Imported from previous forum
Hi all,
I have a doubt about how to send, using FIX protocol, a midpoint order. This kind of order is an order that remains totally invisible (neither volume nor limits are disclosed to other market participants). This kind of order offers the possibility of order executions at the midpoint of best bid/best ask spread.
I have been searching into FIX4.4 protocol, and I couldn’t find no fields or values to report this kind of order. Maybe I can use NewOrderSingle, adding into my own FIX specifications a new value for OrdType, or a new value into ExecInst.
What do you think? Which solution do you think is the best for this issue?
Thank you in advance,
Abel Monroy
In my view these are a type of pegged orders. FIX 4.4 already offers OrdType P=Pegged and the component block PegInstructions. FIX 5.0 then added tag 1094 PegPriceType with 2=Mid-price peg to this block. Would that cover your requirement? If so, I suggest to add something in 4.4 that is compatible with what is available in FIX 5.0. That makes a later transition easier for you.
Regards,
Hanno.
Hi all,
I have a doubt about how to send, using FIX protocol, a midpoint order.
This kind of order is an order that remains totally invisible (neither
volume nor limits are disclosed to other market participants). This kind
of order offers the possibility of order executions at the midpoint of
best bid/best ask spread. I have been searching into FIX4.4 protocol,
and I couldn’t find no fields or values to report this kind of order.
Maybe I can use NewOrderSingle, adding into my own FIX specifications a
new value for OrdType, or a new value into ExecInst. What do you think?
Which solution do you think is the best for this issue?Thank you in advance,
Abel Monroy
I think this is perfect, because, as you said, using FIX 5.0 tags and values makes easier the next transition from FIX4.4 to FIX5.0.
Thanks!
In my view these are a type of pegged orders. FIX 4.4 already offers
OrdType P=Pegged and the component block PegInstructions. FIX 5.0 then
added tag 1094 PegPriceType with 2=Mid-price peg to this block. Would
that cover your requirement? If so, I suggest to add something in 4.4
that is compatible with what is available in FIX 5.0. That makes a later
transition easier for you.Regards, Hanno.
Hi all,
I have a doubt about how to send, using FIX protocol, a midpoint
order. This kind of order is an order that remains totally invisible
(neither volume nor limits are disclosed to other market
participants). This kind of order offers the possibility of order
executions at the midpoint of best bid/best ask spread. I have been
searching into FIX4.4 protocol, and I couldn’t find no fields or
values to report this kind of order. Maybe I can use NewOrderSingle,
adding into my own FIX specifications a new value for OrdType, or a
new value into ExecInst. What do you think? Which solution do you
think is the best for this issue?Thank you in advance,
Abel Monroy