Imported from previous forum
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
To all members of the ECN & Exchanges Working Group who have an interest in applying FIX for exchange based derivatives trading - the following meeting is being held:
You may see this note twice, as it is also being posted to the ECN & Exchanges Working Group.
The first meeting of the reactivated futures & options working group will be held Friday July 21st AM (10AM-Noon) EST. (Morning was chosen to provide a somewhat reasonable time for European participants).
Meeting Location:
Javelin Technologies
8th Floor
44 Wall Street, NY.
An 800 teleconferencing number will be established for those who need to call in. This number will be made available in a separate follow up e-mail to those who RSVP with intent to participate via telephone.
PLEASE RSVP TO northeyj@cboe.com INDICATING IF YOU WILL BE PARTICIPATING IN PERSON OR VIA TELEPHONE.
The meeting will be held in New York. Javelin Technologies has graciously
agreed to provide space and teleconferencing facilities for the meeting.
Javelin is located at 44 Wall Street. A teleconference dial in number will
be provided for those who will not be able to attend in person.The purpose of this meeting is
to inventory issues that should be addressed regarding implementation of
FIX 4.2 for futures and options trading. The end result of this activity
would be a white paper (or application notes) that provide recommendations and guidelines
on implementation of FIX 4.2 for futures and options trading. An example of
the type of issues we should address is how should an option on a future be
defined? As one futures exchange has already adopted FIXML for order
routing, we should also address where FIX and FIXML fit for derivatives
trading, near term, mid term, and long term.
One final note, we are still looking for representatives from other
derivative exchanges and increased representation from the buy side and
sell side firms (this would include market making firms) that are heavily
involved in derivatives trading. Any suggestions or recommendations of qualified participants are appreciated.
- Preliminary Agenda Items:
There is still time for you to add your issues to the meeting agenda.
Items already inventoried for discussion:
Complex Orders: Is a single message that defines then places an order for
a complex security (spread, option strategy, buy-write, etc.) required by buy side firms.
Guidelines for Complex Order definition
Guidelines for Standing Data dissemination using security messages.
Options on futures
Remote market making using FIX
Market Data standards and usage
Extended trading hour representation
Exchange style crossing order request (paired orders)
Ability to cancel all orders (also acknowledgement of cancel)
ExecType on trade busts by market surveillence, or other exchange actions
Notification when contingent orders change state
FIXML and FIX: migrate or coexist?
We will be audio taping the session and then will find some way of making the audio available to participants who are
unable to attend. We will probably find some way of putting this on the Internet - with a reasonable level of security (userid/password).
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
FYI to ECN & Exchanges Working Group:
About 15 people have RSVPed to attend the meeting either in person or via teleconference. If you are still interested in participating - please RSVP to northeyj@cboe.com
The first meeting of the reactivated futures & options working group will
be held Friday July 21st AM (10AM-Noon) EST. (Morning was chosen to provide
a somewhat reasonable time for European participants).
MEETING LOCATION
Javelin Technologies
8th Floor
44 Wall Street, NY.
212.422.6000
TELECONFERENCE INFORMATION:
Conference Access
US/Canada Dial-In Number: (800) 253-6745
International/Local Dial-In Number: (706) 643-9587
Please give the participants the above information to dial for the
conference call and have them provide their name, the leader’s name
and reference the company hosting the call.
Leader’s Information
Company Name: Javelin Technologies
Leader’s Name: Witold Sames
Leader’s Phone: (212) 422-6000
Conference Details
Type of Call: Meet-Me (operator-assisted)
Conference ID: 460044
Conference Date: 7/21/2000
Start Time: 10:00 am Eastern Time
Expected Duration:2 hours and 0 minutes
Number of Participants: 10
Enhanced Features:
Participants will be entered directly into the conference.
Participants will be announced as they are entered into the conference.
A Roll Call will be provided at the beginning of the call.
AGENDA
- Inventory list of questions and issues that need resolution or direction from FIX Technical Committee
- Prioritize items
- Decide how to collect and disseminate usage recommendations and changes.
- FIA standardization effort
- Identify activities to resolve questions / issues.
- Decide on next meeting
Inventory of issues and questions:
From CBOE:
Review CBOE proposal
204 CustomerOrFirm
CBOE needs additional values for this field:
0-Customer
1-Firm
2-Broker/Dealer
3-Customer Broker/Dealer
4-Market Maker
5-Non Member Market Maker
6-Stock Specialist in Underlying
40 OrdType
Add the following contingency type:
J - Market If Touch (conflicts with Euronext proposal - need to resolve this)
Complex Orders: Is a single message that defines then places an order for
a complex security (spread, option strategy, buy-write, etc.) required by
buy side firms.
Guidelines for Complex Order definition
Guidelines for Standing Data dissemination using security definition messages.
Remote market making using FIX
Extended trading hour representation
Exchange style crossing order request (paired orders)
Can the Execution Report be used to report trades to an exchange?
Can the Execution Report be used by a trading party to adjust information on trade to an exchange?
General:
FIXML and FIX: migrate or coexist?
Market Data standards and usage
Options on futures - How to define an options on a future using security block or security definition message.
From EuroNext:
Review EuroNext proposal
Ability to cancel all orders (also acknowledgement of cancel)
ExecType on trade busts by market surveillence, or other exchange actions
Notification when contingent orders change state