Imported from previous forum
[ original email was from Ranjit M - ranjit_unni@yahoo.com ]
Hi,
There is a requirement in our trading system whereby the triggering of a Stoploss Order needs to be immediately reported to the initiator of the order.
We did a workaround, but would like some feedback on the same. In the Execution Report we used:
ExecType=D (Restated) and
ExecRestatementReason=6 (Custom;"Stoploss Trigered")
along with all the order properties set.
An earlier posting in this group, it was mentioned that there is no such message supported in FIX as U.S markets do not report the triggering of Stoploss orders. But, that cannot be a good enough reason for not catering for this scenario…is it?
Thanks in advance,
Ranjit
[ original email was from Tayloe Draughon - tayloed@capital-mkts.com ]
The Chicago Mercantile Exchange had to address this problem too. They utilized an execution report message type.
This does give you a way that someone else solved the problem.
Tag: 150(ExecType) Value =7 (stopped)
Tag: 39(OrdStatus) Value =7 (stopped)
The CME’s “Stop Elected” looks like:
Tag: 8(BeginString) FIX.4.1
Tag: 9(BodyLength) 225
Tag: 35(MsgType) 8
Tag: 52(SendingTime) 20010403-13:33:42
Tag: 49(SenderCompID) CME
Tag: 56(TargetCompID) 66666
Tag: 34(MsgSeqNum) 176
Tag: 115(OnBehalfOfCompID) *********
Tag: 116(OnBehalfOfSubID) **********
Tag: 142(SenderLocationID) *********
Tag: 207(SecurityExchange) CME
Tag: 17(ExecID) PRICEASSIGNED2979335
Tag: 20(ExecTransType) 0
Tag: 150(ExecType) 7
Tag: 37(OrderID) 12345678
Tag: 11(ClOrdID) 12345678-1234
Tag: 39(OrdStatus) 7
Tag: 167(SecurityType) FUT
Tag: 55(Symbol) NQM1
Tag: 54(Side) 2
Tag: 32(LastShares) 0
Tag: 40(OrdType) 2
Tag: 38(OrderQty) 1
Tag: 151(LeavesQty) 1
Tag: 14(CumQty) 0
> Hi,
> There is a requirement in our trading system whereby the triggering of a Stoploss Order needs to be immediately reported to the initiator of the order.
>
> We did a workaround, but would like some feedback on the same. In the Execution Report we used:
> ExecType=D (Restated) and
> ExecRestatementReason=6 (Custom;"Stoploss Trigered")
> along with all the order properties set.
>
> An earlier posting in this group, it was mentioned that there is no such message supported in FIX as U.S markets do not report the triggering of Stoploss orders. But, that cannot be a good enough reason for not catering for this scenario…is it?
>
> Thanks in advance,
> Ranjit
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> This does give you a way that someone else solved the problem.
>
> Tag: 150(ExecType) Value =7 (stopped)
> Tag: 39(OrdStatus) Value =7 (stopped)
This isn’t the generally accepted meaning of these fields. ExecType / OrdStatus = Stopped has nothing to do with stop or stop limit orders.
ExecType / OrdStatus = Stopped refers to a guarantee made that an order will be traded.
For instance, a NYSE specialist may "stop" an order, thus guaranteeing a fill at a specified price while the specialist searches for a better price.
[ original email was from Tayloe Draughon - tayloed@capital-mkts.com ]
I agree that this is not the normally accepted definition of the tags for "Stopped." I was pointing out a way that one exchange did use these values. It does provide precedence.
There is no other (standard) way that I know of to indicate that a Stop, Stop Limit, or Market if Touched order has been elected. By elected I mean that the price has hit the trigger price.
One could consider using the text field to indicate “Order Elected” with an order status of new, but this method doesn’t fully address the issue at hand.
It actually opens other questions, like what if the order is a stop with limit and the trigger price is hit, but the limit isn’t.
Lots to think about.
Tayloe
> > This does give you a way that someone else solved the problem.
> >
> > Tag: 150(ExecType) Value =7 (stopped)
> > Tag: 39(OrdStatus) Value =7 (stopped)
>
> This isn’t the generally accepted meaning of these fields. ExecType / OrdStatus = Stopped has nothing to do with stop or stop limit orders.
>
> ExecType / OrdStatus = Stopped refers to a guarantee made that an order will be traded.
>
> For instance, a NYSE specialist may “stop” an order, thus guaranteeing a fill at a specified price while the specialist searches for a better price.
>
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
Porbably too late to help the implementor, but FIX 4.3 provides the optiona Working field - which is a boolean value that indicates that the stop or MIT order price has been crossed and the order is now tradeable.
The usage of this field is referenced in volume 7 derivatives section. The proposal for the field was put forth by the MERC and CBOT (Ron Newell and Tom McCabe). This field also meets the same requirement for Euronext that we promised them last year.
> I agree that this is not the normally accepted definition of the tags for “Stopped.” I was pointing out a way that one exchange did use these values. It does provide precedence.
>
> There is no other (standard) way that I know of to indicate that a Stop, Stop Limit, or Market if Touched order has been elected. By elected I mean that the price has hit the trigger price.
>
> One could consider using the text field to indicate “Order Elected” with an order status of new, but this method doesn’t fully address the issue at hand.
>
> It actually opens other questions, like what if the order is a stop with limit and the trigger price is hit, but the limit isn’t.
>
> Lots to think about.
>
> Tayloe
>
>
>
> > > This does give you a way that someone else solved the problem.
> > >
> > > Tag: 150(ExecType) Value =7 (stopped)
> > > Tag: 39(OrdStatus) Value =7 (stopped)
> >
> > This isn’t the generally accepted meaning of these fields. ExecType / OrdStatus = Stopped has nothing to do with stop or stop limit orders.
> >
> > ExecType / OrdStatus = Stopped refers to a guarantee made that an order will be traded.
> >
> > For instance, a NYSE specialist may “stop” an order, thus guaranteeing a fill at a specified price while the specialist searches for a better price.
> >
> >
>