Imported from previous forum
[ original email was from Andrew Thompson - anthomps@blackrock.com ]
Hi all,
These questions relate to the model where the ECN brings together a group of brokers who give quotes when an order (or RFQ) is received.
Two areas that I think are not covered even in FIX 5.0:
i) on an order, giving a list of counterparties who can (or cannot) be traded with
ii) on an execution where one quote has been chosen, giving all of the competing quotes that were not hit or lifted
Is this correct or was any of this covered in 5.0 or documents published by the Global Exchanges and Markets Committee?
[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Andrew,
I think I can say that the particular business case you mention has not been dicussed in the Global Exchanges and Markets Committee (GEXMC) or its predecessor, the Exchanges and ECNS Working Group (EEWG). However, OMX added a feature to 5.0 that may be used for your first problem. The feature is used to reduce broker counterparty risk in certain markets, i.e. we did not explicitly recognize the issue you mention.
In the block of an order you can specify a list of PartyID (448) with the following PartyRole (452):
56 - Acceptable Counterparty
57 - Unacceptable Counterparty
If you specify 452 = “56” you order would only trade with listed PartyIDs while specifying 452 = “57” would mean you order could trade with anyone except listed PartyIDs.
I do not have a solution to the second of your issues.
Regards
Rikard
Hi all,
These questions relate to the model where the ECN brings together a
group of brokers who give quotes when an order (or RFQ) is received.Two areas that I think are not covered even in FIX 5.0:
i) on an order, giving a list of counterparties who can (or cannot) be
traded withii) on an execution where one quote has been chosen, giving all of the
competing quotes that were not hit or liftedIs this correct or was any of this covered in 5.0 or documents published
by the Global Exchanges and Markets Committee?