Imported from previous forum
[ original email was from Marcio Castro - mcastro@bmf.com.br ]
Hi there,
In a situation where an order has to be submitted to a price tunnel, what would be a more appropriate approach?
(i) Include price ranges in the Market Data
(ii) Include an attribute in the Security Definition in order to OMS calculate the tunnel.
Consider also that multiple tunnels could be used.
For option (ii), does anybody see a value in having DiscretionInstructions component block on a Security Definition message? I know this component block is to cater for Discretionary order types, but its attributes would cover the needs for the price tunnel.
Any other experience on price tunnel processing would be much appreciated!
Thanks in advance!
Marcio Castro
Brazilian Mercantile & Futures Exchange.