illustrate 'At the close'

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Imported from previous forum

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[ original email was from Nishant Ranjan - nishant_kaunve_ranjan@yahoo.com ]
Hi,

There is a TimeInForce option defined as ‘At the close’. The glossary specifies this as “Indicated price is to be around the closing, however, not held to the closing price.” It is unclear to me what this means or how it is used. Can someone illustrate with an example.

A commodity exchange specifies a TimeInForce value as EOS (EndOfSession). The way this custom tag is used is that choosing the TIF in order as EOS makes the order valid only till End Of Session. The exchange holds two trading session in the day.

I want to understand if ‘At the close’ can be used instead of ‘End of session’.

Thx & Regards,
Nishant Ranjan

3

A couple of things. Tag 59 TimeInForce does not permit custom values. A custom tag with the same name should not be used for this key field.

If the session ends with a closing auction or crossing of some type, then one can use value 5=Good Till Crossing to 8=Good Through Crossing to indicate whether it is allowed to participate in the closing auction or crossing. Value 7=At the close means that an order is only valid in the context of the closing auction or crossing and does not apply in your case.

Another option is to use tag 336 TradingSessionID with values 3=Morning and 4=Afternoon. Is this is part of the order then is order is only valid during said session. “Morning” would be equal to the first session and “Afternoon” equal to the second. This seems to be the better approach.

Regards,
Hanno.

Hi,

There is a TimeInForce option defined as ‘At the close’. The glossary
specifies this as “Indicated price is to be around the closing, however,
not held to the closing price.” It is unclear to me what this means or
how it is used. Can someone illustrate with an example.

A commodity exchange specifies a TimeInForce value as EOS
(EndOfSession). The way this custom tag is used is that choosing the TIF
in order as EOS makes the order valid only till End Of Session. The
exchange holds two trading session in the day.

I want to understand if ‘At the close’ can be used instead of ‘End
of session’.

Thx & Regards, Nishant Ranjan

4

Whats the difference between 5= Good Till Crossing and 8=Good Through Crossing

A couple of things. Tag 59 TimeInForce does not permit custom values. A custom tag with the same name should not be used for this key field.

If the session ends with a closing auction or crossing of some type, then one can use value 5=Good Till Crossing to 8=Good Through Crossing to indicate whether it is allowed to participate in the closing auction or crossing. Value 7=At the close means that an order is only valid in the context of the closing auction or crossing and does not apply in your case.

Another option is to use tag 336 TradingSessionID with values 3=Morning and 4=Afternoon. Is this is part of the order then is order is only valid during said session. “Morning” would be equal to the first session and “Afternoon” equal to the second. This seems to be the better approach.

Regards,
Hanno.

Hi,

There is a TimeInForce option defined as ‘At the close’. The glossary
specifies this as “Indicated price is to be around the closing, however,
not held to the closing price.” It is unclear to me what this means or
how it is used. Can someone illustrate with an example.

A commodity exchange specifies a TimeInForce value as EOS
(EndOfSession). The way this custom tag is used is that choosing the TIF
in order as EOS makes the order valid only till End Of Session. The
exchange holds two trading session in the day.

I want to understand if ‘At the close’ can be used instead of ‘End
of session’.

Thx & Regards, Nishant Ranjan