Imported from previous forum
What would be the proper use of tags to depict orders which will behave in the following manner:
- order seeks to either add or remove liquidity, no liquidity available to remove so it posts, posted order receives partial and remainder should cancel
- passive (post only) order receives partial and remainder should cancel
- GTT (good til topped)
It seems you are trying to establish a resting IOC order. The closest you can get is by using ExecInst = 6 (Participate don’t initiate) to make sure it does not execute upon entry (we also call this book or cancel). Once it is on the book you want it to be executed only once with the remainder being cancelled. You can try to combine ExecInst = 6 with MaxPriceLevels (1090) = 1 but the latter is only intended for aggressive orders to prevent them from matching through more than x price levels.
What is “topped”? Is that a deferred ExecInst(18) = Z (Cancel if not best)?
What would be the proper use of tags to depict orders which will behave in the following manner:
- order seeks to either add or remove liquidity, no liquidity available to remove so it posts, posted order receives partial and remainder should cancel
- passive (post only) order receives partial and remainder should cancel
- GTT (good til topped)
scenario 2 would be taken care of with 18=6.
scenario 3 sounds like it would be taken care of with 18=Z as the order should only remain open as long as it is at the top of book.
Many thanks!
However, scenario 1 cannot have TIF of IOC since it should post if not executed. Likewise, 18=6 won’t work for it because it should be able to either remove or add depending on available liquidity. (?)
It seems you are trying to establish a resting IOC order. The closest you can get is by using ExecInst = 6 (Participate don’t initiate) to make sure it does not execute upon entry (we also call this book or cancel). Once it is on the book you want it to be executed only once with the remainder being cancelled. You can try to combine ExecInst = 6 with MaxPriceLevels (1090) = 1 but the latter is only intended for aggressive orders to prevent them from matching through more than x price levels.
What is “topped”? Is that a deferred ExecInst(18) = Z (Cancel if not best)?What would be the proper use of tags to depict orders which will behave in the following manner:
- order seeks to either add or remove liquidity, no liquidity available to remove so it posts, posted order receives partial and remainder should cancel
- passive (post only) order receives partial and remainder should cancel
- GTT (good til topped)
Isn’t that the standard behaviour of an incoming order, i.e. it removes available liquidity and is added to the book (posted) otherwise? What is different apart from it not being allowed to execute more than once?
scenario 2 would be taken care of with 18=6.
scenario 3 sounds like it would be taken care of with 18=Z as the order should only remain open as long as it is at the top of book.
Many thanks!However, scenario 1 cannot have TIF of IOC since it should post if not executed. Likewise, 18=6 won’t work for it because it should be able to either remove or add depending on available liquidity. (?)
It seems you are trying to establish a resting IOC order. The closest you can get is by using ExecInst = 6 (Participate don’t initiate) to make sure it does not execute upon entry (we also call this book or cancel). Once it is on the book you want it to be executed only once with the remainder being cancelled. You can try to combine ExecInst = 6 with MaxPriceLevels (1090) = 1 but the latter is only intended for aggressive orders to prevent them from matching through more than x price levels.
What is “topped”? Is that a deferred ExecInst(18) = Z (Cancel if not best)?What would be the proper use of tags to depict orders which will behave in the following manner:
- order seeks to either add or remove liquidity, no liquidity available to remove so it posts, posted order receives partial and remainder should cancel
- passive (post only) order receives partial and remainder should cancel
- GTT (good til topped)