Pre-Opening order informations

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Imported from previous forum

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Hi
We need some information about the way to send using FIX 4.0 the instruction to a Broker for an order that has to be executed only in the pre-opening fase of the Market.
There is a special TAG to be used? We need to use the TimeInForce Tag? In which way?

Thanks for informations.
Martino Brega
mbrega@csc.com
CSC Progetti s.r.l.

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Hi
> We need some information about the way to send using FIX 4.0 the instruction to a Broker for an order that has to be executed only in the pre-opening fase of the Market.
> There is a special TAG to be used? We need to use the TimeInForce Tag? In which way?

I see two ways this can be done:

  1. Use TimeInForce of Good Till Date and specify ExpireTime = the end of the pre-open phase. This can be done in any version of FIX.

  2. In FIX 4.2, brokers have the option of defining enumeration values for TradingSessionID, i.e. NASDAQ_PRE_OPEN, NASDAQ_NORMAL, NASDAQ_EXTENDED_HOURS. You can send, say, NASDAQ_PRE_OPEN in the TradingSessionID repeating group on the order, and use TimeInForce of Day. This means that the order is only valid for this day only, and only may be executed in the pre-open trading session.