Spreads?

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Imported from previous forum

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I am having trouble determining how spreads would be executed in FIXML.

Are spreads Order Lists? Is there a way to do a multi-leg single order?

Could someone please fill me in on how it is expected that they will be executed.

Thanks,

Sean

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> I am having trouble determining how spreads would be executed in FIXML.
>
> Are spreads Order Lists? Is there a way to do a multi-leg single order?
>
> Could someone please fill me in on how it is expected that they will be executed.

This is an issue much larger than FIXML; it affects FIX in general.

My understanding is that order lists are used for baskets of orders. For instance, I might put in a basket for all Dow stocks. I might get filled on some of the stocks and not others.

Spreads differ in that they are an atomic trading unit. If I’m buying 10 straddles, I will always have an equal number of puts and calls; it’s not a basket where I might get the puts filled, but not the calls. Spreads are often traded at one price, not as individually priced legs.

FIX 4.2 is the first spec to really address this. It allows you to define or request a synthetic symbol ID to represent a particular trading strategy, and price your order in terms of the total price, not the per-leg price.

I would imagine that when FIX 4.2 is finalized, the new messages and fields will be incorporated into a FIXML DTD.