Good Through Extended Hours

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Imported from previous forum

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[ original email was from Ramesh Kadambi - ramesh.kadambi@nasdaq.com ]
Hi,

I was wondering what the TIF would be for an order that remains open through extended trading hours.

Ramesh

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> I was wondering what the TIF would be for an order that remains open through extended trading hours.

In FIX 4.2, this issue came to a head. While there was a proposal on the table to add new TIF values, FPL realized that as we approach 24 hour trading, assuming a 3-session model for extended hours trading would limit the protocol.

What came out of this were two approaches:

  1. Send the orders as GTD and specify the ExpireTime of the last session.

  2. Send the orders as Day, but use a list of TradingSessionID values defined by the exchange to specify all applicable sessions.