Question about the implementation about Best on Board and Market Remain Limit

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Imported from previous forum

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  1. Best On Board (BB): This is a limit Order. Limit Price is not entered by the user, it is set by the exchange. The Limit Price is set by the exchange as (Ask Price - 1 Tick) for Sell Order and (Bid Price + 1 Tick) for Buy Order.

  2. Market Remaining Limit(ML): The Order is sent as Market Order (LimitPrice = 0). When the first partial execution is realized, the Limit Price of the Order is set by the exchange as the Execution Price of the first Execution.

  3. Market Remaining Cancel(MC): The Order is sent as Market Order (LimitPrice = 0). When the first partial execution is realized, the rest of the Order is automatically cancelled by the exchange. This is an equivalent of FILL OR KILL.

If I use Order Type (tag 40=P ) and what kind of the tag at 18, which I need to map ?

Can anyone explain more for me for this issue ?

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Here’s what I’d do…

  1. BB:
    OrderType (40) = P (pegged)
    ExecInst (18) = T (fixed peg to local best Bid/Ask at time of order)
    PegDifference (211) = 0.1
    but:
    A) PegDifference is an Amount; this will work if your ticks are uniform, e.g. 10 cents, for all the instruments; Otherwise, you need some logic to map the security to its corresponding tick.
    B) T + PegDifference is ambiguous. To stay on the safe side, I’d systematically add a sign, based on the order Side : “+” for Bid, “-” for Ask.

  2. ML:
    This is called MarketToLimit order in Euronext. I don’t know how you can express it directly in standard Fix 4.2. Euronext uses a (non-standard) value
    OrderType (40) = K

(Let’s see the 4.3 draft next month for that).

  1. MC:
    Isn’t it FAK (Fill And Kill), rather than FOK ?.
    FOK implies an “All or Nothing” logic; FAK allows partial executions. FAK is commonly known as IOC (native English speakers know why).
    therefore, I’d suggest for your MC:
    OrdType (40) = 1 (Market)
    TimeInForce (59) = 3 (IOC)

By the way, don’t you find it more proper not to use Price (44) = 0 ?
Given that OrdType is required, and that “1” means Market Order.

Kazimierz Sycz
e.market
k.sycz@emarket.fr

> 1) Best On Board (BB): This is a limit Order. Limit Price is not entered by the user, it is set by the exchange. The Limit Price is set by the exchange as (Ask Price - 1 Tick) for Sell Order and (Bid Price + 1 Tick) for Buy Order.
>
> 2) Market Remaining Limit(ML): The Order is sent as Market Order (LimitPrice = 0). When the first partial execution is realized, the Limit Price of the Order is set by the exchange as the Execution Price of the first Execution.
>
> 3) Market Remaining Cancel(MC): The Order is sent as Market Order (LimitPrice = 0). When the first partial execution is realized, the rest of the Order is automatically cancelled by the exchange. This is an equivalent of FILL OR KILL.
>
> If I use Order Type (tag 40=P ) and what kind of the tag at 18, which I need to map ?
>
> Can anyone explain more for me for this issue ?
>
>
>