NYSE Closing Offset Order

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1

Imported from previous forum

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Has there been any industry consensus as to what fix tags will be used to support this new NYSE Closing offset order type?

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Could you post a short description of it? Thanks.

Has there been any industry consensus as to what fix tags will be used
to support this new NYSE Closing offset order type?

4

i think i found the answer i was looking for. see the attached link -
http://www.nyse.com/pdfs/ClosingOffsetOrder_20091116.pdf

Could you post a short description of it? Thanks.

Has there been any industry consensus as to what fix tags will be used
to support this new NYSE Closing offset order type?

5

NYSE is apparently using a user-defined field (9487 RoutingInstruction) with a value of “CO”. I do not see the routing element of an order that is valid for the imbalance of the closing auction only but as they use a UDF, it is outside of the standard anyway.

NYSE permits only 0=Day for 59 TimeInForce of closing offset orders. I would argue that 7=At the Close is a better value. I believe NYSE currently uses TimeInForce=2=At the Opening for the opening auction and TimeInForce=0=Day + OrdType (40) for the closing auction with OrdType values 5=Market on Close and A=On Close which are no longer used. The difference in approach for opening and closing auctions does not seem intuitive and is only supported in older FIX versions. It was deprecated with FIX 4.3 in Aug 2001.

In my view, the standard approach to orders only allowed to match the opposite side of the imbalance during the closing auction would be to use TimeInForce=7=At the Close together with tag 18 ExecInst=i=Imbalance only. This was added to FIX 5.0 and is formally not part of FIX 4.2 used by NYSE. However, it is still better to use a standard message/field/value from a higher FIX version than to go for a user-defined field.

i think i found the answer i was looking for. see the attached link -
http://www.nyse.com/pdfs/ClosingOffsetOrder_20091116.pdf

Could you post a short description of it? Thanks.

Has there been any industry consensus as to what fix tags will be
used to support this new NYSE Closing offset order type?

6

We think “use TimeInForce=7=At the Close together with tag 18 ExecInst=i=Imbalance” is an excellent idea. We will require our customers/vendors to send in tag 59= 7 and tag 18 = i for this type of orders.

Thanks,

Jue Wang

NYSE is apparently using a user-defined field (9487 RoutingInstruction)
with a value of “CO”. I do not see the routing element of an order that
is valid for the imbalance of the closing auction only but as they use a
UDF, it is outside of the standard anyway.

NYSE permits only 0=Day for 59 TimeInForce of closing offset orders. I
would argue that 7=At the Close is a better value. I believe NYSE
currently uses TimeInForce=2=At the Opening for the opening auction and
TimeInForce=0=Day + OrdType (40) for the closing auction with OrdType
values 5=Market on Close and A=On Close which are no longer used. The
difference in approach for opening and closing auctions does not seem
intuitive and is only supported in older FIX versions. It was deprecated
with FIX 4.3 in Aug 2001.

In my view, the standard approach to orders only allowed to match the
opposite side of the imbalance during the closing auction would be to
use TimeInForce=7=At the Close together with tag 18 ExecInst=i=Imbalance
only. This was added to FIX 5.0 and is formally not part of FIX 4.2 used
by NYSE. However, it is still better to use a standard
message/field/value from a higher FIX version than to go for a user-
defined field.

i think i found the answer i was looking for. see the attached link -
http://www.nyse.com/pdfs/ClosingOffsetOrder_20091116.pdf

Could you post a short description of it? Thanks.

Has there been any industry consensus as to what fix tags will be
used to support this new NYSE Closing offset order type?

7

Jue,

I appreciate your feedback. Standards are only as good as they are being used consistently. The FPL forums allow to discuss usage guidelines and promote harmonization (standardize the standard) by sharing opinions and information.

Regards,
Hanno.

We think “use TimeInForce=7=At the Close together with tag 18
ExecInst=i=Imbalance” is an excellent idea. We will require our
customers/vendors to send in tag 59= 7 and tag 18 = i for this type
of orders.

Thanks,

Jue Wang