Is it fix compliant treating a limit order with price zero (40=2,44=0,21=1)) as a market order

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Imported from previous forum

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I’m in a situation where an executing broker has executed and treated a limit order with price zero as a straight market order. The order was place errounously by my client. Sadly happens from time to time, because some trading systems operate with default price as zero unless you amend the default settings.

Is this fix compliant behaviour?

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It would be better to reject the message (price missing) instead of trying to guess what the client wanted to do. By the way, zero may be a valid price for strategies.

I’m in a situation where an executing broker has executed and treated a limit order with price zero as a straight market order. The order was place errounously by my client. Sadly happens from time to time, because some trading systems operate with default price as zero unless you amend the default settings.

Is this fix compliant behaviour?

4

I’m no fix expert, but AFAIK market orders should be 40=1. 0 is a valid and frequently used price for certain instrument classes (like spreads) and should not be used as marker for market orders.

Regards,
Attila Balazs

I’m in a situation where an executing broker has executed and treated a limit order with price zero as a straight market order. The order was place errounously by my client. Sadly happens from time to time, because some trading systems operate with default price as zero unless you amend the default settings.

Is this fix compliant behaviour?

5

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
It is very dangerous to infer a market order from 40=2, 44=0.

I’ve seen client-side risk management systems reset the limit price to zero on an outgoing order to force a reject at the broker, so inferring that this is a market order is the opposite of what is intended. I’ve also seen broker internal systems that treat a limit order with price equals zero as a market order. Both practices are bad.

At the end of the day, a market order should be explicitly denoted by the use of 40=1, and a limit order with zero price should be validated approriately within the context of the instrument being traded (as Attila mentions spreads are a good example of where this combination is valid, as is a limit order with a negative price).

Regards,

  • Greg

I’m no fix expert, but AFAIK market orders should be 40=1. 0 is a valid and frequently used price for certain instrument classes (like spreads) and should not be used as marker for market orders.

Regards,
Attila Balazs

I’m in a situation where an executing broker has executed and treated a limit order with price zero as a straight market order. The order was place errounously by my client. Sadly happens from time to time, because some trading systems operate with default price as zero unless you amend the default settings.

Is this fix compliant behaviour?