Queue Position

, ,
1

Imported from previous forum

2

Hi,

Some Exchanges provide Queue position of particualr order placed by a trader. Is there any standard FIX message to report this Queue Postion information to the client or I need to create new custom FIX message format for this functionality.

Thanks in Advance,

Regards,
Ananth

3

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Hi,

assuming you are talking about public data, you should use the market data messages (Market Data Snapshot Full Refresh / Market Data Incremental Refresh). There is a tag called MDEntryPositionNo (290) that can be used to rank orders within a Price level (this is only relevant in Order Depth books). For more details and as always I recommend the market data best practices document found here: http://www.fixprotocol.org/documents/1462/MDOWG_Book_Mgt_Finaldraft.doc

(you may have to be an FPL member to view it).

Ranking information is rarely communicated in Execution Reports, although some markets have the convention of assigning OrderID’s that contain the “Time” part of Price + Time ranking. You can however not expect that to be standard.

Regards

Rikard

Hi,

Some Exchanges provide Queue position of particualr order placed by a
trader. Is there any standard FIX message to report this Queue Postion
information to the client or I need to create new custom FIX message
format for this functionality.

Thanks in Advance,

Regards, Ananth