PeggedPrice (839)

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Imported from previous forum

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[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
I would appreciate input as to how the PeggedPrice (839) tag is used. The tag applies to Execution Reports only. The definition of the tag indicates that the price of the peg is carried here. We see a need to also relay the relevant displayed price for the order, but find no tag for that purpose. The opposite may be true, i.e. that the tag is used for the displayed price instead, but then we miss the value of the peg.

Example:

  • Assume penny ticks
  1. New Order Single sell order to be pegged at 1 tick above Best Bid but not lower than 10.00:
  • Side (54) = 2 = Sell
  • ExecInst (18) = P = Market peg
  • Price (44) = 10.00 = a limit the order price should not go below
  • PegOffsetValue (211) = 1
  • PegOffsetType (836) = 2 = Ticks
  • PegMoveType (835) = 0 = Floating
  1. Execution Report (partial fill):
  • Price (44) = 10.00 (still contains the limit)
  • LastPx (31) = 10.05 (the trade)
  • PeggedPrice (839) = 10.04 = the value of the Best Bid at the time of the fill (the order filled against a better priced aggressive order)
  • “new display price for the order” (the tag we miss) = 10.05

Please note that Execution Reports, although not generally sent out for every change in the pegged price, can be published unsolicited due to reasons other than a (partial) fill.

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[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Offline discussions indicate that the PeggedPrice (839) tag should contain the price at which the order is displayed. So instead there is currently no place where you could relay the reference price. OMX is currently porposing an additional tag for that purpose (for inclusion in a 4.4 service pack).

Regards

Rikar

I would appreciate input as to how the PeggedPrice (839) tag is used.
The tag applies to Execution Reports only. The definition of the tag
indicates that the price of the peg is carried here. We see a need to
also relay the relevant displayed price for the order, but find no tag
for that purpose. The opposite may be true, i.e. that the tag is used
for the displayed price instead, but then we miss the value of the peg.

Example:

  • Assume penny ticks
  1. New Order Single sell order to be pegged at 1 tick above Best Bid but
    not lower than 10.00:
  • Side (54) = 2 = Sell
  • ExecInst (18) = P = Market peg
  • Price (44) = 10.00 = a limit the order price should not go below
  • PegOffsetValue (211) = 1
  • PegOffsetType (836) = 2 = Ticks
  • PegMoveType (835) = 0 = Floating
  1. Execution Report (partial fill):
  • Price (44) = 10.00 (still contains the limit)
  • LastPx (31) = 10.05 (the trade)
  • PeggedPrice (839) = 10.04 = the value of the Best Bid at the time of
    the fill (the order filled against a better priced aggressive order)
  • “new display price for the order” (the tag we miss) = 10.05

Please note that Execution Reports, although not generally sent out for
every change in the pegged price, can be published unsolicited due to
reasons other than a (partial) fill.