How to express peg best?

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Imported from previous forum

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[ original email was from Henrik Johansson - henrik.johansson@neonet.biz ]
In FIX 5.0 the handling of peg orders is dramatically improved. However, I am not sure how to express a peg best order where my order always has the highest priority across all levels.

If I enter a buy order with PegPriceType=5(Primary Peg), PegMoveType=0(Floating) and PegOffsetValue=1, and PegOffsetType=2(Ticks) the order will be entered at top of book +1 tick. However if an order is entered at the same level (in a market with price/time-priority) shall my order peg on the new order and step up by 1 tick? If not, I have my peg best. Otherwise, is there a way to set the peg instructions so they confirm to above?

Thanks,
Henrik

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[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Hi Henrik (my old pal),

interesting question that does not have a generic answer. Yes, what would happen if two traders entered such orders? Should the effect be that we loop around raising the first, the other, the first, etc - till one order is traded or (if no orders on the other side) some ceiling level is reached? Consequently a marketplace (or the receiver of such orders) would need to have restrictions for the behavior (e.g. not allowing floating pegs against the best price or not applying a peg to another pegged price).

So if you are sending the pegged order to someone, you need to ask them what the behavior is. If you intend to support this functionality as an intermediary (or marketplace), you need to limit any unwanted behavior.

As an intermediary, you may also consider using the strategy parameters instead (StrategyParametersGrp).

If the investor wants to have the most attractive price a market order (if supported) does that job best (but you knew that already).

Regards

Rikard

In FIX 5.0 the handling of peg orders is dramatically improved. However,
I am not sure how to express a peg best order where my order always has
the highest priority across all levels.

If I enter a buy order with PegPriceType=5(Primary Peg),
PegMoveType=0(Floating) and PegOffsetValue=1, and PegOffsetType=2(Ticks)
the order will be entered at top of book +1 tick. However if an order is
entered at the same level (in a market with price/time-priority) shall
my order peg on the new order and step up by 1 tick? If not, I have my
peg best. Otherwise, is there a way to set the peg instructions so they
confirm to above?

Thanks, Henrik

4

[ original email was from Henrik Johansson - henrik.johansson@neonet.biz ]
Thanks Rikard :slight_smile:

If two traders enters peg best orders w/o pricelimit, I see no reason for the market to intervene and stopping the racing until the ceiling is reached. That would just add extra (unwanted?) complexity.

In my specific case there exists a (synthetic) peg best order which assures the top of book position and I need to express that in FIX-terms. As an intermediate solution I intend to use an order as described earlier.

Maybe there is possiblity to add a new PegOffsetType=4(top of book) in coming service packs to resolve this ambiguity on when to peg.

PegOffsetType=4 (PegOffsetValue is then not needed) would then be a way to peg the order at the top of book position. I.e:
If the order has the highest priority on the pricelevel

  • the peg order remains on that price level
    If the order does not have the highest priority on the pricelevel
  • the peg order will be priced on next tick.

/Henrik

Hi Henrik (my old pal),

interesting question that does not have a generic answer. Yes, what
would happen if two traders entered such orders? Should the effect be
that we loop around raising the first, the other, the first, etc - till
one order is traded or (if no orders on the other side) some ceiling
level is reached? Consequently a marketplace (or the receiver of such
orders) would need to have restrictions for the behavior (e.g. not
allowing floating pegs against the best price or not applying a peg to
another pegged price).

So if you are sending the pegged order to someone, you need to ask them
what the behavior is. If you intend to support this functionality as an
intermediary (or marketplace), you need to limit any unwanted behavior.

As an intermediary, you may also consider using the strategy parameters
instead (StrategyParametersGrp).

If the investor wants to have the most attractive price a market order
(if supported) does that job best (but you knew that already).

Regards

Rikard

In FIX 5.0 the handling of peg orders is dramatically improved.
However, I am not sure how to express a peg best order where my order
always has the highest priority across all levels.

If I enter a buy order with PegPriceType=5(Primary Peg),
PegMoveType=0(Floating) and PegOffsetValue=1, and
PegOffsetType=2(Ticks) the order will be entered at top of book +1
tick. However if an order is entered at the same level (in a market
with price/time-priority) shall my order peg on the new order and step
up by 1 tick? If not, I have my peg best. Otherwise, is there a way to
set the peg instructions so they confirm to above?

Thanks, Henrik

5

Can anyone please explain me what is meant by order pegging in FIX. Is there anyone help me out how to read error log files in FIX through FIX analyzer.

If you have any documents on it [PPT] on it please send it to me.

That would be really helpful for me.

Thanks
Gayathri S

6

Please refer to http://www.fixprotocol.org/discuss/read/62e5ff86 or use Google to find definitions of pegged orders. Only then should you post remaining questions on the forum.

I cannot comment on FIX tools and error log file formats. Just an advice to use two postings to address two very different topics :slight_smile:

Can anyone please explain me what is meant by order pegging in FIX. Is
there anyone help me out how to read error log files in FIX through
FIX analyzer.

If you have any documents on it [PPT] on it please send it to me.

That would be really helpful for me.

Thanks Gayathri S

7

[ original email was from Rahul Shah - rahul.shah@wipro.com ]
Peg orders are explained in fix-44_VOL-4_w_Errata_20030618.

You can find this doc in Technical / Specifications menu of FIXprotocol.org site. - Version 4.4 - Volume 4

Rahul

Can anyone please explain me what is meant by order pegging in FIX. Is
there anyone help me out how to read error log files in FIX through
FIX analyzer.

If you have any documents on it [PPT] on it please send it to me.

That would be really helpful for me.

Thanks Gayathri S