Pair

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Imported from previous forum

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Is there a standard way to indicate pair trades, eg simultaneous long and short? What approaches have been adopted?

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Is there a standard way to indicate pair trades, eg simultaneous long and short? What approaches have been adopted?

There are some similar concepts in the FIX protocol.

  1. One can define a multi-leg instrument, where there are both long and short legs. I.e. one can define a butterfly spread, price it, and buy/sell it as if it were one instrument. In this model, the ratio among legs must be guaranteed, i.e. you can get partially filled, but all legs are partially filled, and you can’t have two legs executed but not the third.

  2. If the buy and the sell are happening on the same stock for the same quantity, it’s considered a cross. Later FIX protocol versions have defined methods for crossing orders. In some of the scenarios, market participants can interact with the cross, stepping ahead of part of one side, or taking one whole side.

  3. FIX defines a method to enter list orders. Both of the orders can be sent in one message, and then executed. In this model, there isn’t necessarily interaction between the two orders, and one may fill while the other doesn’t.