst in FIX 4.2.
Currently, I know know that (1) Not Held and (4) Over the day are used to define CD/TD order. (according to FIX asia committee. However, what about the rest?
From the business point of view, what exactly the mean for the tag?
Like from the technical point of view, when an order comes in with ExecInst= Try to scale/Strict scale, how should my OMS handle this order?
Does FIX protocol.org provides any documentation on these? Like from a business user point of view?
Regards
1 = Not held
2 = Work
3 = Go along
4 = Over the day
5 = Held
6 = Participate don’t initiate
7 = Strict scale
8 = Try to scale
9 = Stay on bidside
0 = Stay on offerside
A = No cross (cross is forbidden)
B = OK to cross
C = Call first
D = Percent of volume "(indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage)"
E = Do not increase - DNI
F = Do not reduce - DNR
G = All or none - AON
I = Institutions only
L = Last peg (last sale)
M = Mid-price peg (midprice of inside quote)
N = Non-negotiable
O = Opening peg
P = Market peg
R = Primary peg (primary market - buy at bid/sell at offer)
S = Suspend
T = Fixed Peg to Local best bid or offer at time of order
U = Customer Display Instruction (Rule11Ac1-1/4)
V = Netting (for Forex)
W = Peg to VWAP
These are all defined in the Glossary of FIX 4.3 (Volume 1). The FIX organization also has some "business user point of view" working groups reviewing these.
Ultimately these are used to convey business instructions and you may find that "in the real world" the technical implementation of them may vary somewhat by business relationship, market, etc.
> I think some one asked this before, but never get the exact answer. There are the below ExecInst in FIX 4.2.
> Currently, I know know that (1) Not Held and (4) Over the day are used to define CD/TD order. (according to FIX asia committee. However, what about the rest?
> From the business point of view, what exactly the mean for the tag?
> Like from the technical point of view, when an order comes in with ExecInst= Try to scale/Strict scale, how should my OMS handle this order?
> Does FIX protocol.org provides any documentation on these? Like from a business user point of view?
>
> Regards
>
>
> 1 = Not held
> 2 = Work
> 3 = Go along
> 4 = Over the day
> 5 = Held
> 6 = Participate don’t initiate
> 7 = Strict scale
> 8 = Try to scale
> 9 = Stay on bidside
> 0 = Stay on offerside
> A = No cross (cross is forbidden)
> B = OK to cross
> C = Call first
> D = Percent of volume “(indicates that the sender does not want to be all of the volume on the floor vs. a specific percentage)”
> E = Do not increase - DNI
> F = Do not reduce - DNR
> G = All or none - AON
> I = Institutions only
> L = Last peg (last sale)
> M = Mid-price peg (midprice of inside quote)
> N = Non-negotiable
> O = Opening peg
> P = Market peg
> R = Primary peg (primary market - buy at bid/sell at offer)
> S = Suspend
> T = Fixed Peg to Local best bid or offer at time of order
> U = Customer Display Instruction (Rule11Ac1-1/4)
> V = Netting (for Forex)
> W = Peg to VWAP
>
>