PUBLIC COMMENT PERIOD – Matching Instructions Extension

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Imported from previous forum

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The Global Technical Committee has reviewed and preliminarily approved the Matching Instructions Period gap analysis. The document now enters a public comment period in which public review and feedback is encouraged. Once the Public Comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.

Please post feedback, comments, and questions as replies to this discussion thread.

A link to the proposal can be found at:
http://www.fixprotocol.org/documents/4462/FIX%20Protocol%20Matching%20Instructions%20Extension%20v0.4.doc

The public comment period ends on April 13, 2009.

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[ original email was from Joseph Horowitz - jhorowitz@aegisoft.com ]
Consider:
a. operations within and between groups (e.g. AND, OR, >, <, etc.)
b. sub-groups or open/close parenthesis group entries
c. alternatively use ExecInst with pre-define formula formats (e.g. DNM(BAIK,[59]=3)&&DNM(XLSE,[59]=0)

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Although I believe these are good ideas I don’t think the proposal at hand should be used to include them. Some of them were actually discussed in the Global Exchanges & Markets Committee and discarded for the time being.

  1. It would significantly extend the scope of the current proposal, thus requiring more than incremental time and effort
  2. The inclusion of regular expressions to link repeating group instances to one another represents a high level of complexity. I don’t think we have a precedent in FIX for this so that such an extension could be fundamental and require extra care in designing.

I am not trying to shoot it down in general but think it deserves a separate gap analysis specifically aimed at how to express relationships between repeating group instances. So far, only the order must be preserved and is significant, e.g. within MarketDataIncrementalRefresh (instrument can be omitted and then defaults to the one in the previous instance). Bilateral agreement can add simple releationships such as “all instances must be fulfilled” or “at least one of the instances must be fulfilled”, e.g. for matching instructions.

Regards,
Hanno.

Consider: a. operations within and between groups (e.g. AND, OR,

, <, etc.)
b. sub-groups or open/close parenthesis group entries c. alternatively
use ExecInst with pre-define formula formats (e.g.
DNM(BAIK,[59]=3)&&DNM(XLSE,[59]=0)