RegNMS IOC order

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Imported from previous forum

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[ original email was from Eric Gottesman - egottesman@jefexservices.com ]
Has anyone devised a FIX-standard way of accepting a RegNMS IOC order?
NYSE has implemented a user defined tag 9487=SOC to represent this type of order instruction.
Has there been any talk of creating a new tag 18 (ExecInst) value,
ala 18=f for ISO order?

A RegNMS IOC order is used when customer does not want to ship the order to other marketplace. This would be different from a regular IOC order (59=3), which would be routable by default.

Thanks,

Eric Gottesman
Jefferies Execution Services

3

The key issue with respect to IOC orders in the Reg NMS world is which Automated Trading Centers will you be directly routing to? With respect to IOC orders, some ATCs support both routable and non-routable IOCs. Some ATCs support only non-routable IOCs.

As many of them have designed their own customized IOC or ISO/IOC order types for the Reg NMS world, you will have to code to their specifications.

For example, as you pointed out Eric, the NYSE Reg NMS IOC (SOC) order is non-routable and their FIX spec dictates using Tag 9487 = SOC

NASDAQ uses a standard IOC message (59 = 3) for a non-routable IOC. A routable IOC would be indicated by putting the appropriate modifier in Tag 100 ExInst.

Has anyone devised a FIX-standard way of accepting a RegNMS IOC order?
NYSE has implemented a user defined tag 9487=SOC to represent this type
of order instruction. Has there been any talk of creating a new tag 18
(ExecInst) value, ala 18=f for ISO order?

A RegNMS IOC order is used when customer does not want to ship the order
to other marketplace. This would be different from a regular IOC order
(59=3), which would be routable by default.

Thanks,

Eric Gottesman Jefferies Execution Services

4

It appears that a brief part of my message did not get posted. I ended with:

I’d be happy to discuss the issue. My phone number is 212-655-2953. My e-mail is oconor@jandj.com

Michael

The key issue with respect to IOC orders in the Reg NMS world is which

Automated Trading Centers will you be directly routing to? With respect
to IOC orders, some ATCs support both routable and non-routable IOCs.
Some ATCs support only non-routable IOCs.

As many of them have designed their own customized IOC or ISO/IOC order
types for the Reg NMS world, you will have to code to their
specifications.

For example, as you pointed out Eric, the NYSE Reg NMS IOC (SOC) order
is non-routable and their FIX spec dictates using Tag 9487 = SOC

NASDAQ uses a standard IOC message (59 = 3) for a non-routable IOC. A
routable IOC would be indicated by putting the appropriate modifier in
Tag 100 ExInst.

Has anyone devised a FIX-standard way of accepting a RegNMS IOC order?
NYSE has implemented a user defined tag 9487=SOC to represent this
type of order instruction. Has there been any talk of creating a new
tag 18 (ExecInst) value, ala 18=f for ISO order?

A RegNMS IOC order is used when customer does not want to ship the
order to other marketplace. This would be different from a regular IOC
order (59=3), which would be routable by default.

Thanks,

Eric Gottesman Jefferies Execution Services