Order "Type"

, ,
1

Imported from previous forum

2

How can I identify an ‘Iceberg’ (Hidden) order and an ‘At Best’ order into a FIX message (version 4.2)?
What tags and values must be used?

Thanks in advance

3

Iceberg orders are called reserve orders in FIX and were introduced with FIX 5.0 by means of the component . It is not an order type per se in FIX but the existence of the trigger fields defines certain requested behaviour. FIX 4.2 does not support it. You can use custom fields modeled after what is available with FIX 5.0 if you are unable to move your counterparty to move to FIX 5.0. After all, FIX 4.2 is now more than eight years old…

What is the functionality you need to cover with “At best”? FIX 4.4 offers the value Z=“Cancel if not best” for the field ExecInst (18). FIX 5.0 offers the value k=“Best Execution” for the same field. Maybe one of these values works for you. ExecInst should be the right field for this.

Regards,
Hanno.

How can I identify an ‘Iceberg’ (Hidden) order and an ‘At Best’ order
into a FIX message (version 4.2)? What tags and values must be used?

Thanks in advance

4

As far as I know Iceberg orders can be represented in FIX 4.2 using tags MaxFloor(111) and MaxShow(210) - please see Appendix E, “Reserve Quantity” Orders of FIX 4.2 specification.

From FIX 5.0 this can be done more flexibly (i.e. more parameters can be specified, not only quantity to show) using block .

How can I identify an ‘Iceberg’ (Hidden) order and an ‘At Best’ order
into a FIX message (version 4.2)? What tags and values must be used?

Thanks in advance

5

Block name is “DisplayInstruction” :slight_smile:

As far as I know Iceberg orders can be represented in FIX 4.2 using tags
MaxFloor(111) and MaxShow(210) - please see Appendix E, “Reserve
Quantity” Orders of FIX 4.2 specification.

From FIX 5.0 this can be done more flexibly (i.e. more parameters can be
specified, not only quantity to show) using block .

How can I identify an ‘Iceberg’ (Hidden) order and an ‘At Best’ order
into a FIX message (version 4.2)? What tags and values must be used?

Thanks in advance

6

Thanks for catching that error, I was apparently somewhere else with my thoughts when writing the post…

And yes, MaxFloor and MaxShow can be used for simple reserve orders already in 4.2. The reason I did not mention it is that both fields have been deprecated in FIX 5.0. I would not recommend to introduce new functionality based on fields known to have been deprecated. This makes a later transition to higher versions of FIX harder. If there is a choice I would always try to go for the current representation even within an older version of FIX.

MaxFloor was replaced by DisplayQty (1138) and is the main field for reserve orders. MaxShow was replaced by SecondaryDisplayQty (1082) and allows to specify a second quantity to be applied to the visibility of an order on a market other than the primary market.

Regards,
Hanno.

Block name is “DisplayInstruction” :slight_smile:

As far as I know Iceberg orders can be represented in FIX 4.2 using
tags MaxFloor(111) and MaxShow(210) - please see Appendix E, “Reserve
Quantity” Orders of FIX 4.2 specification.

From FIX 5.0 this can be done more flexibly (i.e. more parameters can
be specified, not only quantity to show) using block
.

How can I identify an ‘Iceberg’ (Hidden) order and an ‘At Best’
order into a FIX message (version 4.2)? What tags and values must
be used?

Thanks in advance