Imported from previous forum
On 4 Sept 2012 SEC release number 34-67778, fil no. SR-FINRA-2012-026 was distributed, notifying the industry of the SEC and FINRA’s intent to introduce a disambiguation concerning Stop orders. The argument is made that it is not clear whether stop orders should be triggered by a market transaction at or better than the stop price, or simply by a quote published at or better than the stock price.
Their proposal is to introduce a new distinguishing order type, where stop orders are triggered by a trade in the market place at or better than the stop price, and the new order type, which they refer to in their document as a “stop quotation order” are triggered merely by a published quote at that price.
For those of us in the business of providing connectivity networks, we will now be faced with the question of how to universally represent this new order type in the FIX protocol.
I wanted to initiate a new topic on this thread and invite any interested parties to contact me to discuss or agree on a representation for the stop quotation orders.
My current proposal and the one Fidessa as a firm will plan to move ahead with in absence of any guiding recommendation from FPL will be to represent the new order type with a new value to be conveyed in the traditional OrdType tag (tag 40). That tag is defined as being of data type Char, and values are defined in FIX_5.0 service pack 2 for the alpha-numberic values 1 thru Q. We’re considering adopting the values ‘S’ for a Stop Quotation order type. The combination of Side and StopPx in tags 54 and 99, respectively, together with that 40=S indicator should be used to trigger the stop order should a market quote be read at the stop price on the opposite side of the order (the bid triggering a Sell, the offer triggering a Buy).
It is unclear at this time when this new order type will be enforced. We will be approaching the FIF, and will be sending a message in the near future to contacts at major networks and broker/dealers with whom Fidessa has network relationships, to attempt to reach a consensus on how to move forward with this requirement using FIX. Any comments, etc, please post here, or you can reach me directly at the email below.
regards,
Nevin
Nevin,
We will discuss this issue at the FIF Front Office meeting next week and begin the FIX Gap Analysis based on the outcome of that discussion. FIF and FPL have a joint working group - the FIF/FPL Regulatory Reporting Working Group - that will drive the gap analysis process forward.
Regards,
Manisha
On 4 Sept 2012 SEC release number 34-67778, fil no. SR-FINRA-2012-026 was distributed, notifying the industry of the SEC and FINRA’s intent to introduce a disambiguation concerning Stop orders. The argument is made that it is not clear whether stop orders should be triggered by a market transaction at or better than the stop price, or simply by a quote published at or better than the stock price.
Their proposal is to introduce a new distinguishing order type, where stop orders are triggered by a trade in the market place at or better than the stop price, and the new order type, which they refer to in their document as a “stop quotation order” are triggered merely by a published quote at that price.
For those of us in the business of providing connectivity networks, we will now be faced with the question of how to universally represent this new order type in the FIX protocol.
I wanted to initiate a new topic on this thread and invite any interested parties to contact me to discuss or agree on a representation for the stop quotation orders.
My current proposal and the one Fidessa as a firm will plan to move ahead with in absence of any guiding recommendation from FPL will be to represent the new order type with a new value to be conveyed in the traditional OrdType tag (tag 40). That tag is defined as being of data type Char, and values are defined in FIX_5.0 service pack 2 for the alpha-numberic values 1 thru Q. We’re considering adopting the values ‘S’ for a Stop Quotation order type. The combination of Side and StopPx in tags 54 and 99, respectively, together with that 40=S indicator should be used to trigger the stop order should a market quote be read at the stop price on the opposite side of the order (the bid triggering a Sell, the offer triggering a Buy).
It is unclear at this time when this new order type will be enforced. We will be approaching the FIF, and will be sending a message in the near future to contacts at major networks and broker/dealers with whom Fidessa has network relationships, to attempt to reach a consensus on how to move forward with this requirement using FIX. Any comments, etc, please post here, or you can reach me directly at the email below.
regards,
Nevin