Imported from previous forum
[ original email was from John Goeller - john.goeller@ssmb.com ]
I think we need some consensus on GTC/GTD order handling which should be added to the spec.
Let’s say you have a total order quantity of 1000 shares on a GTC order.
During the day the broker fills 200 shares so the total order quantity = 1000, cum qty = 200 and leaves = 800.
In future Execution Reports on the next day
would expect total share quantity = 1000 or total order quantity = 800?
If it is 1000 do we need to add additional fields to hold CumQtyToday and OrderQtyToday?
Should we suggest that customers send order status requests on all GTC orders the next day?
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
More issues:
How do you handle corporate actions with GTC orders, such stock splits and dividends?
For instance, on Monday one enters an order to buy 1000 shares at 50, and 200 trade that day at an average price of 50. That night there’s a 2:1 split, so the order becomes a buy of 2000 shares at 25, with 400 shares traded at an average price of 25. How does one represent this in FIX?
> How do you handle corporate actions with GTC orders, such stock splits and dividends?
I think stock splits and dividends can be handled by the ExecInst "Do Not Increase" and "Do Not Reduce" codes.
If DNI is not specified on the order, the reciever of the order should automatically increase the order quantity on a stock split. (Suppose the other quantity fields, i.e. CumQty, LeavesQty, etc., would have to be handled similarly.
If DNR is not specified on the order, the reciever of the order should automatically decrease the limit & stop prices of the order on a dividend.
Back to the original questions as to what should be done for the OrderQty and CumQty of GTC/GTD orders executed over several days.
The field John G. suggested make sense. I’ve also seen some order management and trading systems handle it by having a Start Of Day Quantity and having the Executed Quantity be reset to zero each day.
[ original email was from Joshua Moses Diamond - diamond_joshua@jpmorgan.com ]
Please note that the suggested handling of corporate actions on open GTC indicated below is a gross simplification of that specified by exchange rules. On the NYSE, Rule 118 governs these transactions; most other exchanges either reference this rule or have versions of their own. These rules should be consulted before any GTC implementation takes place.
Josh Diamond
J. P. Morgan
> > How do you handle corporate actions with GTC orders, such stock splits and dividends?
>
> I think stock splits and dividends can be handled by the ExecInst “Do Not Increase” and “Do Not Reduce” codes.
>
> If DNI is not specified on the order, the reciever of the order should automatically increase the order quantity on a stock split. (Suppose the other quantity fields, i.e. CumQty, LeavesQty, etc., would have to be handled similarly.
>
> If DNR is not specified on the order, the reciever of the order should automatically decrease the limit & stop prices of the order on a dividend.
>
>
> Back to the original questions as to what should be done for the OrderQty and CumQty of GTC/GTD orders executed over several days.
>
> The field John G. suggested make sense. I’ve also seen some order management and trading systems handle it by having a Start Of Day Quantity and having the Executed Quantity be reset to zero each day.
>
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
I’ve just posted a possible solution which addresses, among other things, GTC handling in the ECNs, Exchanges discussion group under the “Cancel Reject” thread.