Limit vs Limit Or Better vs Strict Limit

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1

Imported from previous forum

2

The current FIX specification has both ‘limit’ and ‘limit or better’ order types. In practice it seems that the FIX community perceives a ‘Limit’ order as meaning ‘Limit or better’. Indeed the FIX glossary definitions appear to equate ‘Limit’ and ‘Limit or better’.

Some exchanges do actually have order types which are ‘strict’ limits - i.e. if the market is 99-100 and you enter a buy at 101 you will get filled at 101 and not 100.

In order to better represent this ‘strict’ limit type and the clear up the ambiguity between ‘limit’ and ‘limit or better’ the proposal for FIX 4.4 is that:

  1. ‘limit or better’ is deprecated. A ‘Limit’ order type will imply ‘or better’
  2. introduce an order type of ‘strict limit’

Pls respond to this posting if you have any concerns or issues with this proposed approach for the 4.4 release.

3

A revised proposal by the Global Tech Committee to support this is:

  1. Deprecate OrdType of "Limit or better" and add the treat "Limit" and "Limit or better" the same from the proposal below

  2. Rather than add a new OrdType of "Strict Limit", add a new ExecInst of "Strict Limit (No Price Improvement)". Thus an exchange which has "strict" limits could convey this with OrdType="Limit" and ExecInst="Strict Limit (No Price Improvement)"

  3. Some additional research has identified that the OrdType of "Limit or better" was associated some special "price differential for odd lot transaction" handling from the NYSE (CMS spec). FPL will follow-up to see if there is still a requirement to convey this. If there is, the current line of thinking is to generically define and add that as an ExecInst which is used in conjunction with OrdType.

Feedback welcome.

> The current FIX specification has both ‘limit’ and ‘limit or better’ order types. In practice it seems that the FIX community perceives a ‘Limit’ order as meaning ‘Limit or better’. Indeed the FIX glossary definitions appear to equate ‘Limit’ and ‘Limit or better’.
>
> Some exchanges do actually have order types which are ‘strict’ limits - i.e. if the market is 99-100 and you enter a buy at 101 you will get filled at 101 and not 100.
>
> In order to better represent this ‘strict’ limit type and the clear up the ambiguity between ‘limit’ and ‘limit or better’ the proposal for FIX 4.4 is that:
>
> 1) ‘limit or better’ is deprecated. A ‘Limit’ order type will imply ‘or better’
> 2) introduce an order type of ‘strict limit’
>
> Pls respond to this posting if you have any concerns or issues with this proposed approach for the 4.4 release.
>

4

[ original email was from Kevin Houstoun - kevin.houstoun@ssmb.com ]
This is being discussed by the technical committee as ID [PC20030312_2].

> A revised proposal by the Global Tech Committee to support this is:
>
> 1) Deprecate OrdType of “Limit or better” and add the treat “Limit” and “Limit or better” the same from the proposal below
>
> 2) Rather than add a new OrdType of “Strict Limit”, add a new ExecInst of “Strict Limit (No Price Improvement)”. Thus an exchange which has “strict” limits could convey this with OrdType=“Limit” and ExecInst=“Strict Limit (No Price Improvement)”
>
> 3) Some additional research has identified that the OrdType of “Limit or better” was associated some special “price differential for odd lot transaction” handling from the NYSE (CMS spec). FPL will follow-up to see if there is still a requirement to convey this. If there is, the current line of thinking is to generically define and add that as an ExecInst which is used in conjunction with OrdType.
>
> Feedback welcome.
>
> > The current FIX specification has both ‘limit’ and ‘limit or better’ order types. In practice it seems that the FIX community perceives a ‘Limit’ order as meaning ‘Limit or better’. Indeed the FIX glossary definitions appear to equate ‘Limit’ and ‘Limit or better’.
> >
> > Some exchanges do actually have order types which are ‘strict’ limits - i.e. if the market is 99-100 and you enter a buy at 101 you will get filled at 101 and not 100.
> >
> > In order to better represent this ‘strict’ limit type and the clear up the ambiguity between ‘limit’ and ‘limit or better’ the proposal for FIX 4.4 is that:
> >
> > 1) ‘limit or better’ is deprecated. A ‘Limit’ order type will imply ‘or better’
> > 2) introduce an order type of ‘strict limit’
> >
> > Pls respond to this posting if you have any concerns or issues with this proposed approach for the 4.4 release.
> >
>