"SLO/SMO"

[hiromasashimizu_x]

Imported from previous forum

[hiromasashimizu_x]

Dear all,

This is a question with regard to the way to handle the following type of orders in FIX:
“SMO (stop market order)” and "SLO (stop limit order)"
Does anybody know the usage of FIX tags for the orders???

==================
1.Stop Market Order
A market order to buy or sell a certain quantity of a certain security if a specified price (the stop price) is reached or passed. The stop price must be below (above) the current price if the order is a sell (buy).

2.Stop Limit Order
This is a limit order to buy or sell at the specified limit price if the specified stop price is reached or passed. The stop price must be below (above) the current price if the order is a sell (buy).

#The direct reason is the 2nd biggest Japanese exchange market, OSE #Osaka Exchange Market)announced to adopt this type of order though…

I would be really happy if I get clues for this.

Best,
Hiromasa

[fplpo_x]

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Hiromasa,

In FIX 4.4:

• a stop order is indicated using the OrdType (40) = 3 (Stop)
• a stop limit order is indicated using OrdType (40) = 4 (Stop limit)

The stop price is carried in the StopPx (99) tag (required for OrdType = 3 and 4).

Good luck!

Dear all,

This is a question with regard to the way to handle the following type
of orders in FIX: “SMO (stop market order)” and “SLO (stop limit order)”
Does anybody know the usage of FIX tags for the orders???

==================
1.Stop Market Order A market order to buy or sell a certain quantity of
a certain security if a specified price (the stop price) is reached or
passed. The stop price must be below (above) the current price if the
order is a sell (buy).

2.Stop Limit Order This is a limit order to buy or sell at the
specified limit price if the specified stop price is reached or
passed. The stop price must be below (above) the current price if the
order is a sell (buy).

#The direct reason is the 2nd biggest Japanese exchange market, OSE
#Osaka Exchange Market)announced to adopt this type of order though…

I would be really happy if I get clues for this.

Best, Hiromasa

[hiromasashimizu_x]

Thank you very much for the answer!
But,I found that the case I described is a little bit different from the one defined in FIX though the order names are same… It requires three set of price. This may be unique in the Osaka Stock Exchange…

Anyway thank you,
Hiromasa

Hiromasa,

In FIX 4.4:

• a stop order is indicated using the OrdType (40) = 3 (Stop)
• a stop limit order is indicated using OrdType (40) = 4 (Stop limit)

The stop price is carried in the StopPx (99) tag (required for OrdType
= 3 and 4).

Good luck!

Dear all,

This is a question with regard to the way to handle the following type
of orders in FIX: “SMO (stop market order)” and “SLO (stop limit
order)” Does anybody know the usage of FIX tags for the orders???

==================
1.Stop Market Order A market order to buy or sell a certain quantity
of a certain security if a specified price (the stop price) is
reached or passed. The stop price must be below (above) the current
price if the order is a sell (buy).

2.Stop Limit Order This is a limit order to buy or sell at the
specified limit price if the specified stop price is reached or
passed. The stop price must be below (above) the current price if
the order is a sell (buy).

#The direct reason is the 2nd biggest Japanese exchange market, OSE
#Osaka Exchange Market)announced to adopt this type of order though…

I would be really happy if I get clues for this.

Best, Hiromasa

[kaymahes_x]

Hi,

I am trying to understand the significiance of the “third” price. In a stop-limit order, I understand the two prices as :-

stop price - when market price becomes equal to stop price, the order becomes “active”.

limit price - the price within which the buy side wants the trade executed ( < for buy , > for sell ).

just wanted to know what the third price is used for ? what’s the business perspective of this 3rd price ?

It can always be passed in a custom tag, but custom tag usage is not considered best practice.

regards,
K. Mahesh

[hiromasashimizu_x]

Hi K. Mahesh,

Yes, it requires three prices.
The following is an example of “SLO” what Osaka Stock Exchange calls.

0. Current market condition
   Market price: JPY 11,460
   Code: Nikkei 225

1. A trader orders a buy “Stop Limit Order”. On this occasion, she/he must indicate “limit price”, “trigger price” and “new price” in advance.

e.g.)
Limit price: JPY 11,420
Trigger Price: JPY 11,470
New price: JPY 11,480

2. Market price moves up to the “trigger price”. (by other participants)

3. Then, the first order is automatically changed to “new price”. (JPY 11,420 → JPY 11,480)

Is it clear?

I probably will use custom tags for this order.

Thanks,
Hiromasa

Hi,

I am trying to understand the significiance of the “third” price. In a
stop-limit order, I understand the two prices as :-

stop price - when market price becomes equal to stop price, the order
becomes “active”.

limit price - the price within which the buy side wants the trade
executed ( < for buy , > for sell ).

just wanted to know what the third price is used for ? what’s the
business perspective of this 3rd price ?

It can always be passed in a custom tag, but custom tag usage is not
considered best practice.

regards,
K. Mahesh

[fplpo_x]

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Hi again Hiromasa,

I assume your stop orders are executable even before the stop price is reached (a kind of “Limit Stop Limit” or “Limit Stop” order that just changes price when the stop price is reached).

That third price (the new limit price) is currently not in FIX. However, there is a proposal which covers it (and a number of other issues). It is currently posted at the GTC page: http://www.fixprotocol.org/documents/2442/ReserveOrd-PegInst-OrderTriggers%20proposal.pdf

A modified version of the proposal is expected to be published any day as part of the “OMX Order Routing Requirements”. Hopefully it can be added to a service pack later this year.

Regards

Rikard

Hi K. Mahesh,

Yes, it requires three prices. The following is an example of “SLO” what
Osaka Stock Exchange calls.

) Current market condition Market price: JPY 11,460 Code: Nikkei 225

1. A trader orders a buy “Stop Limit Order”. On this occasion,
   she/he must indicate “limit price”, “trigger price” and “new
   price” in advance.

e.g.) Limit price: JPY 11,420 Trigger Price: JPY 11,470 New price:
JPY 11,480

2. Market price moves up to the “trigger price”. (by other participants)

3. Then, the first order is automatically changed to “new price”. (JPY
   11,420 → JPY 11,480)

Is it clear?

I probably will use custom tags for this order.

Thanks, Hiromasa

Hi,

I am trying to understand the significiance of the “third” price. In a
stop-limit order, I understand the two prices as :-

stop price - when market price becomes equal to stop price, the order
becomes “active”.

limit price - the price within which the buy side wants the trade
executed ( < for buy , > for sell ).

just wanted to know what the third price is used for ? what’s the
business perspective of this 3rd price ?

It can always be passed in a custom tag, but custom tag usage is not
considered best practice.

regards,
K. Mahesh

[hiromasashimizu_x]

Hi Rikard,

I assume your stop orders are executable even before the stop price is
reached (a kind of “Limit Stop Limit” or “Limit Stop” order that just
changes price when the stop price is reached).

Exactly, you’re right.
And thank you for the following link. I also hope the proposal is implemented early.

Hiromasa

That third price (the new limit price) is currently not in FIX. However,
there is a proposal which covers it (and a number of other issues). It
is currently posted at the GTC page: http://www.fixprotocol.org/documents/2442/ReserveOrd-PegInst-
OrderTriggers%20proposal.pdf

A modified version of the proposal is expected to be published any day
as part of the “OMX Order Routing Requirements”. Hopefully it can be
added to a service pack later this year.

Regards

Rikard

Hi K. Mahesh,

Yes, it requires three prices. The following is an example of “SLO”
what Osaka Stock Exchange calls.

) Current market condition Market price: JPY 11,460 Code: Nikkei 225

1. A trader orders a buy “Stop Limit Order”. On this occasion, she/he
   must indicate “limit price”, “trigger price” and “new price” in
   advance.

e.g.) Limit price: JPY 11,420 Trigger Price: JPY 11,470 New price: JPY
11,480

2. Market price moves up to the “trigger price”. (by other
   participants)

3. Then, the first order is automatically changed to “new price”. (JPY
   11,420 → JPY 11,480)

Is it clear?

I probably will use custom tags for this order.

Thanks, Hiromasa

Hi,

I am trying to understand the significiance of the “third” price. In
a stop-limit order, I understand the two prices as :-

stop price - when market price becomes equal to stop price, the
order becomes “active”.

limit price - the price within which the buy side wants the trade
executed ( < for buy , > for sell ).

just wanted to know what the third price is used for ? what’s the
business perspective of this 3rd price ?

It can always be passed in a custom tag, but custom tag usage is not
considered best practice.

regards,
K. Mahesh