Imported from previous forum
Hello,
I was wondering if there is a document that fully describes the usage for each of the market states that is available for SecurityTradingStatus (Tag 326) enumeration in Security Status (35=f)message. I am looking for the order action restrictions and other functionality that would make each state distinct.
Is there a way to pull the original proposal document that may have had a full description of each of the states? The short description of the values in FIXMate is too generic.
Obviously, I am aware of the CME usage of this tag, but am looking to improve the states messaging based on other exchanges practices.
There is no single document containing what you are looking for. The idea of the FIXwiki (http://fixwiki.fixprotocol.org/) is to contain such annotations to help FIX interface designers like yourself.
However, I strongly caution against the desire to define a very detailed definition of each of the market states. This should be left to the individual Rules of Engagement. Market models are different in the details and FIX values need to be generic to some extent to avoid a proliferation of valid values. Especially the possible actions (add, modify, delete, execute) and the visibility of the order book (indicative, top of book, depth) in each state can be marginally different. The differences are mostly due to different asset classes, market practices of regulatory requirements. This is the reason that SecurityTradingStatus(326) has a combined data type of integer and Reserved100Plus. FIX provides the framework and some but not all of the valid values needed by a specific interface.
The entire topic of trading (sub)sessions and states is highly complex and can only be standardized in terms of basic concepts. There is a document about that called “EEWG Recommended Best Practices” that can help to understand the issues (http://www.fixprotocol.org/documents/3005/EEWG%20Recommended%20Best%20Practices%20-%20Phase%201%20V1.0.pdf).
Regards,
Hanno.
Hello,
I was wondering if there is a document that fully describes the usage for each of the market states that is available for SecurityTradingStatus (Tag 326) enumeration in Security Status (35=f)message. I am looking for the order action restrictions and other functionality that would make each state distinct.
Is there a way to pull the original proposal document that may have had a full description of each of the states? The short description of the values in FIXMate is too generic.
Obviously, I am aware of the CME usage of this tag, but am looking to improve the states messaging based on other exchanges practices.
Thanks, Hanno!
I agree the description of the FIX values should be generic enough and should not dictate the order rules.
However, it would be nice to have some examples or recommended practices put on the wiki. Currently there is no explanation at all I could find for the available valid values.
Some values I had questions on:
14= ITSPre-Opening. What is ITS and how is this status used?
15= Price Indication. Is this the time when IOP is calculated or something else?
23= Fast Market. Could you describe a little what it is? It maybe something we could adapt.
Rosa
There is no single document containing what you are looking for. The idea of the FIXwiki (http://fixwiki.fixprotocol.org/) is to contain such annotations to help FIX interface designers like yourself.
However, I strongly caution against the desire to define a very detailed definition of each of the market states. This should be left to the individual Rules of Engagement. Market models are different in the details and FIX values need to be generic to some extent to avoid a proliferation of valid values. Especially the possible actions (add, modify, delete, execute) and the visibility of the order book (indicative, top of book, depth) in each state can be marginally different. The differences are mostly due to different asset classes, market practices of regulatory requirements. This is the reason that SecurityTradingStatus(326) has a combined data type of integer and Reserved100Plus. FIX provides the framework and some but not all of the valid values needed by a specific interface.
The entire topic of trading (sub)sessions and states is highly complex and can only be standardized in terms of basic concepts. There is a document about that called “EEWG Recommended Best Practices” that can help to understand the issues (http://www.fixprotocol.org/documents/3005/EEWG%20Recommended%20Best%20Practices%20-%20Phase%201%20V1.0.pdf).
Regards,
Hanno.Hello,
I was wondering if there is a document that fully describes the usage for each of the market states that is available for SecurityTradingStatus (Tag 326) enumeration in Security Status (35=f)message. I am looking for the order action restrictions and other functionality that would make each state distinct.
Is there a way to pull the original proposal document that may have had a full description of each of the states? The short description of the values in FIXMate is too generic.
Obviously, I am aware of the CME usage of this tag, but am looking to improve the states messaging based on other exchanges practices.
FIXwiki is expected to be be annotated by the FPL members to describe their usages. The Global Technical Committee tries to ensure that new extensions are submitted with elaborations but there is a lot of “old” stuff lacking such context. If you see an EP number of 98 or above in FIXimate behind the valid value then you can check the related document in http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2.
14=“ITS Pre-Opening” seems to be very specific, i.e. 21=Pre-open is the generic one and indicates a state prior to automatic matching where you may or may not already get order book information. 15=“Price Indication” is about indicative prices I guess, i.e. at what price an auction or uncrossing would take place. 23=“Fast Market” normally means that certain rules are not enforced or relaxed for the security, e.g. quoting spreads of market makers are allowed to be wider during fast market. Background is the fact that trade prices may move faster than usual because of some external event, e.g. a corporate announcement.
Hope it helps a bit,
Hanno.
Thanks, Hanno!
I agree the description of the FIX values should be generic enough and should not dictate the order rules.
However, it would be nice to have some examples or recommended practices put on the wiki. Currently there is no explanation at all I could find for the available valid values.
Some values I had questions on:
14= ITSPre-Opening. What is ITS and how is this status used?
15= Price Indication. Is this the time when IOP is calculated or something else?
23= Fast Market. Could you describe a little what it is? It maybe something we could adapt.
Rosa
This is great, Hanno! Thanks a lot!
FIXwiki is expected to be be annotated by the FPL members to describe their usages. The Global Technical Committee tries to ensure that new extensions are submitted with elaborations but there is a lot of “old” stuff lacking such context. If you see an EP number of 98 or above in FIXimate behind the valid value then you can check the related document in http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2.
14=“ITS Pre-Opening” seems to be very specific, i.e. 21=Pre-open is the generic one and indicates a state prior to automatic matching where you may or may not already get order book information. 15=“Price Indication” is about indicative prices I guess, i.e. at what price an auction or uncrossing would take place. 23=“Fast Market” normally means that certain rules are not enforced or relaxed for the security, e.g. quoting spreads of market makers are allowed to be wider during fast market. Background is the fact that trade prices may move faster than usual because of some external event, e.g. a corporate announcement.
Hope it helps a bit,
Hanno.Thanks, Hanno!
I agree the description of the FIX values should be generic enough and should not dictate the order rules.
However, it would be nice to have some examples or recommended practices put on the wiki. Currently there is no explanation at all I could find for the available valid values.
Some values I had questions on:
14= ITSPre-Opening. What is ITS and how is this status used?
15= Price Indication. Is this the time when IOP is calculated or something else?
23= Fast Market. Could you describe a little what it is? It maybe something we could adapt.
Rosa
I have captured this in FIXwiki. See Welcome fixwiki.org - BlueHost.com, Welcome fixwiki.org - BlueHost.com and Welcome fixwiki.org - BlueHost.com.
Note that anybody who works for a company who is an FPL member can annotate FIXwiki as I have just done.
CME is an FPL member so you are authorized, Rosa. We would encourage you to capture the results of your research on FIXwiki. It will benefit all of us.
Posting to FIXwiki is exactly the same process as posting to Wikipedia. Even if you have never posted to Wikipedia, it is very simple. Take a look at my postings above to see what I had to do. Just click on the View Source tab of a FIXwiki page (or the Edit tab if you are logged in).
This is great, Hanno! Thanks a lot!
FIXwiki is expected to be be annotated by the FPL members to describe their usages. The Global Technical Committee tries to ensure that new extensions are submitted with elaborations but there is a lot of “old” stuff lacking such context. If you see an EP number of 98 or above in FIXimate behind the valid value then you can check the related document in http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2.
14=“ITS Pre-Opening” seems to be very specific, i.e. 21=Pre-open is the generic one and indicates a state prior to automatic matching where you may or may not already get order book information. 15=“Price Indication” is about indicative prices I guess, i.e. at what price an auction or uncrossing would take place. 23=“Fast Market” normally means that certain rules are not enforced or relaxed for the security, e.g. quoting spreads of market makers are allowed to be wider during fast market. Background is the fact that trade prices may move faster than usual because of some external event, e.g. a corporate announcement.
Hope it helps a bit,
Hanno.Thanks, Hanno!
I agree the description of the FIX values should be generic enough and should not dictate the order rules.
However, it would be nice to have some examples or recommended practices put on the wiki. Currently there is no explanation at all I could find for the available valid values.
Some values I had questions on:
14= ITSPre-Opening. What is ITS and how is this status used?
15= Price Indication. Is this the time when IOP is calculated or something else?
23= Fast Market. Could you describe a little what it is? It maybe something we could adapt.
Rosa
Yes, it is a good idea. We can share CME usage of the Security Status message with FPL community. I will talk to Fred, we should be able to provide worthy details on this subject.
I have captured this in FIXwiki. See Welcome fixwiki.org - BlueHost.com, Welcome fixwiki.org - BlueHost.com and Welcome fixwiki.org - BlueHost.com.
Note that anybody who works for a company who is an FPL member can annotate FIXwiki as I have just done.
CME is an FPL member so you are authorized, Rosa. We would encourage you to capture the results of your research on FIXwiki. It will benefit all of us.
Posting to FIXwiki is exactly the same process as posting to Wikipedia. Even if you have never posted to Wikipedia, it is very simple. Take a look at my postings above to see what I had to do. Just click on the View Source tab of a FIXwiki page (or the Edit tab if you are logged in).
This is great, Hanno! Thanks a lot!
FIXwiki is expected to be be annotated by the FPL members to describe their usages. The Global Technical Committee tries to ensure that new extensions are submitted with elaborations but there is a lot of “old” stuff lacking such context. If you see an EP number of 98 or above in FIXimate behind the valid value then you can check the related document in http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2.
14=“ITS Pre-Opening” seems to be very specific, i.e. 21=Pre-open is the generic one and indicates a state prior to automatic matching where you may or may not already get order book information. 15=“Price Indication” is about indicative prices I guess, i.e. at what price an auction or uncrossing would take place. 23=“Fast Market” normally means that certain rules are not enforced or relaxed for the security, e.g. quoting spreads of market makers are allowed to be wider during fast market. Background is the fact that trade prices may move faster than usual because of some external event, e.g. a corporate announcement.
Hope it helps a bit,
Hanno.Thanks, Hanno!
I agree the description of the FIX values should be generic enough and should not dictate the order rules.
However, it would be nice to have some examples or recommended practices put on the wiki. Currently there is no explanation at all I could find for the available valid values.
Some values I had questions on:
14= ITSPre-Opening. What is ITS and how is this status used?
15= Price Indication. Is this the time when IOP is calculated or something else?
23= Fast Market. Could you describe a little what it is? It maybe something we could adapt.
Rosa