Pair order delivery

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Imported from previous forum

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Brief question : Have pair orders ever been delivered via a new order message. If so, what tags have been used to id the other element of the pair, the currencies, spread, limit above or below etc. Also, how are the acks, exes etc. structured.

Many thanks
Andrew Powell
ING Wholesale Banking
+44 207 767 8219

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Brief question : Have pair orders ever been delivered via a new order
message. If so, what tags have been used to id the other element of the
pair, the currencies, spread, limit above or below etc. Also, how are
the acks, exes etc. structured.

Many thanks Andrew Powell ING Wholesale Banking +44 207 767 8219

I have yet to see an interface specification for a pairs algorithm. I would think that a NewOrder-Multileg message is better suited for pairs trading - unless you want to get into using a Security Definition Req where you can consolidate the pair of securities and then issue a Single Order - New message. This might not be a fit for the workflow you are considering.

-Greg

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Brief question : Have pair orders ever been delivered via a new order
message. If so, what tags have been used to id the other element of the
pair, the currencies, spread, limit above or below etc. Also, how are
the acks, exes etc. structured.

Many thanks Andrew Powell ING Wholesale Banking +44 207 767 8219

Hi Andy
I have a sample how pairs of legs are sent.
Strat Order

Normal new order tags plus+
167 = Security type.
555 = 2 No of legs
600 = Leg Simbol
610 = Leg MaturityMonth/Year
608 = Leg CF Code
623 = Leg RatioQty
624 = Side 1=buy 2=Sell like Tag 54

If you have 2 legs then you will see these tags 2 times in one fix msg.

07966 288 539

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[ original email was from Roseate L. Wagner - roseate@exchange.ml.com ]
Has below sample been implemented in production anywhere?

would like to see an industry standard approach for such multi-leg algorithm implementation.

any thoughts to share would be apprieciated.

Thanks!

Brief question : Have pair orders ever been delivered via a new order
message. If so, what tags have been used to id the other element of
the pair, the currencies, spread, limit above or below etc. Also, how
are the acks, exes etc. structured.

Many thanks Andrew Powell ING Wholesale Banking +44 207 767 8219

Hi Andy I have a sample how pairs of legs are sent. Strat Order

Normal new order tags plus+ 167 = Security type. 555 = 2 No of legs 600
= Leg Simbol 610 = Leg MaturityMonth/Year 608 = Leg CF Code 623 = Leg
RatioQty 624 = Side 1=buy 2=Sell like Tag 54

If you have 2 legs then you will see these tags 2 times in one fix msg.

07966 288 539

6

Due to the complexity of issues related to handling Pairs via FIX; such as:

  • how to submit the order that consists two different stocks; and different side?
  • how to report on executions back to client; for the two stocks separately?
  • how to amend the orders? and how to cancel them?

The approach we have taken at Macquarie Securities is to allow our client to send two orders seperately via FIX. Each order is a strategy order; identified by user defined tags (i.e. strategyID defined by 6061=PAIRS, pairsID defined as 6088=XYZ). Those orders are delivered to the OMS via FIX; and algo will pick the two seperate orders and link them together by the tag 6088=XYZ.

Executions will flow back to client via FIX; making it easy for client to monitor the changes on each stock.

Also; if client cancels one of the orders; the other one will be cancelled automatically. Same deal with amend.

Ismail.
Macquarie Securities (Hong Kong).

Has below sample been implemented in production anywhere?

would like to see an industry standard approach for such multi-leg
algorithm implementation.

any thoughts to share would be apprieciated.

Thanks!

Brief question : Have pair orders ever been delivered via a new
order message. If so, what tags have been used to id the other
element of the pair, the currencies, spread, limit above or below
etc. Also, how are the acks, exes etc. structured.

Many thanks Andrew Powell ING Wholesale Banking +44 207 767 8219

Hi Andy I have a sample how pairs of legs are sent. Strat Order

Normal new order tags plus+ 167 = Security type. 555 = 2 No of
legs 600
= Leg Simbol 610 = Leg MaturityMonth/Year 608 = Leg CF Code 623 = Leg
RatioQty 624 = Side 1=buy 2=Sell like Tag 54

If you have 2 legs then you will see these tags 2 times in one
fix msg.

07966 288 539