Imported from previous forum
I do not understand how the value "GTX" (Good Till Crossing) is used in the "TimeInForce" field of various FIX messages.
I’m just drawing a blank. Does it refer to until the order is crossed, does it refer to an exchange crossing session, or something else?
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> I do not understand how the value “GTX” (Good Till Crossing) is used in the “TimeInForce” field of various FIX messages.
>
> I’m just drawing a blank. Does it refer to until the order is crossed, does it refer to an exchange crossing session, or something else?
This is something which I believe needs to be addressed as a FIX 4.2 Proposed Change.
My understanding is that this is borrowed from the CMS time in force of Good Till Executed, which, from what I can gather, is a GTC order that is allowed to participate in the after hours crossing sessions. The spec has a definition of Good Till Executed in the business terms glossary, but the TimeInForce says Good Till Crossing. I’m guessing the TimeInForce enumeration needs to be updated to say Good Till Executed.
DS19JAN00
The problem here is that terminology is inconsistent between different markets. On some markets, the acronym GTX is used to denote Good Till Executed and on others GTX is used to denote Good Till Crossing.
Since personally, I have never understood what the difference is between a Good Till Executed and a Good Till Cancelled order, I would suggest that FIX simply defines GTX as Good Till Crossing and uses GTC for Good Till Cancelled, defining in the glossary that since Good Till Cancelled and GOod Till Executed are the same thing, only the acronym GTC should be used when you mean GTC.
My glossary defines the terms as follows:
Good Till Canceled (GTC) An order to buy or sell that remains in effect until it is either executed or canceled; sometimes called an "open order". [TimeInForce]
Good Till Crossing (GTX) An order to buy or sell that is canceled prior to the market entering into an auction, or crossing phase. Typically, markets that support continuous trading will have an auction phase at the beginning and sometimes also at the end of trading to match up orders that have been entered into the exchange’s order book during the pre- or post-trading phase (i.e. where no continuous trading was available). A GTX order automatically expires immediately prior to the commencement of a crossing session, i.e. the party originating the order wants to make sure it gets filled during the current continuous auction, and any remaining open quantity should be discarded at the end of the current continuous action period.
Good Till Executed See Good Till Canceled. Note that in some markets, the acronym GTX is common for this order type, whereas in other markets, GTX denotes a Good Till Crossing order.
Dieter
> > I do not understand how the value “GTX” (Good Till Crossing) is used in the “TimeInForce” field of various FIX messages.
> >
> > I’m just drawing a blank. Does it refer to until the order is crossed, does it refer to an exchange crossing session, or something else?
>
> This is something which I believe needs to be addressed as a FIX 4.2 Proposed Change.
>
> My understanding is that this is borrowed from the CMS time in force of Good Till Executed, which, from what I can gather, is a GTC order that is allowed to participate in the after hours crossing sessions. The spec has a definition of Good Till Executed in the business terms glossary, but the TimeInForce says Good Till Crossing. I’m guessing the TimeInForce enumeration needs to be updated to say Good Till Executed.
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