Imported from previous forum
Hello everybody,
Background: I am trying to allow a user to send in an Execution Instruction (which ARE available in NewOrderSingle) along with their Quote for special handling. (For example: 18=G, All or None)
Problem is, that I cannot see a specific tag for this in the FIX specification (SP1).
At the moment I’m thinking of parsing the Text field (58) an if a specific key word has been found, passing that on to my matching engine for special handling.
Has somebody come across the same challenges?
I’m quite interested to hear available options, or how it was solved within your environment. Is it at all desirable to have these kind of options for Quotes?
Cheers,
Christiaan de Vries
Quotes are considered to be a somewhat different animal than orders and hence have their own attributes related to a desired handling by the recipient. ExecInst for example is an instruction that applies to the order. Quotes are normally two-sided so that your example of an All or None instruction for a quote would mean that you want both sides of the quote to be completely executed or not at all. This cannot occur within a single transaction. I describe the obvious only to illustrate that you should not try to re-use NewOrderSingle attributes on quotes bur rather look for quote attributes. An example of a quote-specific attribute is QuoteType(537) which has recently been extended by EP126 (NGM Tradable Quotes) to include more than just indicative vs firm (tradable). A new value “Initially tradable” allows to have the quote only tradable upon entry and up to a bilaterally agreed duration, e.g. 30 seconds. After that it automatically becomes indicative and needs to be confirmed/modified by the quote issuer to be tradable again.
If you want to post your specific requirements then I could tell you if they are covered by FIX or are still a gap.
Regards,
Hanno.
Hello everybody,
Background: I am trying to allow a user to send in an Execution Instruction (which ARE available in NewOrderSingle) along with their Quote for special handling. (For example: 18=G, All or None)
Problem is, that I cannot see a specific tag for this in the FIX specification (SP1).
At the moment I’m thinking of parsing the Text field (58) an if a specific key word has been found, passing that on to my matching engine for special handling.
Has somebody come across the same challenges?
I’m quite interested to hear available options, or how it was solved within your environment. Is it at all desirable to have these kind of options for Quotes?
Cheers,
Christiaan de Vries
Baxter-FX.com
Hello Hanno,
FYI: We allow single sided Quotes; …this might put things more into context.
But, EP126… I’ve not heard of these abbreviation before, thanks for that… Now where would I find the contents of these Extension Packs and in general the one you mention for further reading?
Our client has problems receiving multiple Execution Reports for a single Quote, so we came up with a (simple) solution to fill a Quote only once (partially of full) and then cancel the remainder of his (single sided!) Quote (in case of partial fill). I’ve ‘baptized’ this behavior (or ExecInst) as ‘FOTC’ (FillOnceThenCancel).
That is in essence the requirement I have at the moment… Now, I need to be able to let a client specify it per Quote, as it’s a shared FIX gateway, and cannot set this as a default policy in the system.
(It’s very specific requirement for this client though, which might not be needed as a FIX protocol addition of course, but I thought I’d start the discussion anyway.)
Thanks,
Christiaan de Vries
Quotes are considered to be a somewhat different animal than orders and hence have their own attributes related to a desired handling by the recipient. ExecInst for example is an instruction that applies to the order. Quotes are normally two-sided so that your example of an All or None instruction for a quote would mean that you want both sides of the quote to be completely executed or not at all. This cannot occur within a single transaction. I describe the obvious only to illustrate that you should not try to re-use NewOrderSingle attributes on quotes bur rather look for quote attributes. An example of a quote-specific attribute is QuoteType(537) which has recently been extended by EP126 (NGM Tradable Quotes) to include more than just indicative vs firm (tradable). A new value “Initially tradable” allows to have the quote only tradable upon entry and up to a bilaterally agreed duration, e.g. 30 seconds. After that it automatically becomes indicative and needs to be confirmed/modified by the quote issuer to be tradable again.
If you want to post your specific requirements then I could tell you if they are covered by FIX or are still a gap.
Regards,
Hanno.Hello everybody,
Background: I am trying to allow a user to send in an Execution Instruction (which ARE available in NewOrderSingle) along with their Quote for special handling. (For example: 18=G, All or None)
Problem is, that I cannot see a specific tag for this in the FIX specification (SP1).
At the moment I’m thinking of parsing the Text field (58) an if a specific key word has been found, passing that on to my matching engine for special handling.
Has somebody come across the same challenges?
I’m quite interested to hear available options, or how it was solved within your environment. Is it at all desirable to have these kind of options for Quotes?
Cheers,
Christiaan de Vries
Baxter-FX.com
Can somebody point me to where I can find the EP126?
Cheers,
Christiaan
Hello Hanno,
FYI: We allow single sided Quotes; …this might put things more into context.
But, EP126… I’ve not heard of these abbreviation before, thanks for that… Now where would I find the contents of these Extension Packs and in general the one you mention for further reading?
Our client has problems receiving multiple Execution Reports for a single Quote, so we came up with a (simple) solution to fill a Quote only once (partially of full) and then cancel the remainder of his (single sided!) Quote (in case of partial fill). I’ve ‘baptized’ this behavior (or ExecInst) as ‘FOTC’ (FillOnceThenCancel).
That is in essence the requirement I have at the moment… Now, I need to be able to let a client specify it per Quote, as it’s a shared FIX gateway, and cannot set this as a default policy in the system.
(It’s very specific requirement for this client though, which might not be needed as a FIX protocol addition of course, but I thought I’d start the discussion anyway.)
Thanks,
Christiaan de Vries
Baxter-FX.comQuotes are considered to be a somewhat different animal than orders and hence have their own attributes related to a desired handling by the recipient. ExecInst for example is an instruction that applies to the order. Quotes are normally two-sided so that your example of an All or None instruction for a quote would mean that you want both sides of the quote to be completely executed or not at all. This cannot occur within a single transaction. I describe the obvious only to illustrate that you should not try to re-use NewOrderSingle attributes on quotes bur rather look for quote attributes. An example of a quote-specific attribute is QuoteType(537) which has recently been extended by EP126 (NGM Tradable Quotes) to include more than just indicative vs firm (tradable). A new value “Initially tradable” allows to have the quote only tradable upon entry and up to a bilaterally agreed duration, e.g. 30 seconds. After that it automatically becomes indicative and needs to be confirmed/modified by the quote issuer to be tradable again.
If you want to post your specific requirements then I could tell you if they are covered by FIX or are still a gap.
Regards,
Hanno.Hello everybody,
Background: I am trying to allow a user to send in an Execution Instruction (which ARE available in NewOrderSingle) along with their Quote for special handling. (For example: 18=G, All or None)
Problem is, that I cannot see a specific tag for this in the FIX specification (SP1).
At the moment I’m thinking of parsing the Text field (58) an if a specific key word has been found, passing that on to my matching engine for special handling.
Has somebody come across the same challenges?
I’m quite interested to hear available options, or how it was solved within your environment. Is it at all desirable to have these kind of options for Quotes?
Cheers,
Christiaan de Vries
Baxter-FX.com
Please refer to http://www.fixprotocol.org/documents/5311/NGM%20Tradeable%20Quotes%20Extension%20v05.doc on the GTC page under Documents - Approved Proposals to be Applied. It will also be published under http://www.fixprotocol.org/specifications/FIX.5.0SP2#Extension_Packs_enhancing_FIX_5.0_SP2 once it is implemented and verified (Quality Control). Right now it is still pending QC.
Regards,
Hanno.
Can somebody point me to where I can find the EP126?
Cheers,
Christiaan