need help for new service in Korea

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1

Imported from previous forum

2

Hi, all

Korea Exchange(KRX) announced new trading service for bulk-trading
in terms of the order size.
(http://www.asiaetrading.com/krx-introduces-new-auction-based-block-trading-service/)
'Auction-based Block Trading Service(A-blox)'
Briefly, it’s similar with the facilities of NYBX(NewYork Block Exchange)
while A-blox will be matched in KRX itself.

Question: Which tag can I use for this ‘A-blox’ order types in FIX protocol? Do I need to define a user-defined value for this?

Any reply will be appreciated, thanks.

ps) It’s totally auction-based system not negotiation.

3

JongMin,

I took a look at the link you provided. It states that A-blox is kept in a separate pool and does not interact with K-blox. Also, there is no public market data for A-blox during trading hours. Hence it is comparable to a dark pool.

You will see that there is more than one way to solve this problem and it depends to some extent on the FIX version you need to run.

I would not consider A-blox to be an order type but rather a separate order book. The easiest solution is probably to use the user-defined field OrderBookID (5018) with values such as “A” and “K” to distinguish the two.

A second option is to use an implicit mechanism to tie an order to A-blox which only has hidden orders. You can use MaxFloor (111) or, as of FIX 5.0, DisplayQty (1138) and only allow a value of zero if present. Non-displayed orders are only allowed on A-blox and this would allow you to route the order there.

Another option is for KRX to apply for separate MIC values for A-blox and K-blox and to ask users to populate ExDestination (100) with one or the other. MICs are an ISO standard (ISO 10383) and primarily intended for marketplaces. KRX currently has 3 values registered (stock, futures, KOSDAQ). ISO has recently also allowed market sgements to be registered and I would consider A-blox and K-blox to qualify.

Finally, question from my side. The service is described to be on “continuous auction basis” but also says “trades will be executed immediately”. My understanding of an auction is that orders are not immediately executed but gathered for a pre-defined or random period of time (maybe only for one second). The matching is then conducted with the objective of most executable volume and can still choose between orders according to time priority (or price/time). A continuous auction consists of many such auctions throughout the day. How is the term “auction” to be understood here?

Thank you,
Hanno.

Hi, all

Korea Exchange(KRX) announced new trading service for bulk-trading
in terms of the order size.
(http://www.asiaetrading.com/krx-introduces-new-auction-based-block-trading-service/)
‘Auction-based Block Trading Service(A-blox)’
Briefly, it’s similar with the facilities of NYBX(NewYork Block Exchange)
while A-blox will be matched in KRX itself.

Question: Which tag can I use for this ‘A-blox’ order types in FIX protocol? Do I need to define a user-defined value for this?

Any reply will be appreciated, thanks.

ps) It’s totally auction-based system not negotiation.

4

Thanks for your reply!
It’s as difficult as ever, though you taught me several solutions.
Anyway, I agreed with your opinion on new service.
It’s traditional competitive style with immediate matching
not auction style.
The article seems wrong. I believe ‘A-blox’ isn’t decent word for
this service.

Thanks again.

JongMin,

I took a look at the link you provided. It states that A-blox is kept in a separate pool and does not interact with K-blox. Also, there is no public market data for A-blox during trading hours. Hence it is comparable to a dark pool.

You will see that there is more than one way to solve this problem and it depends to some extent on the FIX version you need to run.

I would not consider A-blox to be an order type but rather a separate order book. The easiest solution is probably to use the user-defined field OrderBookID (5018) with values such as “A” and “K” to distinguish the two.

A second option is to use an implicit mechanism to tie an order to A-blox which only has hidden orders. You can use MaxFloor (111) or, as of FIX 5.0, DisplayQty (1138) and only allow a value of zero if present. Non-displayed orders are only allowed on A-blox and this would allow you to route the order there.

Another option is for KRX to apply for separate MIC values for A-blox and K-blox and to ask users to populate ExDestination (100) with one or the other. MICs are an ISO standard (ISO 10383) and primarily intended for marketplaces. KRX currently has 3 values registered (stock, futures, KOSDAQ). ISO has recently also allowed market sgements to be registered and I would consider A-blox and K-blox to qualify.

Finally, question from my side. The service is described to be on “continuous auction basis” but also says “trades will be executed immediately”. My understanding of an auction is that orders are not immediately executed but gathered for a pre-defined or random period of time (maybe only for one second). The matching is then conducted with the objective of most executable volume and can still choose between orders according to time priority (or price/time). A continuous auction consists of many such auctions throughout the day. How is the term “auction” to be understood here?

Thank you,
Hanno.

Hi, all

Korea Exchange(KRX) announced new trading service for bulk-trading
in terms of the order size.
(http://www.asiaetrading.com/krx-introduces-new-auction-based-block-trading-service/)
‘Auction-based Block Trading Service(A-blox)’
Briefly, it’s similar with the facilities of NYBX(NewYork Block Exchange)
while A-blox will be matched in KRX itself.

Question: Which tag can I use for this ‘A-blox’ order types in FIX protocol? Do I need to define a user-defined value for this?

Any reply will be appreciated, thanks.

ps) It’s totally auction-based system not negotiation.