Imported from previous forum
I have a question regarding orderbook identification in fix. FIX only allows one to specify an instrument with the IDSource field and SecurityID field. In the near future there will be difficulties at least in Europe to identify an orderbook that way. Eg in the SAX system in Stockholm one instrument can be traded in several currencies on several submarkets. Ie it’s impossible to identify an orderbook by the FIX fields available today (if we don’t adopt some kind of own notion of SecurityID an IDSource with our counterpart). The problem will also arise when several companies will trade in the same ISIN code and currencies on several exchanges in europe (which will happen if it already hasn’t). One solution to cope with this would maybe be to allow FIX users to specify at wich market or submarket an order is to be executed. So IDSource,Currency,Market,Submarket fields is used to identify an orderbook. The market field could either be interpreted as Reuters mnemonics or more preferred the MIC code (ISO 10383 market identifier code) or something like that.
This is quite an big issue so maybe it belongs in another forum. But the problem will soon bite us in our backs and it would be nice to find a solution which could work for some years forward.
/Michel
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
I believe most of this was addressed in FIX 4.1.
The 4.1 symbology includes, among other things:
ExDestination - where the order should be routed
SecurityExchange - exchange associated with the security, which may be different from ExDestination
Currency
Work is underway in FIX 4.2 (not yet in Draft 1, should be in Draft 2) to identify some form of trading/crossing session, which I’m thinking may be the “sub-market” you’re talking about.
> I believe most of this was addressed in FIX 4.1.
>
> The 4.1 symbology includes, among other things:
>
> ExDestination - where the order should be routed
>
> SecurityExchange - exchange associated with the security, which may be different from ExDestination
>
> Currency
>
> Work is underway in FIX 4.2 (not yet in Draft 1, should be in Draft 2) to identify some form of trading/crossing session, which I’m thinking may be the “sub-market” you’re talking about.
>
>
– Regarding the last point, the field TradingSessionID was added to the Order-related messages and is included in Draft #1. Under consideration is whether or not (and how) to allow one to specify more than one TradingSessionID on an order request and/or adjustments to TimeInForce.