Imported from previous forum
The Global Technical Committee has posted a proposal to enhance FIX’s support for reserve orders, pegging instructions and order triggers. The GTC is seeking wider feedback and comment on this proposal. The enhancement requests uses FIX 4.4 as the base version for the proposal.
The proposal can be downloaded from this link (you must be a registered user of the FPL site and logged in to access the link):
http://www.fixprotocol.org/documents/2442/ReserveOrd-PegInst-OrderTriggers%20proposal.pdf
Feedback and comments should be posted to this thread. The GTC may followup with individuals who provide feedback and comments.
Several comments on the proposal:
First, with regards to the goals of the document as a whole - especially the renaming and clarification around tags 111 and 210 and the removal of pegging instructions from execinst - I support it wholeheartedly and appreciate the work of the GTC in putting the doc together.
Feel that the ReserveInstruction block should be DisplayInstruction block for even more clarity. Depending on the venue, this will be used to support hidden orders (DisplayQty = 0) or orders being held off-book or otherwise not reserve or iceberg type orders.
Believe that as considered, the new DisplayInst tag should in fact be 2 tags, not one. The DisplayWhen or DisplayRefreshTiming function of the DisplayInst tag has a meaning distinct from the DisplayMethod or DisplayRefreshMethod and would prefer having two separate tags rather than trying to enumerate all of the possibilities. Related – there are several additional DisplayWhen values beyond Immediate and Exhaust that should be considered: UserDefined, Random, RandomAfterExhaust and OnPriceChange or OnRePeg. If Random & RandomAfterExhaust times are included they would require tags to set the boundary values similar to what is proposed on the qty side.
For maximum usefulness of the Random DisplayMethod value, in addition to DisplayLowQty and DisplayHighQty, a DisplayMinimumIncrement should be added. In some instances – for example a security that trades in round lots only – this will be implied. But in many cases, the order entry side may wish a higher increment.
Again, nice work w/ the proposal.
Jeromee Johnson
TABB Group
jjohnson@tabbgroup.com
We appreciate the efforts of the GTC to further improve FIX’s handling of these order types. On the whole, we support the changes outlined in the proposal. We have a few comments which are given below.
Reserve Order Functionality
-
We agree with Jeromee Johnson (http://www.fixprotocol.org/discuss/read/9dd41f04) that the tag DisplayInst should be split into two tags.
-
We also agree with Jeromee that the tag DisplayMinimumIncrement would be useful.
-
We suggest the tag DisplayMethod be renamed ReplenishMethod.
-
We are currently working on the development of a new US ECN. The ECN supports a reserve order that contains a display and replenish quantity. The display quantity will be the maximum quantity displayed when the order is first added to the order book. Once the displayed quantity is reduced to a quantity below the replenish quantity, the ECN will, on each partial fill, replenish the displayed quantity to ensure that it is always the lower of the replenish quantity and the remainder. This kind of reserve order (i.e. replenishment triggered on a partial exhaustion of displayed quantity) is not supported by the GTC’s proposal. We suggest that the tag DisplayWhen be replaced by the tag ExhaustPoint (which would be of the data type Qty). This tag would be used to specify what the order’s display quantity must drop below for the replenishment to take place.
Our proposal would map to the six DisplayInst values outlined in the GTC’s proposal as follows:
(a) DisplayInst=Immediate initial would be ReplenishMethod=Initial and ExhaustPoint=DisplayQty.
(b) DisplayInst=Immediate new would be ReplenishMethod=New and ExhaustPoint=DisplayQty.
© DisplayInst=Immediate random would be ReplenishMethod=Random and ExhaustPoint=DisplayQty.
(d) DisplayInst=Exhaust initial would be ReplenishMethod=Initial and ExhaustPoint=0.
(e) DisplayInst=Exhaust new would be ReplenishMethod=New and ExhaustPoint=0.
(f) DisplayInst=Exhaust random would be ReplenishMethod=Random and ExhaustPoint=0.
Reserve orders that are replenished by a partial exhaustion of the display size would have an ExhaustPoint between zero and the DisplayQty.
Peg Instruction Extensions
5. In the case of the tag PegPriceType, we don’t feel the values 4 (Market peg), 5 (Primary peg) and 6 (Fixed peg to local best bid or offer at time of order) are required. The above pegs could be created using the values 10 (Best offer) and 11 (Best bid) along with the tags PegMoveType and PegScope.
Generic Order Triggers
6. We suggest that the tag TriggerPriceType be split into two tags. One tag (TriggerPriceType) to cover the type of price that should be tracked (e.g. best offer, best bid, last sale, best offer or last sale, best bid or last sale and best mid) and another tag (TriggerPriceTypeScope) to cover the scope of the price to be tracked (e.g. local, national, global and national excluding local).
- We have come across an order type where the order is cancelled when a specified price is reached. To accommodate such orders, we suggest that Cancel also be a valid value for the tag TriggerAction (in addition to Activate and Modify).
[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
The items of this issue are part of the OMX Gap Analysis for Order Routing Req’s now posted as a proposal - http://www.fixprotocol.org/documents/2791/OMX%20Proposals.zip (Please note you must be logged into the FPL website to access this document.)
The feedback received in this forum (from Lalis and Jeromee) has been considered and some of it has been included in the proposal. Comments to the feedback can be found in Appendix D of the Order Routing Req’s document.
Regards
Rikard
The Global Technical Committee has posted a proposal to enhance FIX’s
support for reserve orders, pegging instructions and order triggers. The
GTC is seeking wider feedback and comment on this proposal. The
enhancement requests uses FIX 4.4 as the base version for the proposal.The proposal can be downloaded from this link (you must be a registered
user of the FPL site and logged in to access the link): http://www.fixprotocol.org/documents/2442/ReserveOrd-PegInst-
OrderTriggers%20proposal.pdfFeedback and comments should be posted to this thread. The GTC may
followup with individuals who provide feedback and comments.