New Order (Single)

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Imported from previous forum

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Hi,

I work on the New Order of FIXML and I have some difficulties to understand the meaning or the rule of some fields. If someone can answer to the folling questions (or only some of them) thanks a lot.

  • Account (Tag 1) is the account of the custumer. This account is composed of several sub-account (AllocAccount (tag 79)). How this sub-account are orginised? Is there some security accounts and cash account?

  • what is "NoAllocs" (tag 78)?

  • In which conditions is used the field "AllocShare" (tag 80)? For example can we buy 100 securities and decide to put 20 of them in one sub-account and 80 in an other?

  • Does "SettlmtTyp" (tag 63) indicate the day the securities are really paid?

  • Which difference between "FutSettDate" (tag 64)and "SettlmntTyp" (tag 63)?

  • why define a "MaxFloor" (tag 111)?

  • does the field "ExDestination" define the repository or the custody?

  • Can you explain what "NoTradingSessions" (tag 386) and "TradingSessionsID" (tag 336) are used for?

  • Same question for "ProcessCode" (tag81) and "Symbol" (tag 55).

  • what 's the differences between “IDSource” (tag 22) and “SecurityType” (tag 167)?

  • when is "locateReqd" (tag 114) used?

  • is "cashOrderQty" (tag 152) calculated in the currency of the market?

  • is "currency" (tag 15) the currency of the cash sub-account?

  • “Iolid” (tag23) : what 's a Iol message?

  • why is there a difference between "Maxfloor" and "MaxShow" (tag 210)?

Thanks again.

3

I will attempt to answer your questions below. Please be sure to refer to the FIX spec as some of these questions are addressed there.

> Hi,
>
> I work on the New Order of FIXML and I have some difficulties to understand the meaning or the rule of some fields. If someone can answer to the folling questions (or only some of them) thanks a lot.
>
> - Account (Tag 1) is the account of the custumer. This account is composed of several sub-account (AllocAccount (tag 79)). How this sub-account are orginised? Is there some security accounts and cash account?

The New Order Single originally only had a single Account field. Typically an investment manager may place an order with a broker on behalf of a set of accounts (funds, institutional accounts, etc.) which is known as a "block order". Thus if investment manager is ordering 10,000 for FUND-A, 20,000 for FUND-B, and 5,000 for FUND-C then the New Order Single would specify OrderQty of 35,000 and an AllocAccount repeating group of:

NoAllocs=3
AllocAccount=FUND-A
AllocShares=10000
AllocAccount=FUND-B
AllocShares=20000
AllocAccount=FUND-C
AllocShares=5000

This is called pre-allocation (providing the "splits" at time of order placement vs. post-execution).

> - what is "NoAllocs" (tag 78)?

This identifies the number of instances in the repeating group. See "Repeating Groups" in "FIX MESSAGE FORMAT AND DELIVERY" in the latest (20010501) FIX 4.2 Errata for more details.

> - In which conditions is used the field "AllocShare" (tag 80)? For example can we buy 100 securities and decide to put 20 of them in one sub-account and 80 in an other?

Yes, for pre-allocation, see example above.

> - Does "SettlmtTyp" (tag 63) indicate the day the securities are really paid?
> - Which difference between "FutSettDate" (tag 64)and "SettlmntTyp" (tag 63)?

FutSettDate is a specific date for settlement. SettlmntType can indicate "when" without specifying a particular date (e.g. "T+3").

> - why define a "MaxFloor" (tag 111)?

See "Reserve Quantity Orders" in Appendix E of the the latest (20010501) FIX 4.2 Errata.

> - does the field "ExDestination" define the repository or the custody?

Desired exchange on which to execute the order.

> - Can you explain what "NoTradingSessions" (tag 386) and "TradingSessionsID" (tag 336) are used for?

To designate a particular market or session within a given exchange (ExDestination). There has been more discussion of this within the the other Discussion forums.

> - Same question for “ProcessCode” (tag81) and “Symbol” (tag 55).
> - what 's the differences between “IDSource” (tag 22) and “SecurityType” (tag 167)?

Process code is for designating "soft dollars" or "step-outs", see Field Definitions entry for its values.
Symbol identifies the security/instrument involved. IDSource/SecurityID can be used in addition for the same purpose, however, Symbol is required.
IDSource identifies the type of SecurityID being used.

> - when is "locateReqd" (tag 114) used?

Orders involving short sales.

> - is "cashOrderQty" (tag 152) calculated in the currency of the market?

CashOrderQty is specified in units of the Currency field specified on order.

>
> - is "currency" (tag 15) the currency of the cash sub-account?

Would be the the security trades in. Use SettlCurrency to designate a "forex accomodation trade" (case in which sellside is performing both a securities and F/X transaction for you).

> - “Iolid” (tag23) : what 's a Iol message?

See "Indication of Interest" message in the spec.

> - why is there a difference between "Maxfloor" and "MaxShow" (tag 210)?

See "Reserve Quantity Orders" in Appendix E of the the latest (20010501) FIX 4.2 Errata.