Imported from previous forum
I am looking for information on custom FIX extensions to support looks and request for looks in FIX. Has anybody implemented this or is dealing with a broker who offers this? What message types and custom fields have you used? Has there been a previous call to one of the committees for the implementation of look functionality in FIX? I can think of various hacks to implement looks within the current FIX specification(s), but if there are already commonly used hacks, I’d rather use a common hack than making up my own.
For the uninitiated who are wondering what this is about: The term ‘Look’ is NYSE lingo. A look is a quick update from a floor broker to an upstairs trader or customer on the activity in a particular security at a particular point in time. A customer may be considering a trade, and get some ‘market color’ before placing an order. He may want to know who’s in the market for security XYZ, who’s been buying/selling and in what sizes, and what’s suspected to be in the bush. The floor broker, who’s been hanging around the specialist’s post all day, will respond to a request for look with a freeform message in a kind of shorthand. The customer will consider this information when determining the exact shape of the order and any execution instructions.
Dieter