PegOffsetType

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Imported from previous forum

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Some markets provide brokers with the option to specifiy a percentage of the NBBO spread in Tag 211 for pegged orders. We would like to consume this information on our regulation feed within the PegInstructions component block; however I’m not sure what PegOffsetType to use or whether one might merit consideration to be added to the protocol (i.e., X = Percent of NBBO Spread) given only the following are available:

0 = Price (default)
1 = Basis Points
2 = Ticks
3 = Price Tier / Level

I found a UDF 9641 (PegSpreadPct) but would rather not use UDF’s if possible. Has anyone else had this issue or dealt with this in the past. Any advice would be greatly appreciated.

3

No need to use UDF. Look thru

http://www.fixprotocol.org/specifications/fix4.4fiximate/PegInstructions.html

Some markets provide brokers with the option to specifiy a percentage of the NBBO spread in Tag 211 for pegged orders. We would like to consume this information on our regulation feed within the PegInstructions component block; however I’m not sure what PegOffsetType to use or whether one might merit consideration to be added to the protocol (i.e., X = Percent of NBBO Spread) given only the following are available:

0 = Price (default)
1 = Basis Points
2 = Ticks
3 = Price Tier / Level

I found a UDF 9641 (PegSpreadPct) but would rather not use UDF’s if possible. Has anyone else had this issue or dealt with this in the past. Any advice would be greatly appreciated.