Market on open/ close futures order

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Imported from previous forum

2

All,

Just wondering how market on open/ close futures order can be implemented in 4.2. Usually how this can be implemented in both buy and sell side?

Thanks

3

In FIX 4.0 through 4.2, market on open is OrdType=1 (market), TimeInForce=2 (at the opening). Market on close is just OrdType=5. Limit on open is OrdType=2, TimeInForce=2, and limit on close is OrdType=B.

Note that it mixes and matches OrdType and TimeInForce, which can be a little confusing. As of FIX 4.3, this was improved to always use OrdType to specify market or limit (1 or 2), then use TimeInForce to specify at the opening or at the close (2 or 7).

David Rhodes
TransactTools

All,

Just wondering how market on open/ close futures order can be
implemented in 4.2. Usually how this can be implemented in both buy and
sell side?

Thanks