How to handle 3-way OCO orders

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Imported from previous forum

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Hi Brian,

there is a standard way of doing some of this and it is part of the FIX specification. Please take a look at the ContingencyType(1385) field and TriggeringInstruction component which were introduced with FIX 5 and enhanced with Extension Packs EP100 (http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP100).

In a nutshell, you can use NewOrderList to enter orders linked to each other based on OTO or OCO conditions. The TriggeringInstruction works on a single order but can also be used to cancel all similar orders.

I suggest to look at EP100 and come back with remaining questions.

Regards,
Hanno.

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I have a situation where I get 4 orders from my customer (see below). One order is an OTO (Order triggers order) and it will trigger the other three orders if it gets filled. Those three orders OCO (Order cancels order) each other. So, if one gets filled, the other two get cancelled.

CME-ES.Enter ~ B 2 @CME-ESM15 @ 2048.25 Limit Day [OTO CME-ES.ExitL, CME-ES.ExitS, CME-ES.ExitT]
CME-ES.ExitL ~ S 2 @CME-ESM15 @ 2040.25 Limit Day [OCO CME-ES.ExitS, CME-ES.ExitT]
CME-ES.ExitS ~ S 2 @CME-ESM15 @ 2058.25 Stop Day [OCO CME-ES.ExitL, CME-ES.ExitT]
CME-ES.ExitT ~ S 2 @CME-ESM15 @ 1/24/2015 3:50pm Time Day [OCO CME-ES.ExitL, CME-ES.ExitS]

Note: “CME-ES.Enter” is the ClOrdID

This system has the normal stop and limit orders to exit, but it also has a third order to exit at a specific time.

This type of three way OTO/OCO does not exist (I think) within the fix specifications. Unless there is a tag where all of these orders would cancel (or go to the market) at a certain time.

If there is no normal way of doing this… a few options seem like a custom way of handling this. I could send the orders in a list and provide OTO/OCO instructions in the Text(58) field of each order… or perhaps in the ListExecInst(69)… and essentially put the text that is between brackets in the customer orders.

  1. Is there an official way to handle this?

  2. Is there some other non-official, but common use way of doing this?

  3. If not 1 or 2, would my way seem like a good approach.

  4. Is my suggestion above reasonable… or is it a horrible twisted way of using fix?

Thanks! - Brian

Note: I am programming the acceptor and will receive these messages… but will define what is to be sent.