Is there any way to do cross trades using FIX4.2

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1

Imported from previous forum

2

There is 35=s MsgType in FIX4.4 which supports two sides to send cross orders, but if similar thing has to do using FIX4.2 is there any way out?

3

Pandey,

Use the “NoSides” repeating block to attach two side blocks to the new order you submit. One for “buy” and one for “sell”. This repeating group in 4.2 is for that purpose. Each side block has a unique ClOrdID.

Rgds,
Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to send
cross orders, but if similar thing has to do using FIX4.2 is there
any way out?

4

Pandey,

Use the “NoSides” repeating block to attach two side blocks to the new
order you submit. One for “buy” and one for “sell”. This repeating group
in 4.2 is for that purpose. Each side block has a unique ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to send
cross orders, but if similar thing has to do using FIX4.2 is there
any way out?

I can understand this .Thanks.
But can you eloborate on how NoSides would be added into it , or sending a list order(DISC) would be similar.

5

Pandey…

I am not quite clear on your last question.

  1. Are you referring to how repeating blocks would be serialized in FIX?
    Or
  2. How the event flow takes place in the case of a cross order submitted in this way?

Or
3. Are you just asking the impact of sending a list order (mass order submission) as opposed to sending a two sided cross order?

Rgds,
Thaya.

Pandey,

Use the “NoSides” repeating block to attach two side blocks to the new
order you submit. One for “buy” and one for “sell”. This repeating
group in 4.2 is for that purpose. Each side block has a unique
ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to send
cross orders, but if similar thing has to do using FIX4.2 is there
any way out?

I can understand this .Thanks. But can you eloborate on how NoSides
would be added into it , or sending a list order(DISC) would be similar.

6

Pandey…

I am not quite clear on your last question.

  1. Are you referring to how repeating blocks would be serialized
    in FIX? Or
  2. How the event flow takes place in the case of a cross order submitted
    in this way?

Or 3. Are you just asking the impact of sending a list order (mass order
submission) as opposed to sending a two sided cross order?

Rgds, Thaya.

Pandey,

Use the “NoSides” repeating block to attach two side blocks to the
new order you submit. One for “buy” and one for “sell”. This
repeating group in 4.2 is for that purpose. Each side block has a
unique ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to send
cross orders, but if similar thing has to do using FIX4.2 is there
any way out?

I can understand this .Thanks. But can you eloborate on how NoSides
would be added into it , or sending a list order(DISC) would be
similar.

Basically my question is how the event flow takes place in the case of a cross order submitted using FIX4.2( with repeating blocks)

7

Hi,

Cross order is submitted with two sides, each having a unique client order ID.

The response is similar to the standard responses for normal orders. Each side is treated as an individual order with regard to the responses (since each of them has a unique client order ID). The order ID, in most exchanges is kept common to both to indicate its part of a cross order.

An example event flow will be as follows. (C - client order ID, O - Order ID)

Fix New Order (C1, C2) (Cross order) ------> SELL SIDE
Fix Exec Rpt (C1 , O1) 150=0, 54=1 <-----
Fix Exec Rpt (C2 , O1) 150=0, 54=2 <-----

Fix Exec Rpt (C1 , O1) 150=F, 54=1 <-----

e.t.c.

Note the individual execution reports for each side. Order ID is kept common by the exchange. For display purposes, you may have to show two-child panes for the cross order for the sides.

Hope this cleared your question.

Rgds,
Thaya.

Pandey…

I am not quite clear on your last question.

  1. Are you referring to how repeating blocks would be serialized in
    FIX? Or
  2. How the event flow takes place in the case of a cross order
    submitted in this way?

Or 3. Are you just asking the impact of sending a list order (mass
order submission) as opposed to sending a two sided cross order?

Rgds, Thaya.

Pandey,

Use the “NoSides” repeating block to attach two side blocks to the
new order you submit. One for “buy” and one for “sell”. This
repeating group in 4.2 is for that purpose. Each side block has a
unique ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to send
cross orders, but if similar thing has to do using FIX4.2 is
there any way out?

I can understand this .Thanks. But can you eloborate on how NoSides
would be added into it , or sending a list order(DISC) would be
similar.

Basically my question is how the event flow takes place in the case of a
cross order submitted using FIX4.2( with repeating blocks)

8

Hi,

Cross order is submitted with two sides, each having a unique
client order ID.

The response is similar to the standard responses for normal orders.
Each side is treated as an individual order with regard to the responses
(since each of them has a unique client order ID). The order ID, in most
exchanges is kept common to both to indicate its part of a cross order.

An example event flow will be as follows. (C - client order ID, O

  • Order ID)

Fix New Order (C1, C2) (Cross order) ------> SELL SIDE Fix Exec Rpt (C1
, O1) 150=0, 54=1 <----- Fix Exec Rpt (C2 , O1) 150=0, 54=2 <-----

Fix Exec Rpt (C1 , O1) 150=F, 54=1 <-----

e.t.c.

Note the individual execution reports for each side. Order ID is kept
common by the exchange. For display purposes, you may have to show two-
child panes for the cross order for the sides.

Hope this cleared your question.

Rgds, Thaya.

Pandey…

I am not quite clear on your last question.

  1. Are you referring to how repeating blocks would be serialized in
    FIX? Or
  2. How the event flow takes place in the case of a cross order
    submitted in this way?

Or 3. Are you just asking the impact of sending a list order (mass
order submission) as opposed to sending a two sided cross order?

Rgds, Thaya.

Pandey,

Use the “NoSides” repeating block to attach two side blocks to
the new order you submit. One for “buy” and one for “sell”. This
repeating group in 4.2 is for that purpose. Each side block has
a unique ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to
send cross orders, but if similar thing has to do using FIX4.2
is there any way out?

I can understand this .Thanks. But can you eloborate on how
NoSides would be added into it , or sending a list order(DISC)
would be similar.

Basically my question is how the event flow takes place in the case of
a cross order submitted using FIX4.2( with repeating blocks)

Hi Thaya,
Thanks for your reply.
This way how it differs from just sending a list order, I think that cross orders just do not go to Exchanges rather filled up at Brokers place itself.

So for Cross orders can we have different quantitites for different ClOrdrID and if they differ then how the remaining quantity would be filled?
Can one side of a Cross Order can Trade with another side of any ither order(including cross order)?

9

Hi Pandey,

Cross orders “do” reach the exchange. There are exchanges that explicitly state that they support cross order submission. Ex :- AMEX, ARCA. But sometimes, cross order execution is not automated due to other complexities that might arise. It will be a manual order submission in certain exchanges and auto in some (ARCA). Depends on how the exchange would treat, but surely it does reach the exchange.

As for the quantities, I am not sure what is accepted in general, but from my experience of implementation, you “cannot” specify different quantities. The side block simply has Client Order ID(11) and Side(54) as the main fields. Size and Price do not appear in the side block. Its common to both. Hence there won;t be any remaining qty as such.

For the third question, yes indeed. Individual sides can match with marketable entries in the order book or even match against each other. Another possibility is, a single side can even reside in the book and later be canceled by the submitter or the exchange(unsolicited). Thats why unique Client Order IDs are there for unambiguous notification.

Rgds,
Thaya.

Hi Thaya,
Thanks for your reply.
This way how it differs from just sending a list order, I think that cross orders just do not go to Exchanges rather filled up at Brokers place itself.

So for Cross orders can we have different quantitites for different ClOrdrID and if they differ then how the remaining quantity would be filled?
Can one side of a Cross Order can Trade with another side of any ither order(including cross order)?

Hi,

Cross order is submitted with two sides, each having a unique client
order ID.

The response is similar to the standard responses for normal orders.
Each side is treated as an individual order with regard to the
responses (since each of them has a unique client order ID). The order
ID, in most exchanges is kept common to both to indicate its part of a
cross order.

An example event flow will be as follows. (C - client order ID, O

  • Order ID)

Fix New Order (C1, C2) (Cross order) ------> SELL SIDE Fix Exec Rpt
(C1 , O1) 150=0, 54=1 <----- Fix Exec Rpt (C2 , O1) 150=0, 54=2 <-----

Fix Exec Rpt (C1 , O1) 150=F, 54=1 <-----

e.t.c.

Note the individual execution reports for each side. Order ID is kept
common by the exchange. For display purposes, you may have to show two-
child panes for the cross order for the sides.

Hope this cleared your question.

Rgds, Thaya.

Pandey…

I am not quite clear on your last question.

  1. Are you referring to how repeating blocks would be serialized
    in FIX? Or
  2. How the event flow takes place in the case of a cross order
    submitted in this way?

Or 3. Are you just asking the impact of sending a list order (mass
order submission) as opposed to sending a two sided cross order?

Rgds, Thaya.

Pandey,

Use the “NoSides” repeating block to attach two side blocks to
the new order you submit. One for “buy” and one for “sell”.
This repeating group in 4.2 is for that purpose. Each side
block has a unique ClOrdID.

Rgds, Thaya.

There is 35=s MsgType in FIX4.4 which supports two sides to
send cross orders, but if similar thing has to do using
FIX4.2 is there any way out?

I can understand this .Thanks. But can you eloborate on how
NoSides would be added into it , or sending a list order(DISC)
would be similar.

Basically my question is how the event flow takes place in the case
of a cross order submitted using FIX4.2( with repeating blocks)

Hi Thaya, Thanks for your reply. This way how it differs from just
sending a list order, I think that cross orders just do not go to
Exchanges rather filled up at Brokers place itself.

So for Cross orders can we have different quantitites for different
ClOrdrID and if they differ then how the remaining quantity would be
filled? Can one side of a Cross Order can Trade with another side of any
ither order(including cross order)?