HK Limit Order

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Imported from previous forum

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what is Enhanced Limit Order with respect to HK exchange and how do we deal with it from FIX perspective?

thanks for the help in advance

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[ original email was from Harish Kamaley - harish.kamaley@wipro.com ]
An ELO is similar to a Limit Order except that it will allow matching of up to five price queues at the same time. The input order price of an ELO can be matched up to four spreads better than the best price on the other side of the market. Any unfilled quantity of an ELO after matching will be converted into a Limit Order at the input order price.

Not sure through FIX…

Regards,
Harish.

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How about using field MaxPriceLevels (1090)?

Allows an order to specify a maximum number of price levels to trade through. Only valid for aggressive orders and during continuous (autoexecution) trading sessions. Property lost when order is put on book. A partially filled order is assigned last trade price as limit price. Non-filled order behaves as ordinary Market or Limit.

An ELO is similar to a Limit Order except that it will allow matching of
up to five price queues at the same time. The input order price of an
ELO can be matched up to four spreads better than the best price on the
other side of the market. Any unfilled quantity of an ELO after matching
will be converted into a Limit Order at the input order price.

Not sure through FIX…

Regards, Harish.

5

[ original email was from sunilkumar T M - sunilkumartm@hotmail.com ]
> what is Enhanced Limit Order with respect to HK exchange and how do we

deal with it from FIX perspective?

thanks for the help in advance

Take a look at the FIX 4.4 specification document Vol-4 ,section - Asia/Pacific Regional Order Handling.It has teh representation for HongKongSE –Enhanced Limit

Regards,
Sunil