Imported from previous forum
Does anyone know if there is a standard for “on cash close” orders for futures?
Cash close is a close of the Cash Exchange(a.k.a. exchange for the underlying product). For example, CashClose for Sp500 futures is 4pm NYSE close, not CME close.
If anyone can let me know which tags/values should be used, it would be appreciated.
Thanks,
My view is that this is a condition under which an order is supposed to become active. You do not say if such orders are to be matched by means of an auction or if they should merely become tradable at 4pm.
I would model this by using the component. TriggerAction (1101) would be 1=Activate. TriggerType (1100) currently offers value 2=Specified Trading Session which requires you to also use TriggerTradingSessionID (1113) 1=Day and TriggerTradingSessionSubID (1114) 4=Closing.
It could make sense to make things a little easier when all you need to say is that the order should become active when the underlying closes. This can be achieved by extending the standard field TriggerType with a new value TBD=Close of Underlying. Please note that this field does not allow user-defined enum values, i.e. a new standard value would be required.
Such a solution obviously requires the venue, e.g. CME, to receive underlying status information in real time to automatically execute such a trigger. If your process is more manual, then maybe also EffectiveTime (168) suffices but that limits you to a certain time, e.g. 4pm and requires the sender to always know the actual time when the underlying closes. The trigger component is the better, generic construct for your requirement.
Regards,
Hanno.
Does anyone know if there is a standard for “on cash close” orders for futures?
Cash close is a close of the Cash Exchange(a.k.a. exchange for the underlying product). For example, CashClose for Sp500 futures is 4pm NYSE close, not CME close.
If anyone can let me know which tags/values should be used, it would be appreciated.
Thanks,
In order to keep this simple, is it advisable to use TradingSessionID (tag 336) in FIX 4.2 to send these instructions to broker desk (NO DMA FLOW) via some user defined values? This should eliminate the additional call from buy side trader to sell side trader and will also eliminate the need for buy side traders to expliclity put this in instructions/note field.
My view is that this is a condition under which an order is supposed to become active. You do not say if such orders are to be matched by means of an auction or if they should merely become tradable at 4pm.
I would model this by using the component. TriggerAction (1101) would be 1=Activate. TriggerType (1100) currently offers value 2=Specified Trading Session which requires you to also use TriggerTradingSessionID (1113) 1=Day and TriggerTradingSessionSubID (1114) 4=Closing.
It could make sense to make things a little easier when all you need to say is that the order should become active when the underlying closes. This can be achieved by extending the standard field TriggerType with a new value TBD=Close of Underlying. Please note that this field does not allow user-defined enum values, i.e. a new standard value would be required.
Such a solution obviously requires the venue, e.g. CME, to receive underlying status information in real time to automatically execute such a trigger. If your process is more manual, then maybe also EffectiveTime (168) suffices but that limits you to a certain time, e.g. 4pm and requires the sender to always know the actual time when the underlying closes. The trigger component is the better, generic construct for your requirement.
Regards,
Hanno.Does anyone know if there is a standard for “on cash close” orders for futures?
Cash close is a close of the Cash Exchange(a.k.a. exchange for the underlying product). For example, CashClose for Sp500 futures is 4pm NYSE close, not CME close.
If anyone can let me know which tags/values should be used, it would be appreciated.
Thanks,
This might be the best solution for a FIX 4.2 context even if TradingSessionID is meant to be about sessions on the execution venue to which the order was sent and not about sessions on another market, in this case the underlying market.
TradingSessionID is one of the few exceptions where a field in the ExecutionReport also exists on the order entry message but has a different semantic. Upon order entry, you specify one or more trading sessions for which the order should be active. The ER does not have it as a repeating group and you are supposed to convey the trading session during which you send the ER. An echo of the input value(s) is not intended.
This requires you to deviate slightly from FIX if you want to convey “on cash close” in the ER to echo back the input value (or on drop copies). All in all it still seems to be the best compromise for 4.2.
In order to keep this simple, is it advisable to use TradingSessionID (tag 336) in FIX 4.2 to send these instructions to broker desk (NO DMA FLOW) via some user defined values? This should eliminate the additional call from buy side trader to sell side trader and will also eliminate the need for buy side traders to expliclity put this in instructions/note field.
My view is that this is a condition under which an order is supposed to become active. You do not say if such orders are to be matched by means of an auction or if they should merely become tradable at 4pm.
I would model this by using the component. TriggerAction (1101) would be 1=Activate. TriggerType (1100) currently offers value 2=Specified Trading Session which requires you to also use TriggerTradingSessionID (1113) 1=Day and TriggerTradingSessionSubID (1114) 4=Closing.
It could make sense to make things a little easier when all you need to say is that the order should become active when the underlying closes. This can be achieved by extending the standard field TriggerType with a new value TBD=Close of Underlying. Please note that this field does not allow user-defined enum values, i.e. a new standard value would be required.
Such a solution obviously requires the venue, e.g. CME, to receive underlying status information in real time to automatically execute such a trigger. If your process is more manual, then maybe also EffectiveTime (168) suffices but that limits you to a certain time, e.g. 4pm and requires the sender to always know the actual time when the underlying closes. The trigger component is the better, generic construct for your requirement.
Regards,
Hanno.Does anyone know if there is a standard for “on cash close” orders for futures?
Cash close is a close of the Cash Exchange(a.k.a. exchange for the underlying product). For example, CashClose for Sp500 futures is 4pm NYSE close, not CME close.
If anyone can let me know which tags/values should be used, it would be appreciated.
Thanks,