Previously Quoted Order Types

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1

Imported from previous forum

2

[ original email was from Natan Kugel - nkugel@espeed.com ]
Dear all:
Is anybody using previously quoted - D and Forex Previously quoted - H order types? FYI, H - Forex Previously quoted has been deprecated in favor of D - previously quoted.
My concern is that Orders of this type would not require a price to be submitted as it can refer to previous quote or market data message. Has anybody dealt with this or any other issues related to this order type?
I thank you in advance for kind attention to this matter.
Natan

3

[ original email was from Natan Kugel - nkugel@espeed.com ]
> Dear all: Is anybody using previously quoted - D and Forex Previously

quoted - H order types? FYI, H - Forex Previously quoted has been
deprecated in favor of D - previously quoted. My concern is that Orders
of this type would not require a price to be submitted as it can refer
to previous quote or market data message. Has anybody dealt with this or
any other issues related to this order type? I thank you in advance for
kind attention to this matter. Natan

I am very hesitant to implement previously quoted orders (tag 40 (OrdType) is equal to D) in a way to require a price.  Then there is a question on usage of tag 117 (QuoteID).  

If tag 117 used for informational purposes, it can be ignored.  However, if we do it, it is really a limit order, unless there is a business driver s.a. discounted price etc.

My take for a proper implementation of previously quoted orders would be to either refer to the price in the quote or do price verification (check if price specified in the order matches price in the quote referred).

If price in the quote does not match price in the order, course of action needs to be determined by the business.

    I am looking for a more information.

    I thank you in advance.

    Natan
4

[ original email was from Natan Kugel - nkugel@espeed.com ]
> > Dear all: Is anybody using previously quoted - D and Forex Previously

quoted - H order types? FYI, H - Forex Previously quoted has been
deprecated in favor of D - previously quoted. My concern is that
Orders of this type would not require a price to be submitted as it
can refer to previous quote or market data message. Has anybody dealt
with this or any other issues related to this order type? I thank you
in advance for kind attention to this matter. Natan

    I am very hesitant to implement previously quoted orders (tag 40
    (OrdType) is equal to D) in a way to require a price. Then there
    is a question on usage of tag 117 (QuoteID).

    If tag 117 used for informational purposes, it can be ignored.
    However, if we do it, it is really a limit order, unless there
    is a business driver s.a. discounted price etc.

    My take for a proper implementation of previously quoted orders
    would be to either refer to the price in the quote or do price
    verification (check if price specified in the order matches
    price in the quote referred).

    If price in the quote does not match price in the order, course
    of action needs to be determined by the business.

    I am looking for a more information.

    I thank you in advance.

    Natan

One more crucial piece. The scenario that is refered, previously quoted order type would be result of market data message.

5

[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
> > > Dear all: Is anybody using previously quoted - D and Forex

Previously quoted - H order types? FYI, H - Forex Previously quoted
has been deprecated in favor of D - previously quoted. My concern
is that Orders of this type would not require a price to be
submitted as it can refer to previous quote or market data message.
Has anybody dealt with this or any other issues related to this
order type? I thank you in advance for kind attention to this
matter. Natan

    I am very hesitant to implement previously quoted orders (tag
    40 (OrdType) is equal to D) in a way to require a price. Then
    there is a question on usage of tag 117 (QuoteID).

    If tag 117 used for informational purposes, it can be ignored.
    However, if we do it, it is really a limit order, unless there
    is a business driver s.a. discounted price etc.

    My take for a proper implementation of previously quoted
    orders would be to either refer to the price in the quote or
    do price verification (check if price specified in the order
    matches price in the quote referred).

    If price in the quote does not match price in the order,
    course of action needs to be determined by the business.

    I am looking for a more information.

    I thank you in advance.

    Natan

One more crucial piece. The scenario that is refered, previously quoted
order type would be result of market data message.

Taking an extract from the FX Gap Analysis:
When an order is initiated as a result of a request for quote or streaming price, the QuoteID is used to reference the price quote in both cases.
The QuoteID would contain the dealer provided QuoteID from the Quote message or the QuoteEntryID from the MarketDataSnapshot or MarketDataIncrement messages. The OrdType (40) would specify “previously quoted”.

Note that the main business model analysed was bank to client rather than an exchange/ECN models which are getting some attention in the FX Phase 2 analysis. I don’t see anything wrong with including 44= on previously quoted orders where the value of 44= is validated against the price on the quote or market data message.

6

[ original email was from John Falvey - jffalvey@statestreet.com ]

I have a similar need for previously quoted trades. I am looking for the proper fields to use to specify the spot and forward points for new order singles and new order singles for swaps. Using tag 44 only gives the all in rate for the spot trade or the near leg. I can not find an appropriate set of tags this data in the 4.4 spec.

The tags I am lookin for in new order single are
spot rate
fwd pts
far spot rate
Far fwd pts

Thanks

John

7

[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
>

I have a similar need for previously quoted trades. I am looking for the
proper fields to use to specify the spot and forward points for new
order singles and new order singles for swaps. Using tag 44 only gives
the all in rate for the spot trade or the near leg. I can not find an
appropriate set of tags this data in the 4.4 spec.

The tags I am lookin for in new order single are spot rate fwd pts far
spot rate Far fwd pts

Thanks

John

The “number 2” tags which enabled basic swaps using the new order single message have been deprecated. New order mutli-leg is the recomended way to do swaps. FIX5.0 has all the tags that you need, for example, 1067 LegBidForwardPoints and 1068 LegOfferForwardPoints.

There are some examples in the Gap Analysis document which will hopefully help.

Regards,
Jay

8

[ original email was from John Falvey - jffalvey@statestreet.com ]
> >

I have a similar need for previously quoted trades. I am looking for
the proper fields to use to specify the spot and forward points for
new order singles and new order singles for swaps. Using tag 44 only
gives the all in rate for the spot trade or the near leg. I can not
find an appropriate set of tags this data in the 4.4 spec.

The tags I am lookin for in new order single are spot rate fwd pts far
spot rate Far fwd pts

Thanks

John

The “number 2” tags which enabled basic swaps using the new order single
message have been deprecated. New order mutli-leg is the recomended way
to do swaps. FIX5.0 has all the tags that you need, for example, 1067
LegBidForwardPoints and 1068 LegOfferForwardPoints.

There are some examples in the Gap Analysis document which will
hopefully help.

Regards, Jay

There are two problems with new order multileg I see. Firstly the parties I deal with are FIX 4.2 and 4.4 based and do not support FIX 5.0 and will not for sometime. Secondly, and more importantly I am using new order lists. The new order multileg tags are not available in the list object. (See my post about why I am using the new order list http://fixprotocol.org/discuss/read/11d99175)

Is there an appropriate set of tags or am I destined to use custom tags?

John

John

9

[ original email was from Onakr Parulekar - orp.it@ads-securities.com ]
> > > > Dear all: Is anybody using previously quoted - D and Forex

Previously quoted - H order types? FYI, H - Forex Previously quoted
has been deprecated in favor of D - previously quoted. My concern
is that Orders of this type would not require a price to be
submitted as it can refer to previous quote or market data message.
Has anybody dealt with this or any other issues related to this
order type? I thank you in advance for kind attention to this
matter. Natan

    I am very hesitant to implement previously quoted orders (tag
    40 (OrdType) is equal to D) in a way to require a price. Then
    there is a question on usage of tag 117 (QuoteID).

    If tag 117 used for informational purposes, it can be ignored.
    However, if we do it, it is really a limit order, unless there
    is a business driver s.a. discounted price etc.

    My take for a proper implementation of previously quoted
    orders would be to either refer to the price in the quote or
    do price verification (check if price specified in the order
    matches price in the quote referred).

    If price in the quote does not match price in the order,
    course of action needs to be determined by the business.

    I am looking for a more information.

    I thank you in advance.

    Natan

One more crucial piece. The scenario that is refered, previously quoted
order type would be result of market data message.

Taking an extract from the FX Gap Analysis:
When an order is initiated as a result of a request for quote or streaming price, the QuoteID is used to reference the price quote in both cases.
The QuoteID would contain the dealer provided QuoteID from the Quote message or the QuoteEntryID from the MarketDataSnapshot or MarketDataIncrement messages. The OrdType (40) would specify “previously quoted”.

Note that the main business model analysed was bank to client rather than an exchange/ECN models which are getting some attention in the FX Phase 2 analysis. I don’t see anything wrong with including 44= on previously quoted orders where the value of 44= is validated against the price on the quote or market data message.

May I request you to provide me previously quoted order message format with values. It will be help me to understand how it’s working?

Is this message need to send against exisiting order ??