Imported from previous forum
[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
My understanding is that there is an exchange that supports an order type of Market Limit - a market order that has a limit price attached to it, which will mean the order chases the market only until that price. At that point it will work any balance as a limit at the specified price.
I do not think there is a FIX order type for this. Am I right?
If I was to implement this I would use a currently un-allocated value for tag 40. My preference is to use a single character. Ethically, is this OK and if so, would it be better to overload using a lowercase character?
[ original email was from Richard Mirsberger - rmirsberger@bear.com ]
> My understanding is that there is an exchange that supports an order
type of Market Limit - a market order that has a limit price attached
to it, which will mean the order chases the market only until that
price. At that point it will work any balance as a limit at the
specified price.I do not think there is a FIX order type for this. Am I right? If I was
to implement this I would use a currently un-allocated value for tag 40.
My preference is to use a single character. Ethically, is this OK and if
so, would it be better to overload using a lowercase character?
I believe you’re describing the “Pegged” order type already included in the standard Tag 40 types (as “P”). The additional parameters passed in Tag 18 typically define additional necessary information … again a value of “P” in your case (Market Peg), coupled with a Price in tag 44 (your Limit) solves the basic requirements.
Details of additional refinements to the instructions, and other types of pegging (from Tag 18) vary in implementation and support by destination - but you should be able to find more than 1 to support the type that you mention.
[ original email was from Francesc Prats - fprats@meff.com ]
I can’t see the difference between this order and a Limit Order…
My understanding is that there is an exchange that supports an order
type of Market Limit - a market order that has a limit price attached
to it, which will mean the order chases the market only until that
price. At that point it will work any balance as a limit at the
specified price.I do not think there is a FIX order type for this. Am I right? If I
was to implement this I would use a currently un-allocated value for
tag 40. My preference is to use a single character. Ethically, is this
OK and if so, would it be better to overload using a lowercase
character?I believe you’re describing the “Pegged” order type already included in
the standard Tag 40 types (as “P”). The additional parameters passed in
Tag 18 typically define additional necessary information … again a
value of “P” in your case (Market Peg), coupled with a Price in tag 44
(your Limit) solves the basic requirements.Details of additional refinements to the instructions, and other types
of pegging (from Tag 18) vary in implementation and support by
destination - but you should be able to find more than 1 to support the
type that you mention.
[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
> I can’t see the difference between this order and a Limit Order…
On most exchanges, none at all. On the exchange I am connecting to, they restrict limit orders so that they can not be placed through the market and force the trader to select a specific order type to trade through the market. They also place some other restrictions on that order type. This is actually quite a nice concept and the exchange in question has my full support for this extension to normal limit order practises.
Prize for the person who knows which exchange this is 
[ original email was from Greg Wood - gregjwood@hotmail.com ]
> > I can’t see the difference between this order and a Limit Order…
On most exchanges, none at all. On the exchange I am connecting to, they
restrict limit orders so that they can not be placed through the market
and force the trader to select a specific order type to trade through
the market. They also place some other restrictions on that order type.
This is actually quite a nice concept and the exchange in question has
my full support for this extension to normal limit order practises.Prize for the person who knows which exchange this is
Would this happen to be a certain Antipodean exchange that also implemented this OrderType as a 2 char value in their FIX 4.0 implementation rather than a single char ?
[ original email was from Sreedhar Tulluri - stulluri@paxclearing.com ]
CME introduced an order type called “market type with protection”.
Market orders submitted through iLink 1.0 were treated as Market-to-Limit orders in CME. Market-to-Limit orders were converted in the trading engines to Limit orders at the best available market price.
Market orders with protection are assigned Protection Price Limits based upon pre-defined protection points and the best available price on the opposite side of the market.
Any more details , contact CME .
- Sreedhar
I can’t see the difference between this order and a Limit Order…
On most exchanges, none at all. On the exchange I am connecting to,
they restrict limit orders so that they can not be placed through the
market and force the trader to select a specific order type to trade
through the market. They also place some other restrictions on that
order type. This is actually quite a nice concept and the exchange in
question has my full support for this extension to normal limit order
practises.Prize for the person who knows which exchange this is
Would this happen to be a certain Antipodean exchange that also
implemented this OrderType as a 2 char value in their FIX 4.0
implementation rather than a single char ?