Imported from previous forum
[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
NYSE has a deadline of 3:40 p.m. for the entry of all MOC/LOC orders in all stocks on all trading days except for:
Case 1:
The orders entered to offset imbalance publications
Case 2:
If a regulatory halt is in effect on either side of the market
at 3:40 p.m.
Csse 3:
to correct a legitimate error (e.g., side, size, symbol, price or duplication of an order).
Does FIX4.2 support any tags to indicate the above listed scenarios in new/cxlrepl messages ?
- Sreedhar
[ original email was from John Prewett - jprewett@lavatrading.com ]
Hi Sreedhar,
To my knowledge, there are no tags required to enable late submission of MOC/LOC orders. NYSE will accept all “late” MOC/LOC orders and their compliance department will contact you after the fact if your requests were deemed to be in violation of the rules. The onus is on your systems to ensure compliance.
You can request an MOC filter be applied to your FCS sessions (and presumably the same facility is offered to FIX sessions) such that late MOC/LOC orders will be rejected. From ancient memory cells, I seem to remember that this filter cannot be relied upon as it only rejects late MOC/LOC New Order requests and doesn’t reject late Cancel/Replace and Cancel MOC/LOC requests. My memory may well be incorrect on these points and/or the filter could have been upgraded in recent times.
The reason I have no current knowledge about this filter is that Lava built sufficient intelligence into its system to handle adequate control of late MOC/LOC requests without relying upon the NYSE filter.
If you are submitting orders via Lava and need to know how to control “late” MOC/LOC submission, please contact your Lava support representative.
To request a copy of the NYSE FIX specification you must send a request to “CAPINFO@NYSE.com”.
I hope this helps.
John Prewett
NYSE has a deadline of 3:40 p.m. for the entry of all MOC/LOC orders in all stocks on all trading days except for:
Case 1: The orders entered to offset imbalance publications
Case 2: If a regulatory halt is in effect on either side of the market
at 3:40 p.m.Csse 3: to correct a legitimate error (e.g., side, size, symbol, price
or duplication of an order).Does FIX4.2 support any tags to indicate the above listed scenarios in
new/cxlrepl messages ?
- Sreedhar
[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
John,
Thanks for your quick response.
Our OMS engine uses NYSE/CME interface which does not have any MOC/LOC filter in-place. So, the onus is on our OMS engine to filter out all MOC/LOC orders unless they fall into exceptional categeories listed below.
Our clients connect to our OMS via FIX4.2 interface and we would like to provide them a way to send MOC/LOC orders after 3:40PM ,in case of exceptions. We are looking for standard FIX tags to use to identify in-coming “exceptional” MOC/LOC orders from our clients so that they don’t get filtered out as regular MOC/LOC orders. If none exists, we may have to come up with custom tags.
Hi Sreedhar,
My knowledge is primarily based upon the FCS interface. I
believe the FIX interface operates in a similar manner. I am sure that
any NYSE representative who notices incorrect information being
disseminated will steer us all in the right direction. </END DISCLAIMER>To my knowledge, there are no tags required to enable late submission of
MOC/LOC orders. NYSE will accept all “late” MOC/LOC orders and their
compliance department will contact you after the fact if your requests
were deemed to be in violation of the rules. The onus is on your systems
to ensure compliance.You can request an MOC filter be applied to your FCS sessions (and
presumably the same facility is offered to FIX sessions) such that late
MOC/LOC orders will be rejected. From ancient memory cells, I seem to
remember that this filter cannot be relied upon as it only rejects late
MOC/LOC New Order requests and doesn’t reject late Cancel/Replace and
Cancel MOC/LOC requests. My memory may well be incorrect on these points
and/or the filter could have been upgraded in recent times.The reason I have no current knowledge about this filter is that Lava
built sufficient intelligence into its system to handle adequate control
of late MOC/LOC requests without relying upon the NYSE filter.If you are submitting orders via Lava and need to know how to control
“late” MOC/LOC submission, please contact your Lava support
representative.To request a copy of the NYSE FIX specification you must send a request
to “CAPINFO@NYSE.com”.I hope this helps.
John Prewett
NYSE has a deadline of 3:40 p.m. for the entry of all MOC/LOC orders
in all stocks on all trading days except for:Case 1: The orders entered to offset imbalance publications
Case 2: If a regulatory halt is in effect on either side of the market
at 3:40 p.m.Csse 3: to correct a legitimate error (e.g., side, size, symbol, price
or duplication of an order).Does FIX4.2 support any tags to indicate the above listed scenarios in
new/cxlrepl messages ?
- Sreedhar
[ original email was from John Prewett - jprewett@lavatrading.com ]
Hi Sreedhar,
Lava uses custom tags as there are (to my knowledge) no standard tags that exist for this purpose. You could create your own custom tags as well.
If all you want to do is to specify a boolean override flag to force acceptance of a late MOC/LOC request, you could also consider a custom ExecInst value - although this is fraught with problems as nowadays there are no unused single character values. Using ExecInst instead of a custom tag would typically be easier because most FIX engines don’t do such strict job validating data values as they do on tag numbers.
I hope this helps.
John Prewett
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> If all you want to do is to specify a boolean override flag to force
acceptance of a late MOC/LOC request, you could also consider a custom
ExecInst value - although this is fraught with problems as nowadays
there are no unused single character values. Using ExecInst instead of a
custom tag would typically be easier because most FIX engines don’t do
such strict job validating data values as they do on tag numbers.
FYI, there are plenty of unused single character ExecInst values still available. Most of the remaining values are lower case letters.
However, creating a custom ExecInst is dangerous. There is no standard way to assign user-defined enumerations for it. Grabbing a tag and using it incurs the possibility that somewhere down the line, that enumeration value will be assigned for another purpose.
[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
I will stick to the custom tags.
Thanks for the advice.
If all you want to do is to specify a boolean override flag to force
acceptance of a late MOC/LOC request, you could also consider a custom
ExecInst value - although this is fraught with problems as nowadays
there are no unused single character values. Using ExecInst instead of
a custom tag would typically be easier because most FIX engines don’t
do such strict job validating data values as they do on tag numbers.FYI, there are plenty of unused single character ExecInst values still
available. Most of the remaining values are lower case letters.However, creating a custom ExecInst is dangerous. There is no standard
way to assign user-defined enumerations for it. Grabbing a tag and using
it incurs the possibility that somewhere down the line, that enumeration
value will be assigned for another purpose.