Market to Limit order

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1

Imported from previous forum

2

client wants to trade Market to limit order for SFE exchange. What is the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) - What is the order type for Market to Limit(in SFE market_to_limit is the one of the order type)
Price=x.x

Could someone suggest about this, please?

3

client wants to trade Market to limit order for SFE exchange. What is
the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) - What is
the order type for Market to Limit(in SFE market_to_limit is the one of
the order type) Price=x.x

Could someone suggest about this, please?

This is not a Market with Leftover as Limit (market order then unexecuted quantity becomes limit order at last price). SFE supports MARKET_TO_LIMIT as a order Type. Please suggest the standard fix tags for this order request.

4

It is not sufficient to only state the term “MARKET_TO_LIMIT” without explaining the underlying semantics. You explained the semantic of value K and stated that this is different from your business requirement. So far so good, but what is your business requirement?

So I can only guess that you need something that changes the order from market to limit when a certain event occurs. Such changes are covered by the component block. Tag 1111 TriggerOrderType lets you define the new order type (in your case: Limit). What is missing is your description of the actual trigger.

client wants to trade Market to limit order for SFE exchange. What is
the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) - What
is the order type for Market to Limit(in SFE market_to_limit is the
one of the order type) Price=x.x

Could someone suggest about this, please?

This is not a Market with Leftover as Limit (market order then
unexecuted quantity becomes limit order at last price). SFE supports
MARKET_TO_LIMIT as a order Type. Please suggest the standard fix tags
for this order request.

5

[ original email was from Greg Wood - gregjwood@hotmail.com ]
Hi,

The Sydney Futures Exchange has an unusual implementation of the regular limit order type in that it only allows down to the best bid or up to the best offer, and a limit order will be rejected if the limit price goes through the book. To get around this limitation the exchange implemented a marketable-limit(aka “sweep”") order that allows you to trade through up to 5 price levels.

As already said this marketable-limit order is not the same as a market-to-limit order where any residual unfilled on a market order is converted at the exchange to a limit order at the last traded price. BTW market orders are not valid on the SFE.

Since most clients want a regular limit order (40=2) to behave the same way on the SFE as any other exchange, we have typically implemented a mapping at Credit Suisse to change 40=2 on the SFE to mean a marketable-limit/sweep order at the exchange. However to complicate things you can’t place a marketable-limit/sweep order during pre-market, it has to be a regular limit order as defined by the exchange.

To provide that granualarity we have overloaded 40=7 (Limit-or-better) to specifically reference a marketable-limit order and 40=2 specifically references the limit-at-best (i.e. a limit order that will only be accepted at best bid & above or best offer & below) implementation of a limit order on the exchange.

Watchout if you move to 4.4 since 40=7 was deprecated in FIX versions later than 4.2.

Hope this helps.

Regards,

  • Greg

However you cannot place this marketable-limit order

It is not sufficient to only state the term “MARKET_TO_LIMIT” without
explaining the underlying semantics. You explained the semantic of value
K and stated that this is different from your business requirement. So
far so good, but what is your business requirement?

So I can only guess that you need something that changes the order from
market to limit when a certain event occurs. Such changes are covered by
the component block. Tag 1111 TriggerOrderType
lets you define the new order type (in your case: Limit). What is
missing is your description of the actual trigger.

client wants to trade Market to limit order for SFE exchange. What
is the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) -
What is the order type for Market to Limit(in SFE market_to_limit is
the one of the order type) Price=x.x

Could someone suggest about this, please?

This is not a Market with Leftover as Limit (market order then
unexecuted quantity becomes limit order at last price). SFE supports
MARKET_TO_LIMIT as a order Type. Please suggest the standard fix tags
for this order request.

6

Understand, “marketable-limit” seems to be the right term here. FIX 5.0 introduced tag 1090 MaxPriceLevels to allow the user to limit the number of price levels an order should trade through. Absence of this field would indicate that no restrictions exist.

If we are talking about the SYCOM FIX Interface then we are talking FIX 4.0 (SYCOM v2.4 dated Oct 17, 2008). Unfortunately, they have added their own enum value 10 to convey MLM (Market Limit) order type in tag 40. This is also inconsistent with the data type (char) of this field. Other enum values of OrdType have been overridden, e.g. they use 6 for Stop and 7 for Stop Limit (instead of 3 and 4 as defined in FIX 4.0). I wonder how their users get around these encoding issues with a standard FIX engine.

Hi,

The Sydney Futures Exchange has an unusual implementation of the regular
limit order type in that it only allows down to the best bid or up to
the best offer, and a limit order will be rejected if the limit price
goes through the book. To get around this limitation the exchange
implemented a marketable-limit(aka “sweep”") order that allows you to
trade through up to 5 price levels.

As already said this marketable-limit order is not the same as a market-to-
limit order where any residual unfilled on a market order is converted
at the exchange to a limit order at the last traded price. BTW market
orders are not valid on the SFE.

Since most clients want a regular limit order (40=2) to behave the same
way on the SFE as any other exchange, we have typically implemented a
mapping at Credit Suisse to change 40=2 on the SFE to mean a marketable-
limit/sweep order at the exchange. However to complicate things you
can’t place a marketable-limit/sweep order during pre-market, it has to
be a regular limit order as defined by the exchange.

To provide that granualarity we have overloaded 40=7 (Limit-or-better)
to specifically reference a marketable-limit order and 40=2 specifically
references the limit-at-best (i.e. a limit order that will only be
accepted at best bid & above or best offer & below) implementation of a
limit order on the exchange.

Watchout if you move to 4.4 since 40=7 was deprecated in FIX versions
later than 4.2.

Hope this helps.

Regards,

  • Greg

However you cannot place this marketable-limit order

It is not sufficient to only state the term “MARKET_TO_LIMIT” without
explaining the underlying semantics. You explained the semantic of
value K and stated that this is different from your business
requirement. So far so good, but what is your business requirement?

So I can only guess that you need something that changes the order
from market to limit when a certain event occurs. Such changes are
covered by the component block. Tag 1111
TriggerOrderType lets you define the new order type (in your case:
Limit). What is missing is your description of the actual trigger.

client wants to trade Market to limit order for SFE exchange. What
is the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) -
What is the order type for Market to Limit(in SFE market_to_limit
is the one of the order type) Price=x.x

Could someone suggest about this, please?

This is not a Market with Leftover as Limit (market order then
unexecuted quantity becomes limit order at last price). SFE supports
MARKET_TO_LIMIT as a order Type. Please suggest the standard fix
tags for this order request.

7

Understand, “marketable-limit” seems to be the right term here. FIX 5.0
introduced tag 1090 MaxPriceLevels to allow the user to limit the number
of price levels an order should trade through. Absence of this field
would indicate that no restrictions exist.

If we are talking about the SYCOM FIX Interface then we are talking FIX
4.0 (SYCOM v2.4 dated Oct 17, 2008). Unfortunately, they have added
their own enum value 10 to convey MLM (Market Limit) order type in tag
40. This is also inconsistent with the data type (char) of this field.
Other enum values of OrdType have been overridden, e.g. they use 6 for
Stop and 7 for Stop Limit (instead of 3 and 4 as defined in FIX 4.0). I
wonder how their users get around these encoding issues with a standard
FIX engine.

Hi,

The Sydney Futures Exchange has an unusual implementation of the
regular limit order type in that it only allows down to the best bid
or up to the best offer, and a limit order will be rejected if the
limit price goes through the book. To get around this limitation the
exchange implemented a marketable-limit(aka “sweep”") order that
allows you to trade through up to 5 price levels.

As already said this marketable-limit order is not the same as a market-to-
limit order where any residual unfilled on a market order is converted
at the exchange to a limit order at the last traded price. BTW market
orders are not valid on the SFE.

Since most clients want a regular limit order (40=2) to behave the
same way on the SFE as any other exchange, we have typically
implemented a mapping at Credit Suisse to change 40=2 on the SFE to
mean a marketable-
limit/sweep order at the exchange. However to complicate things you
can’t place a marketable-limit/sweep order during pre-market, it
has to be a regular limit order as defined by the exchange.

To provide that granualarity we have overloaded 40=7 (Limit-or-better)
to specifically reference a marketable-limit order and 40=2
specifically references the limit-at-best (i.e. a limit order that
will only be accepted at best bid & above or best offer & below)
implementation of a limit order on the exchange.

Watchout if you move to 4.4 since 40=7 was deprecated in FIX versions
later than 4.2.

Hope this helps.

Regards,

  • Greg

However you cannot place this marketable-limit order

It is not sufficient to only state the term “MARKET_TO_LIMIT”
without explaining the underlying semantics. You explained the
semantic of value K and stated that this is different from your
business requirement. So far so good, but what is your business
requirement?

So I can only guess that you need something that changes the order
from market to limit when a certain event occurs. Such changes are
covered by the component block. Tag 1111
TriggerOrderType lets you define the new order type (in your case:
Limit). What is missing is your description of the actual trigger.

client wants to trade Market to limit order for SFE exchange.
What is the suggested FIX tags from the client side

Example : OrderType=Limit / K (it should be industry standard) -
What is the order type for Market to Limit(in SFE
market_to_limit is the one of the order type) Price=x.x

Could someone suggest about this, please?

This is not a Market with Leftover as Limit (market order then
unexecuted quantity becomes limit order at last price). SFE
supports MARKET_TO_LIMIT as a order Type. Please suggest the
standard fix tags for this order request.

What are the order Types SFE supports and required Fixtags?

8

What are the order Types SFE supports and required Fixtags?

www.sfe.com.au/content/sfe/support/fix_spec.pdf

Please try Google first next time, the spec is public…

9

What are the order Types SFE supports and required Fixtags?

www.sfe.com.au/content/sfe/support/fix_spec.pdf

Please try Google first next time, the spec is public…

Thanks for your help