Imported from previous forum
[ original email was from Bernt Sanden - bernt.sanden@omgroup.com ]
Hi,
What is the different between the MaxShow and MaxFloor tags? It seems like they have the same
purpose.
Our OMS is all electronic with no exchange floor.
Should i use MaxShow or MaxFloor to indicate the
volume that is shown to other market participants?
Regards, Bernt Sandén
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> What is the different between the MaxShow and MaxFloor tags? It seems like they have the same
> purpose.
>
> Our OMS is all electronic with no exchange floor.
> Should i use MaxShow or MaxFloor to indicate the
> volume that is shown to other market participants?
MaxShow was proposed by Bloomberg and added to FIX 4.1. They wanted to establish two levels of reserve quantities, one level displayed to the world (MaxFloor) and another displayed to subscribers of their ECN (MaxShow.) I.e.
MaxFloor <= MaxShow <= OrderQty
One may place an order for 100,000 shares (OrderQty), only want 1000 shares shown to NASDAQ at any one time (MaxFloor), but will allow other subscribers of that ECN to see 5000 shares (MaxShow).
MaxFloor is the tag traditionally used to indicate reserve quantity. If you are going to use just one level of reserve quantity, MaxFloor is the tag to use.