Imported from previous forum
[ original email was from Patrick Reuter - reuter_patrick@jpmorgan.com ]
The question must have been asked before, but what is the best practice to allow MOCC/MOCO for derivative orders?
I would rather avoid custom (algo) parameters to do so.
It seems adding values to TimeInForce would be very straightforward.
Most clients in the past few years have leveraged trading instructions for care orders, but this just does not seem to be the cleanest solution.
Patrick
[ original email was from Greg Wood - gregjwood@hotmail.com ]
Hi Patrick,
I agree that this is something that we should extend in the TIF field. It is a very common request for futures trading that should be handled in a more standard manner. Personally, I have used text fields for care orders, and custom tags for algos orders. I would also extend this beyond cash close for index futures and also allow for a clear instruction to execute a futures contract at settlement time (common for US Treasuriy and commodity futures that have a settlement price calculation algo that occurs at a different time to the close of trading).
Something for the global derivatives committee to consider if not already discussed.
Regards,
- Greg
The question must have been asked before, but what is the best practice t ao allow MOCC/MOCO for derivative orders?
I would rather avoid custom (algo) parameters to do so.
It seems adding values to TimeInForce would be very straightforward.
Most clients in the past few years have leveraged trading instructions for care orders, but this just does not seem to be the cleanest solution.Patrick
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
I agree with Greg. This is pretty core to futures trading but poorly handled in FIX.
Hi Patrick,
I agree that this is something that we should extend in the TIF field. It is a very common request for futures trading that should be handled in a more standard manner. Personally, I have used text fields for care orders, and custom tags for algos orders. I would also extend this beyond cash close for index futures and also allow for a clear instruction to execute a futures contract at settlement time (common for US Treasuriy and commodity futures that have a settlement price calculation algo that occurs at a different time to the close of trading).
Something for the global derivatives committee to consider if not already discussed.
Regards,
- Greg
The question must have been asked before, but what is the best practice t ao allow MOCC/MOCO for derivative orders?
I would rather avoid custom (algo) parameters to do so.
It seems adding values to TimeInForce would be very straightforward.
Most clients in the past few years have leveraged trading instructions for care orders, but this just does not seem to be the cleanest solution.Patrick