Multiple market orders

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1

Imported from previous forum

2

Hi there,
I have 2 related questions

a)Is there a message which fits into a scenario of Multi-market trades.

What I mean by Multi-market trades is a trade which has several legs where each leg has

  • same stock/security
  • different market maker/counterparty reference
  • different price

b)I dont know in what sort of scenarios is the “NewOrderMultileg” message used OR in other words what do the different legs of a NewOrderMultiLeg message represent?

Regards,
Jayashree

3

There is no dedicated message to aggregate multiple executions across multiple markets. You can use the standard ExecutionReport with the component and its NestedParties4 with PartyRole=22 (Exchange) or 73 (Execution Venue) to emulate your scenario. You would be colletcing executions from those markets and at some point decide to send an ExecutionReport back to the order submitter to tell him where and what of the order was traded.

NewOrderMultileg is the right context to speak about “legs” because it is about pieces of a single entity. Multiple trades on different markets would not be described as legs. A tradable entity consisting of multiple parts is common in the derivatives space where you have so-called strategies or combinations. All of the legs will either trade or not trade with a certain quantity and price (atomicity). This then gets broken down into individual trades in the leg level prior to clearing and settlement.

There is also the concept of basket trades or lists (NewOrderList) where you have multiple, independent orders bundled together. Each of them can either execute or not.

Regards,
Hanno.

Hi there,
I have 2 related questions

a)Is there a message which fits into a scenario of Multi-market trades.

What I mean by Multi-market trades is a trade which has several legs where each leg has

  • same stock/security
  • different market maker/counterparty reference
  • different price

b)I dont know in what sort of scenarios is the “NewOrderMultileg” message used OR in other words what do the different legs of a NewOrderMultiLeg message represent?

Regards,
Jayashree

4

Thanks a lot Hanno.
Thats a very elaborate and clear answer and solves my problem of Multi-Market Orders.

Thanks a million.

Best Regards,
Jayashree

There is no dedicated message to aggregate multiple executions across multiple markets. You can use the standard ExecutionReport with the component and its NestedParties4 with PartyRole=22 (Exchange) or 73 (Execution Venue) to emulate your scenario. You would be colletcing executions from those markets and at some point decide to send an ExecutionReport back to the order submitter to tell him where and what of the order was traded.

NewOrderMultileg is the right context to speak about “legs” because it is about pieces of a single entity. Multiple trades on different markets would not be described as legs. A tradable entity consisting of multiple parts is common in the derivatives space where you have so-called strategies or combinations. All of the legs will either trade or not trade with a certain quantity and price (atomicity). This then gets broken down into individual trades in the leg level prior to clearing and settlement.

There is also the concept of basket trades or lists (NewOrderList) where you have multiple, independent orders bundled together. Each of them can either execute or not.

Regards,
Hanno.

Hi there,
I have 2 related questions

a)Is there a message which fits into a scenario of Multi-market trades.

What I mean by Multi-market trades is a trade which has several legs where each leg has

  • same stock/security
  • different market maker/counterparty reference
  • different price

b)I dont know in what sort of scenarios is the “NewOrderMultileg” message used OR in other words what do the different legs of a NewOrderMultiLeg message represent?

Regards,
Jayashree