Imported from previous forum
Good day,
Millennium markets and Xetra (at least) let the possibility to specify some restrictions on passive orders. For example, the order should only be accepted if it sets a new BBO; it can also be if it is within a specific price level or a specific quantity level (TOP+ orders on Xetra).
I didn’t find any standard FIX tags/values to specify these restrictions but I may miss an extension pack. Do you know if the FIX protocol has already standardized these behaviours or if it will?
Regards,
Xavier.
You can use ExecInst(18) = 6 (Participate don’t initiate) to require an incoming order to become passive and reject otherwise. This can also be called “book or cancel”. Another option may be an extension of the TriggeringInstruction component which already has TriggerType=“On order entry”, TriggerAction=Cancel, TriggerScope=“This Order” but is lacking additional attributes to make the deletion conditional. It was added with EP100 and intends to avoid multiple “identical” orders by automatically cancelling resting orders upon entry of a new order, i.e. emulating quoting behaviour. Obviously TriggerScope then has to be set to something other than “This Order” 
Regards,
Hanno.
Good day,
Millennium markets and Xetra (at least) let the possibility to specify some restrictions on passive orders. For example, the order should only be accepted if it sets a new BBO; it can also be if it is within a specific price level or a specific quantity level (TOP+ orders on Xetra).
I didn’t find any standard FIX tags/values to specify these restrictions but I may miss an extension pack. Do you know if the FIX protocol has already standardized these behaviours or if it will?
Regards,
Xavier.