Imported from previous forum
Is there anyone who knows how to represent "Hidden Limit" order in Fix format?
Thank for your help.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Is there anyone who knows how to represent "Hidden Limit" order in Fix format?
>
> Thank for your help.
I’m not sure exactly what “Hiddle Limit” means, but I’m wondering if it is similar to the Discretionary capabilities added in FIX 4.2.
A discretionary order is one which has a displayed price and a hidden, or discretionary, price. For instance, in the US, I might route an order to an ECN to buy a stock at limit 50, with DiscretionOffset of 0.05 and DiscretionInst of "Relative to Displayed Price." This means that my order will display as a bid at 50, but it will trade with any offer up to and including 50.05. Similarly, one can combine this with pegs. I.e. I can say that I want a Primary Peg to buy, with DiscretionInst = "Relative to Displayed Price" and DiscretionOffset = 0.05. In this case, the order will always display itself at the bid, but it will match with any offer 5 cents above the bid.
"Hidden Limit" - These orders are entered with a price and size and are held by an institute. When the institute detects that the order could be partially executed on the public order book the order is released. The institute will continue to monitor the price and hit orders until the whole order quantity is filled.