Imported from previous forum
[ original email was from Ramesh Kadambi - ramesh.kadambi@nasdaq.com ]
Hi Folks,
THE QUESTION IS IN REFERENCE TO FIX 4.2
I have a question about the use of
MaxFloor (111) and OrderQty (38) fields and the effect of C/R. I am looking at a client entity sending orders to an Execution point.
Consider the following order.
Side OrderQty Sym Type MaxFloor
Buy 100000 MSFT LMT 2000
From what I have read on the discussion lists
I think this is what it means.
This will cause a display Qty of – 2000 (seen by the world)
A reserve quantity of – 98000 (not shown to the world)
Refresh of the quantity by – 2000 (refreshed upon execution of current display size)
I now send a C/R
Side OrderQty Sym Type MaxFloor
Buy 100000 MSFT LMT 5000
This will be updated as
Display Qty – 5000
Reserve Qty – 95000
Refresh Qty – 5000
Essentially any changes to the Maxfloor quantity will either add or deplete the reserve size.
There is one scenario where this interpretation may become a problem.
Side OrderQty Sym Type MaxFloor
B 100000 MSFT LMT <absent>
This will be updated as
Display Qty – 100000
Reserve Qty – 0
Refresh Qty – 0
The client now tries to C/R with a new MaxFloor
Side OrderQty Sym Type MaxFloor
B 100000 MSFT LMT 2000
Should this be updated as
Display Qty – 2000
Reserve Qty – 98000
Refresh Qty – 2000
Are the responces above correct, if not
What should be the response to the new C/R be in each of the above cases??
Is MaxFloor to be used as stated above ???
I would appreciate all/any responses.
Sincerely,
RK
[ original email was from Witold Sames - witold.sames@reuters.com ]
Ramesh,
generally, the use of MaxFloor (111) or MaxShow (210) is indicated in the scenario you describe. The order originator intends to not show the overall size of her intentions, and instead keeps a certain frraction in reserve to be replenished upon execution of the current value in MaxShow or MaxFloor.
Your scenarios are correct, and I would tend to agree that generally the replenishment amount is the same as what you show, even though you can’t express that intent other than possibly with a custom field. Consider also the case where you might want to restrict replenishment, i.e., you never replenish but rather see if someone tries to hit or lift you for more than you show.
Your last question: 100k shares shown initially, replace them with 5k and 95k going into the reserve book afterwards. I think the results should be as you describe, even though I am not sure I see the reason someone would do this intentionally.
> Hi Folks,
>
> THE QUESTION IS IN REFERENCE TO FIX 4.2
>
> I have a question about the use of
> MaxFloor (111) and OrderQty (38) fields and the effect of C/R. I am looking at a client entity sending orders to an Execution point.
>
> Consider the following order.
> Side OrderQty Sym Type MaxFloor
> Buy 100000 MSFT LMT 2000
>
> From what I have read on the discussion lists
> I think this is what it means.
>
> This will cause a display Qty of – 2000 (seen by the world)
> A reserve quantity of – 98000 (not shown to the world)
> Refresh of the quantity by – 2000 (refreshed upon execution of current display size)
>
> I now send a C/R
> Side OrderQty Sym Type MaxFloor
> Buy 100000 MSFT LMT 5000
>
> This will be updated as
> Display Qty – 5000
> Reserve Qty – 95000
> Refresh Qty – 5000
>
> Essentially any changes to the Maxfloor quantity will either add or deplete the reserve size.
>
> There is one scenario where this interpretation may become a problem.
>
> Side OrderQty Sym Type MaxFloor
> B 100000 MSFT LMT <absent>
>
> This will be updated as
> Display Qty – 100000
> Reserve Qty – 0
> Refresh Qty – 0
>
> The client now tries to C/R with a new MaxFloor
>
> Side OrderQty Sym Type MaxFloor
> B 100000 MSFT LMT 2000
>
> Should this be updated as
> Display Qty – 2000
> Reserve Qty – 98000
> Refresh Qty – 2000
>
> Are the responces above correct, if not
> What should be the response to the new C/R be in each of the above cases??
> Is MaxFloor to be used as stated above ???
>
> I would appreciate all/any responses.
>
> Sincerely,
> RK
>
>
>
>
>