Imported from previous forum
[ original email was from John Hardman - yiq12@dial.pipex.com ]
Some more questions - can anyone help with these please ?
Thanks,
John Hardman.
Question #1
In the Field Definitions the comment for field 15 (Currency) says;
“Absence of this field is interpreted as the default for the security”
In the Bid Request message (MsgType = k) the comment on field 15 (Currency) says “Assumed USD in absence”. Do Bid Requests always default to USD or is this incorrect ?
Question #2
In the Field Definitions the comment for field 40 (OrdType) says;
“P = Pegged (requires ExecInst = L, R, M, P or O)”
There are actually a number of messages that contain the OrdType field that do not contain the ExecInst field. Should those messages contain an ExecInst field or is it not permitted for OrdType to contain “P” in those messages ?
OrdType (field 40) appears in;
QuoteRequest
Quote
Mass Quote
New Order – Single
Execution Report
Order Cancel/Replace Request
New Order - List
ExecInst (field 18) appears in;
Market Data – Snapshot / Full Refresh
Market Data – Incremental Refresh
New Order - Single
Execution Report
Order Cancel/Replace Request
New Order – List
Question #3
The following sentence is found in the text for the Quote Status Request message (MsgType = a).
“To retrieve all quotes for a given underlying symbol, use part of the symbology fields”
Could somebody please explain in more detail how to use the symbology fields to do this ?
Question #4
In the Field Definitions, the comments for field 54 (Side) includes the text “valid for IOI and List Order messages only”. What is meant by “List Order messages” in this context – just the “New Order – List” message or others too ?
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Question #1
>
> In the Field Definitions the comment for field 15 (Currency) says;
>
> “Absence of this field is interpreted as the default for the security”
>
> In the Bid Request message (MsgType = k) the comment on field 15 (Currency) says “Assumed USD in absence”. Do Bid Requests always default to USD or is this incorrect ?
I believe this is something which will be addressed by errata. All references to USD defaults should have been removed in FIX 4.2.
> Question #2
>
> In the Field Definitions the comment for field 40 (OrdType) says;
>
> “P = Pegged (requires ExecInst = L, R, M, P or O)”
>
> There are actually a number of messages that contain the OrdType field that do not contain the ExecInst field. Should those messages contain an ExecInst field or is it not permitted for OrdType to contain “P” in those messages ?
>
> OrdType (field 40) appears in;
>
> QuoteRequest
> Quote
> Mass Quote
> New Order – Single
> Execution Report
> Order Cancel/Replace Request
> New Order - List
>
> ExecInst (field 18) appears in;
>
> Market Data – Snapshot / Full Refresh
> Market Data – Incremental Refresh
> New Order - Single
> Execution Report
> Order Cancel/Replace Request
> New Order – List
You’ve pointed out an interesting problem. ExecInst is a modifier for OrdType in the case that OrdType=P, i.e. it says what kind of peg, and this is required because a peg makes no sense unless you know if it is a primary or market peg, etc.
Obviously, if specifying a Pegged order in a New Order - Single or New Order - List, ExecInst has to be specified, and this also must hold true for Order Cancel/Replace Request as well.
I think the ExecInst requirement for Pegged orders is overly restrictive for Execution Reports. The sell side may optionally echo back certain parts of the original order but not others (note that the client should already know that info, as they sent the order in the first place.) Right now, an Execution Report may indicate an order as being Pegged, but not mention the PegDifference. In fact, echoing back OrdType is optional. I think the sell-side should have the ability to say in an Execution Report that an OrdType is Pegged but not clarify further, as this really is redundant info anyway.
Now Quote Request, Quote, and Mass Quote are problem cases because one can specify OrdType, but no ExecInst exists. The message-specific description on all three of these says “Can be used to specify the type of order the quote is for.” I’m not sure conceptually how OrdType would be used in these messages. What does it mean to request a quote for a Market order on MSFT or a Limit order on CSCO? Hence I’m not sure it makes sense to request or provide a Quote on a Pegged order.