Imported from previous forum
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Many buy-side OMSs have problems dealing with “many” fills on a list order. As such some buy-sides have to make a request to their sell-sides - out-of-band - to aggregate or throttle fills. Has anyone ever implemented this within a custom tag on a 35=E message or is this always handled out-of-band?
Specifically, for some lists the buy-side would want to receive all fills in real time in a volatile market but may not want all the fills when dealing a pretty ‘vanilla’ list of liquid names. I was wondering if this was ever handled by a custom tag - send fills/don’t send fills.
[ original email was from Billy Zhao - billy.zhao@db.com ]
> Many buy-side OMSs have problems dealing with “many” fills on a list
order. As such some buy-sides have to make a request to their sell-sides
- out-of-band - to aggregate or throttle fills. Has anyone ever
implemented this within a custom tag on a 35=E message or is this always
handled out-of-band?Specifically, for some lists the buy-side would want to receive all
fills in real time in a volatile market but may not want all the fills
when dealing a pretty ‘vanilla’ list of liquid names. I was wondering if
this was ever handled by a custom tag - send fills/don’t send fills.
definitely not at my current firm or at the previous broker I was at. throttle/aggregate/delayed fills was done via a session/client specific configuration on the trading system. it was an all-or-nothing condition. I’ve not seen this functionality requested that much, and in the 2 or 3 instance where it was, all were due to the same buy-side OMS’s inability to handle large number of executions.