MES vs. MAQ and dark book

1

I have the following two questions:

  1. Is there any tag I can use to differentiate 110-MinQty between MES (minimum execution size - order can match against one single contra order) and MAQ (minimum acceptable qty - order can match against n contra orders)?
  2. Is there any value or specific tag I can use to route an order to a dark book? I’m thinking about using 18-ExecInst but I can’t find an appropriate value.

Many thanks.

2

You can limit the execution in terms of price levels with MaxPriceLevels(1090). You cannot define the number of orders against which your order is allowed to match. Using MinQty(110) does not mean that you can only match against a single order or even a single price level. What is the business reason/requirement for wanting to limit matching in terms of the number of contra orders?

Routing an order to a “dark book” typically means that you route to a specific market that trades in a dark book. You can use ExDestination(100) to identify this market. The execution confirmation could then carry VenueType(1430) = “D” to indicate that it was traded in a dark order book.

3

Actually I was looking to normalise using FIX the Australian cash markets. ASX has a lot of order types available in their OUCH binary protocol, some of them target dark books, some of them have single fill MinQty, some if them have optional MinQty (not necessarily single fill). So I was thinking using a combination of ExecInst and user-defined RoutingInst.

4

ASX has registered Centre Point (for dark liquidity) as ASXC for ISO 10383 (Market Identifier Code). The lit market seems to be called TradeMatch and has the MIC ASXT.

I see what you mean with the ASX order types. The minimum acceptable quantity (MAQ) is simply called minimum quantity in FIX and conveyed with MinQty(110). Currently, FIX does not have the possibility to express that only a single fill is permitted, i.e. even with MaxPriceLevels(1090)=1, you could get matched against more than one order as long as they have the same price. I understand that this is provided by ASX for the discovery of block liquidity. Suggest to use an explicit user-defined field, e.g. “SingleFillIndicator” (boolean: Y/N) for this, similar (in name only) to SingleQuoteIndicator(2837).

ExDestination(100) would apply to an ASX Centre Point order, i.e. go completely to the dark pool if you chose ASXC. ASX offers a sweep order type to implicitly go across both ASXC and ASXT markets with the remaining qty resting in the lit book.

5

Yes I agree, 100 would help a lot. How about the sweep order type? Shall I use18=f? I know this ExecInst has a completely different meaning in the US.

6

I think you can use that value. FIX does not offer any normative elaboration of the value “f” that would limit it to a specific usage. The “Intermarket Sweep” fits the ASX model of looking across two markets. In your Rules of Engagement, you can further explain the details of ExecInst(18)=f in the ASX context.

7

Thank you. Your help is much appreciated.

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