Request IOI

imported
general-qa
xid_166148

#1

Imported from previous forum


#2

[ original email was from Chris Diener - cdiener@longviewgroup.com ]
Are there any plans for a request / cancel subscription IOI message format? I have spoken to many brokers who selectively send out IOIs if they think you are interested. It would be nice if we could automate the requesting of IOIs.

–Chris Diener
–Director
–The Longview Group, Inc.
–200 State Street
–Boston, MA 02109
–(617) 912-4756
--cdiener@longviewgroup.com


#3

[ original email was from Witold Sames - wsames@bloomberg.net ]
> Are there any plans for a request / cancel subscription IOI message format? I have spoken to many brokers who selectively send out IOIs if they think you are interested. It would be nice if we could automate the requesting of IOIs.
>
> --Chris Diener
> --Director
> --The Longview Group, Inc.
> --200 State Street
> --Boston, MA 02109
> --(617) 912-4756
> --cdiener@longviewgroup.com

We are currently testing the following mechanism:
(Please note that this is for Top_Of_File information out of Tradebook for now)

  1. Subscription-based
    The interested party sends us a QuoteRequest, which in itself will subscribe the user to Quotes (not IOIs) in that particular symbol. The following conditions apply:
  • If field Side is not submitted, we will send quotes for both sides.
  • If field 9881 (a custom field of ours: BtOrderInst) is not submitted, we send ONE SNAPSHOT as we currently have it in our book.
  • If field 9881 is set to P (for permanent), we will send quotes in that particular symbol, depending on the setting of Side, each time there is a change until we receive a QuoteRequest without 9881=R, which will trigger one last snapshot.
  1. Permanent data stream
    The interested party will receive ALL Top_Of_File information contstantly in the form of IOIs, independent of symbol. We have the ability to to filter out IOIs under a certain size. We do not send out Cancel type IOIs.

I believe this mechanism could be adopted for subscription based IOI distribution.


#4

[ original email was from Vitaliy Kantor - kantorv@ms.com ]
> Are there any plans for a request / cancel subscription IOI message format? I have spoken to many brokers who selectively send out IOIs if they think you are interested. It would be nice if we could automate the requesting of IOIs.
>
> --Chris Diener
> --Director
> --The Longview Group, Inc.
> --200 State Street
> --Boston, MA 02109
> --(617) 912-4756
> --cdiener@longviewgroup.com

FIX protocol to the best of my knowledge does not prevent buyside from using IOI message for request/cancel subscription to particular names for IOI. Just use NEW for subscription and CANCEL for canceling.
I believe Instinet support that functionality.
So there is no need to introduce additional messages and/or fields.(Of course your counterparty - broker or ECN - should support it)


#5

Digging up this one because I’ve seen some activity internally on this mechanism and wanted to capture the previous ideas even though they are in my view very ugly.

I’m definitely not a fan of fpipo_x’s suggestion. NEW indicates a new IOI not a new subscription for an IOI stream.

Looking at the other message types one option was simply to use News or Email seeing as they are so vague. But that doesn’t capture intent well.

QuoteRequest / SecurityStatusRequest don’t capture intent very well either and actively confuses behaviour.

We really want IOIRequest.

If we went with a new message type are we safe using something like 35=DY (the next free message type) or is it better do something like 35=6R (which vaguely communicates intent given 35=6 is IOI and is guaranteed to be free in all reasonable future FIX specs).

Does anyone have a view / have experience in this?


#6

@philipwhiuk you can only use message types starting with “U” for your own messages. “DY” will be used for the next standard message type. I would also not try to put semantics in the choice of message type, simply start with “U1”, “U2”,…