Order Types correspondances

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1

Imported from previous forum

2

Hello,

What would be the FIX equivalents to the following order validity:

  • MARKET TO LIMIT
  • PREFERRED LIMIT
  • OPEN
  • BEST LMT (Best limit on the same side)

Thank you in advance.

Regards,

Jérôme Barthe

3

Hi Jérôme,

> What would be the FIX equivalents to the
> following order validity:
>
> - MARKET TO LIMIT
> - PREFERRED LIMIT
> - OPEN
> - BEST LMT (Best limit on the same side)

In the NewOrderSingle message (MsgType=D), there are two character fields, which can have the following values (as of FIX 4.4):

OrdType(40) - required:
1 : Market
2 : Limit
3 : Stop
4 : Stop limit
5 : Market on close (No longer used)
6 : With or without
7 : Limit or better (Deprecated)
8 : Limit with or without
9 : On basis
A : On close (No longer used)
B : Limit on close (No longer used)
C : Forex - Market (No longer used)
D : Previously quoted
E : Previously indicated
F : Forex - Limit (No longer used)
G : Forex - Swap
H : Forex - Previously Quoted (No longer used)
I : Funari (Limit Day Order with unexecuted portion handled as Market On Close. E.g. Japan)
J : Market If Touched (MIT)
K : Market with Leftover as Limit (market order then unexecuted quantity becomes limit order at last price)
L : Previous Fund Valuation Point (Historic pricing) (for CIV)
M : Next Fund Valuation Point -(Forward pricing) (for CIV)
P : Pegged

TimeInForce(59):
0 : Day (or session)
1 : Good Till Cancel (GTC)
2 : At the Opening (OPG)
3 : Immediate or Cancel (IOC)
4 : Fill or Kill (FOK)
5 : Good Till Crossing (GTX)
6 : Good Till Date
7 : At the Close

Have a look at the Glossary for business terms at the end of volume 1 of FIX 4.4 specification for explanation of the different values. You have probably to combine the two fields to get the desired results.

Which exchange/ECN do you refer to? Perhaps you can describe the meaning of the different order validities, which makes easier for the other people to find matching FIX fields.

Regards, Jörg

4

Thank you very much Jörg,

I was refering to different cash markets, amongst them: Euronext, Sets, Xetra, Affari, Sibe, Nyse and Nasdaq.

Indeed, for the "Open" order validity at least, the field 59 seems necessary.

The Best Limit order type corresponds to the best limit on the same side. I matched the FIX order type Limit or Better (tag 40=7).

The market to limit might correspond to the Market with leftover as Limit (tag 40=K).

As for PREFERRED LIMIT, I unfortunately do not know the exact meaning.

Regards,

Jérôme
> Hi Jérôme,
>
> > What would be the FIX equivalents to the
> > following order validity:
> >
> > - MARKET TO LIMIT
> > - PREFERRED LIMIT
> > - OPEN
> > - BEST LMT (Best limit on the same side)
>
> In the NewOrderSingle message (MsgType=D), there are two character fields, which can have the following values (as of FIX 4.4):
>
> OrdType(40) - required:
> 1 : Market
> 2 : Limit
> 3 : Stop
> 4 : Stop limit
> 5 : Market on close (No longer used)
> 6 : With or without
> 7 : Limit or better (Deprecated)
> 8 : Limit with or without
> 9 : On basis
> A : On close (No longer used)
> B : Limit on close (No longer used)
> C : Forex - Market (No longer used)
> D : Previously quoted
> E : Previously indicated
> F : Forex - Limit (No longer used)
> G : Forex - Swap
> H : Forex - Previously Quoted (No longer used)
> I : Funari (Limit Day Order with unexecuted portion handled as Market On Close. E.g. Japan)
> J : Market If Touched (MIT)
> K : Market with Leftover as Limit (market order then unexecuted quantity becomes limit order at last price)
> L : Previous Fund Valuation Point (Historic pricing) (for CIV)
> M : Next Fund Valuation Point -(Forward pricing) (for CIV)
> P : Pegged
>
> TimeInForce(59):
> 0 : Day (or session)
> 1 : Good Till Cancel (GTC)
> 2 : At the Opening (OPG)
> 3 : Immediate or Cancel (IOC)
> 4 : Fill or Kill (FOK)
> 5 : Good Till Crossing (GTX)
> 6 : Good Till Date
> 7 : At the Close
>
> Have a look at the Glossary for business terms at the end of volume 1 of FIX 4.4 specification for explanation of the different values. You have probably to combine the two fields to get the desired results.
>
> Which exchange/ECN do you refer to? Perhaps you can describe the meaning of the different order validities, which makes easier for the other people to find matching FIX fields.
>
> Regards, Jörg
>
>
>