MaxFloor or MaxShow for disclosed size of an iceberg order ?

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Imported from previous forum

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In FIX 4.2 you can find 2 tags:

111 MaxFloor
210 MaxShow.

In case of an iceberg order (e.g. in the German Xetra market) which is more appropriate to map the order size to be shown on the market as a part of the total order size ?

I’d go for tag 111 MaxFloor (max qty within an order to be shown on the exchange floor at any given time) rather than 210 MaxShow (max qty within an order to be shown to other customers (e.g. sent via an IOI)).

Anyway I would like to hear opinions from other FIX developers.

Thank you in advance

Antonio Caroselli
www.gatelab.com

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[ original email was from Kevin English - kevin.english@citigroup.com ]
Hi Antonio,
For iceberg orders I also believe that tag 111 should be used.
thanks,
Kevin

In FIX 4.2 you can find 2 tags:

111 MaxFloor 210 MaxShow.

In case of an iceberg order (e.g. in the German Xetra market) which is
more appropriate to map the order size to be shown on the market as a
part of the total order size ?

I’d go for tag 111 MaxFloor (max qty within an order to be shown on the
exchange floor at any given time) rather than 210 MaxShow (max qty
within an order to be shown to other customers (e.g. sent via an IOI)).

Anyway I would like to hear opinions from other FIX developers.

Thank you in advance

Antonio Caroselli www.gatelab.com

4

Hi Antonio, For iceberg orders I also believe that tag 111 should be
used. thanks, Kevin

Do you have any idea what MaxShow was invented for?

Cheers, Jörg

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> > Hi Antonio, For iceberg orders I also believe that tag 111 should be

used. thanks, Kevin

Do you have any idea what MaxShow was invented for?

MaxFloor, in terms of protocol history, is pretty ancient. I know it appears in FIX 4.0, and I wouldn’t be surprised if it was in earlier protocol versions.

MaxShow was introduced in FIX 4.1 for US ECN’s that wanted two levels of discretion. MaxFloor was the volume disclosed to the world at large (i.e. via NASDAQ Level II) and MaxShow was a larger volume shown only to subscribers of the ECN via the book feed the ECN provides to its subscribers. It follows that MaxShow should be greater than MaxFloor (I suppose they could be equal, but in that case it would have absolutely no effect), and it may be less than or equal to OrderQty.

Now there have been a lot of changes in US market structure since that time. I have no idea if anyone still uses MaxShow for its original purpose, or if that kind of preferential information distribution would be allowed under current market regulations.