Imported from previous forum
[ original email was from George Wolf - georgew@trinitech.com ]
On the floor of the NYSE, there is a commonly used concept of a "Facilitate" order, in which the "house" may commit capital to help fill an Agency order beyond what stock can be done from the crowd and specialist at a certain price level.
We are looking to automate this process, to have a "compound order", or 2 orders come to the floor at the same time. One, the Agency order, the 2nd, the Principal "cover" order. The two orders should be tied together in a way to indicate that they will be worked as a unit, with the Principal order conditional of the unfilled quantity of the Agency order.
Has anyone done this yet in FIX yet? Is there any concept of order pairing, or a conditional order in the FIX protocol?
We will be implementing this feature in the next iteration of our widely used Exchange Floor Order Management system, (FloorReport), and we would like to use a standard if it exists, otherwise, we will propose a standard.
This issue gains some urgency, since all order flow to the NYSE must be recorded electronically to be compliant with rule 123. To have a trader create and send 2 separate orders to the floor to accomplish facilitation will be cumbersome and error prone.
All feedback is appreciated. We are already in development on this project, and will be finalizing the messaging within 2 weeks.
Regards,
George Wolf
Exchange Floor Application Development
NYFIX Inc.
georgew@nyfix.com
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
My guess is that this may be a Cross order, or could be derived via an appropriate ExecInst from a Cross order.
A Cross order is one where there is both a buyer and a seller. Let us say the buyer is the Agency order and the seller is the Principal order. The bid is 50.00, the offer 50.10. The order is priced as a Limit Cross for 10,000 shares at 50.10.
Different exchanges can have different rules for handling crosses. Let us say that: the people on the floor are granted time priority over the cross, and there is 2000 shares selling interest at 50.10. You may end up with a case where Execution Reports coming back are:
LastShares=2000, LastPx=50.10, Side=Buy
LastShares=8000, LastPx=50.10, Side=Cross
In this case, 2000 shares were traded with the specialist and/or crowd on the exchange, and the broker crossed the remaining 8000 shares with the client.
Here, the cross is viewed like a single order. It has three outcomes: Buy some shares and cross the rest, sell some shares and cross the rest, or cross all the shares. Thus, you can treat it as one order as far as FIX is concerned.
Now this representation does have some problems. For instance, there is only one Rule80A field, so one cannot identify which side is Agency and which is Principal. (Possible solution: add BuyerOrderCapacity and SellerOrderCapacity). Also, it is possible that the market could move rapidly before the order was entered. If the market became bid 50.10, offer 50.20, then you would find the principal side of the order selling to the exchange out of the broker’s inventory, and the buying agency side being out of luck, which is obviously not what should happen. Hence there may need to be the concept of “protecting” one side of the cross, i.e. the agency side is protected, the agency side can either trade with the exchange, cross with the principal side, or it would be cancelled, and under no circumstances does the principal side trade. (Possible solutions: the exchange can assume in an Agency / Principal cross the Agency side will be protected, or add a new field to the spec.)
The implementation of crossing orders is currently being hammered out. The Futures and Options Working Group (led by Jim Northey) is actively looking at this issue, and I am involved from the equities standpoint because the proposed Archipelago Exchange needs to implement such Crossing orders in FIX.
> On the floor of the NYSE, there is a commonly used concept of a "Facilitate" order, in which the "house" may commit capital to help fill an Agency order beyond what stock can be done from the crowd and specialist at a certain price level.
>
> We are looking to automate this process, to have a "compound order", or 2 orders come to the floor at the same time. One, the Agency order, the 2nd, the Principal "cover" order. The two orders should be tied together in a way to indicate that they will be worked as a unit, with the Principal order conditional of the unfilled quantity of the Agency order.
>
> Has anyone done this yet in FIX yet? Is there any concept of order pairing, or a conditional order in the FIX protocol?
>
> We will be implementing this feature in the next iteration of our widely used Exchange Floor Order Management system, (FloorReport), and we would like to use a standard if it exists, otherwise, we will propose a standard.
>
> This issue gains some urgency, since all order flow to the NYSE must be recorded electronically to be compliant with rule 123. To have a trader create and send 2 separate orders to the floor to accomplish facilitation will be cumbersome and error prone.
>
> All feedback is appreciated. We are already in development on this project, and will be finalizing the messaging within 2 weeks.
>
> Regards,
>
> George Wolf
> Exchange Floor Application Development
> NYFIX Inc.
> georgew@nyfix.com
>
>
>
Subject: Cross Orders
Currently the NYSE/SIAC Switching and Order Processing (SWOP) Systems do not support Cross Orders being routed directly to the Specialists’ Electronic Book. Since these Orders are handled somewhat differently than the normal flow of Orders, it is my belief that this could be a Market Surveillance issue.
Please note that Cross Orders are not to be confused with Crossing Session Two-Sided Trades, which occur when a Firm enters both the buy and the sell Order.
For those Member Firms who use the NYSE provided Broker Booth Support System (BBSS), SWOP allows the entering of Cross Orders to be directed to the firm’s appropriate Booth location. Additionally, for Phase I of Rule 123, firms will still be allowed to call down these types of Orders to the Booth and enter them into a BBSS device, before presenting the Cross Orders to the Crowd and/or the Specialist. These Orders and Modifications are identified by information presented within miscellaneous Lines 3F and 4 of the FCS format, which have been mapped to User Defined Tags in FIX 4.1. If the firm is a subscriber to the BBSS service, they will be in full compliance with Rule 123.
If however, a firm is using their own proprietary network or that of a third party system (e.g. NYFIX), they must send the NYSE (via FESC) an electronic copy of all Orders and all Modifications of these Orders to satisfy Rule 123. FESC will only support FIX message formats (version 4.1 or higher). Please see Front End Systemic Capture (FESC) Drop Copy Application on the NYSE web page (www.nyse.com/techspecs) for further details.
In regard to Ryan Pierce’s suggestion concerning a FIX standard of how to treat Cross Orders, although I think it is an excellent recommendation. However, as Ryan wrote in his response, different exchanges can have different rules, and as I stated earlier, there may be some Market Surveillance issues (which may influence how these Orders are handled) that must be dealt with. To develop a message standard that could not be universally accepted, in my opinion is counter productive to our ultimate objective of achieving a FIX standard supporting all domestic and foreign exchanges.
Dom Gallo
SIAC
212-383-4910
> On the floor of the NYSE, there is a commonly used concept of a "Facilitate" order, in which the "house" may commit capital to help fill an Agency order beyond what stock can be done from the crowd and specialist at a certain price level.
>
> We are looking to automate this process, to have a "compound order", or 2 orders come to the floor at the same time. One, the Agency order, the 2nd, the Principal "cover" order. The two orders should be tied together in a way to indicate that they will be worked as a unit, with the Principal order conditional of the unfilled quantity of the Agency order.
>
> Has anyone done this yet in FIX yet? Is there any concept of order pairing, or a conditional order in the FIX protocol?
>
> We will be implementing this feature in the next iteration of our widely used Exchange Floor Order Management system, (FloorReport), and we would like to use a standard if it exists, otherwise, we will propose a standard.
>
> This issue gains some urgency, since all order flow to the NYSE must be recorded electronically to be compliant with rule 123. To have a trader create and send 2 separate orders to the floor to accomplish facilitation will be cumbersome and error prone.
>
> All feedback is appreciated. We are already in development on this project, and will be finalizing the messaging within 2 weeks.
>
> Regards,
>
> George Wolf
> Exchange Floor Application Development
> NYFIX Inc.
> georgew@nyfix.com
>
>
>
[ original email was from Satoru Mizukami - satoru.mizukami@nssmb.com ]
Last year,to express our all cross types in Japanese exchanges, we posted our proposal on the Japanese Exchanges of working group session on FIX-website.
I think cross order is one subset of a pair orders and that document shows all cross trade types in Japan Market,
so I hope it may be some help.
Our concept is
One message which contains two set of single orders,
and
once that is placed in,
two Execution messages are used for those result.
Satoru Mizukami
NIKKO SALOMON SMITH BARNEY
satoru.mizukami@nssmb.com
> Subject: Cross Orders
> Currently the NYSE/SIAC Switching and Order Processing (SWOP) Systems do not support Cross Orders being routed directly to the Specialists’ Electronic Book. Since these Orders are handled somewhat differently than the normal flow of Orders, it is my belief that this could be a Market Surveillance issue.
> Please note that Cross Orders are not to be confused with Crossing Session Two-Sided Trades, which occur when a Firm enters both the buy and the sell Order.
> For those Member Firms who use the NYSE provided Broker Booth Support System (BBSS), SWOP allows the entering of Cross Orders to be directed to the firm’s appropriate Booth location. Additionally, for Phase I of Rule 123, firms will still be allowed to call down these types of Orders to the Booth and enter them into a BBSS device, before presenting the Cross Orders to the Crowd and/or the Specialist. These Orders and Modifications are identified by information presented within miscellaneous Lines 3F and 4 of the FCS format, which have been mapped to User Defined Tags in FIX 4.1. If the firm is a subscriber to the BBSS service, they will be in full compliance with Rule 123.
> If however, a firm is using their own proprietary network or that of a third party system (e.g. NYFIX), they must send the NYSE (via FESC) an electronic copy of all Orders and all Modifications of these Orders to satisfy Rule 123. FESC will only support FIX message formats (version 4.1 or higher). Please see Front End Systemic Capture (FESC) Drop Copy Application on the NYSE web page (www.nyse.com/techspecs) for further details.
> In regard to Ryan Pierce’s suggestion concerning a FIX standard of how to treat Cross Orders, although I think it is an excellent recommendation. However, as Ryan wrote in his response, different exchanges can have different rules, and as I stated earlier, there may be some Market Surveillance issues (which may influence how these Orders are handled) that must be dealt with. To develop a message standard that could not be universally accepted, in my opinion is counter productive to our ultimate objective of achieving a FIX standard supporting all domestic and foreign exchanges.
> Dom Gallo
> SIAC
> 212-383-4910
>
>
>
> > On the floor of the NYSE, there is a commonly used concept of a “Facilitate” order, in which the “house” may commit capital to help fill an Agency order beyond what stock can be done from the crowd and specialist at a certain price level.
> >
> > We are looking to automate this process, to have a “compound order”, or 2 orders come to the floor at the same time. One, the Agency order, the 2nd, the Principal “cover” order. The two orders should be tied together in a way to indicate that they will be worked as a unit, with the Principal order conditional of the unfilled quantity of the Agency order.
> >
> > Has anyone done this yet in FIX yet? Is there any concept of order pairing, or a conditional order in the FIX protocol?
> >
> > We will be implementing this feature in the next iteration of our widely used Exchange Floor Order Management system, (FloorReport), and we would like to use a standard if it exists, otherwise, we will propose a standard.
> >
> > This issue gains some urgency, since all order flow to the NYSE must be recorded electronically to be compliant with rule 123. To have a trader create and send 2 separate orders to the floor to accomplish facilitation will be cumbersome and error prone.
> >
> > All feedback is appreciated. We are already in development on this project, and will be finalizing the messaging within 2 weeks.
> >
> > Regards,
> >
> > George Wolf
> > Exchange Floor Application Development
> > NYFIX Inc.
> > georgew@nyfix.com
> >
> >
> >
>