Issue on New Order Single in the Queue

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Imported from previous forum

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[ original email was from suan gaik chuah - suangaik@planetasia.com.sg ]
Can FIX server hold all the orders in the incoming queue before the market open and before new session establish?
if yes, then how to manage these order messages’ MsqSeqNum(tag34)?

Thanks

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Can FIX server hold all the orders in the incoming queue before the market open and before new session establish?
> if yes, then how to manage these order messages’ MsqSeqNum(tag34)?

A few thoughts on this:

  1. You cannot really hold on to messages at a session level. A FIX engine cannot say “I’m holding on to messages 10, 11 and 12 and will resend them at a later time.”

  2. You can queue messages at an application level. For instance, you can hold them, either inside your OMS, or before they get to the FIX engine in a queue, and only when you are ready will you release the messages to the engine, which will, at that point in time, stamp a SendingTime and sequence number and send them.

  3. In general, no real reason exists to wait until the market opens to bring up your FIX connection. Just about every electronic trading system I know about wants its clients to connect before the market opens. That way, if a problem exists in connecting, it can hopefully be resolved before trading starts.

  4. Queueing orders on the buy-side may not even be necessary, depending on the capabilities of the buy-side and sell-side systems. FIX has ways to indicate that an order is being sent but may not trade before a specific time. For instance, EffectiveTime or TradingSessionID can be used for this purpose in FIX 4.2 and later, or by bilateral agreement one may be able to define that normal Day orders received before the market open will not be executed until the market opens.

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Hi,

yes, i agree with Ryan Pierce, to Queue at application level…In general mesSeqNum is generated for sending message only when session is established…(But its upto the Fixengine part)
For our trading systems, we do have queing at application level only(which provides 24hr trading facility).

Thanks

> Can FIX server hold all the orders in the incoming queue before the market open and before new session establish?
> if yes, then how to manage these order messages’ MsqSeqNum(tag34)?
>
> Thanks
>