Price Check

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Imported from previous forum

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Hi guys,

some exchanges provide a so-called “price check” functionality. That means, if somebody sends a limit order to the market, which, if it would be matched, would lead to price that is too far away from the last traded price and therefore would cause a volatility interuption.

Does anyone know, if this is possible with FIX - anyhow? I didn’t found a FIX tag that seems to be suitable and never have heards or read that this feature is supported by FIX …

Maybe somebody knows it better than me …?!

Regards,
Eva

3

Hi Eva, there is no way to do a price check in FIX, since the order is leaving the system and going to the exchange, and that is the only time you will know what the price is, unless you build a tool that would look at the last price of the previous fill and compare it to your FIX limit order.

Regards,
Michael

Hi guys,

some exchanges provide a so-called “price check” functionality. That
means, if somebody sends a limit order to the market, which, if it would
be matched, would lead to price that is too far away from the last
traded price and therefore would cause a volatility interuption.

Does anyone know, if this is possible with FIX - anyhow? I didn’t found
a FIX tag that seems to be suitable and never have heards or read that
this feature is supported by FIX …

Maybe somebody knows it better than me …?!

Regards, Eva

4

[ original email was from Rodrick Brown - rbrown@ballistasec.com ]
> Hi Eva, there is no way to do a price check in FIX, since the order is

leaving the system and going to the exchange, and that is the only time
you will know what the price is, unless you build a tool that would
look at the last price of the previous fill and compare it to your FIX
limit order.

Regards, Michael

Hi guys,

some exchanges provide a so-called “price check” functionality. That
means, if somebody sends a limit order to the market, which, if it
would be matched, would lead to price that is too far away from the
last traded price and therefore would cause a volatility interuption.

Does anyone know, if this is possible with FIX - anyhow? I didn’t
found a FIX tag that seems to be suitable and never have heards or
read that this feature is supported by FIX …

Maybe somebody knows it better than me …?!

Regards, Eva

Eva are you trying to check that prices are within the NBBO?