Imported from previous forum
[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
Hi!
Does anybody know which of FIX tag(s) can spesify limit order that should be executed with the one (same) price? 59=IOC or 59=FOK isn’t appropriate.
Please help me asap. Thank you in advance.
[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
Now, I know answer. 
Following combination is used in this purpose:
40=2 (Limit) and 18=b (Strict Limit).
Maybe it will helpful for someone.
Hi! Does anybody know which of FIX tag(s) can spesify limit order that
should be executed with the one (same) price? 59=IOC or 59=FOK isn’t
appropriate.Please help me asap. Thank you in advance.
[ original email was from Greg Wood - gregjwood@hotmail.com ]
An order to be executed without splits in the prices is usually considered a “block” order, i.e. the order is executed with the instruction to complete the entire order at a single price level.
Since it is not possible to guarantee this on most electronic markets without pre-negotiation and block reporting, I’m not aware of any standard instructions in 4.x to specify an order with single price execution only.
Electronic venues that offer block facilitation often use custom tags and/or are designed to only execute an order at a single price.
Regards,
- Greg
Now, I know answer.
40=2 (Limit) and 18=b (Strict Limit).Maybe it will helpful for someone.
Hi! Does anybody know which of FIX tag(s) can spesify limit order that
should be executed with the one (same) price? 59=IOC or 59=FOK isn’t
appropriate.Please help me asap. Thank you in advance.
[ original email was from Vitalina Marynenko - Vitalina_Marynenko@epam.com ]
Greg,
I think block order is not appropriate in this case, because:
- Block order is used to sale or purchase of a large number of securities, but in my case number of securities doesn’t matter, it can be eighter small or large.
- Block orders should be negotiated between two parties, but in my case negotiation is not required.
- As I understand block order is always filled in one transaction, but in my case it doesn’t matter, important order’s feature is only to be executed at the single price level.
Anyway thank you.
An order to be executed without splits in the prices is usually
considered a “block” order, i.e. the order is executed with the
instruction to complete the entire order at a single price level.Since it is not possible to guarantee this on most electronic markets
without pre-negotiation and block reporting, I’m not aware of any
standard instructions in 4.x to specify an order with single price
execution only.Electronic venues that offer block facilitation often use custom tags
and/or are designed to only execute an order at a single price.Regards,
- Greg
Now, I know answer.
40=2 (Limit) and 18=b (Strict Limit).Maybe it will helpful for someone.
Hi! Does anybody know which of FIX tag(s) can spesify limit order
that should be executed with the one (same) price? 59=IOC or 59=FOK
isn’t appropriate.Please help me asap. Thank you in advance.
Have a look at MaxPriceLevels (1090) that was introduced with FIX 5.0 SP1 to prevent an order to execute beyond a pre-defined number of price levels. Setting it to 1 would convey a single price restriction. However, a limit order might be executed at a better price than given in the order. This would still need to be solved otherwise, e.g. ExecInst=b=Strict Limit.
I do wonder why someone would refuse a price improvement
An order to be executed without splits in the prices is usually
considered a “block” order, i.e. the order is executed with the
instruction to complete the entire order at a single price level.Since it is not possible to guarantee this on most electronic markets
without pre-negotiation and block reporting, I’m not aware of any
standard instructions in 4.x to specify an order with single price
execution only.Electronic venues that offer block facilitation often use custom tags
and/or are designed to only execute an order at a single price.Regards,
- Greg
Now, I know answer.
40=2 (Limit) and 18=b (Strict Limit).Maybe it will helpful for someone.
Hi! Does anybody know which of FIX tag(s) can spesify limit order
that should be executed with the one (same) price? 59=IOC or 59=FOK
isn’t appropriate.Please help me asap. Thank you in advance.