Imported from previous forum
Hello,
My purpose is to submit multiple orders in one message, something called bulk order entry. I have gone through FIX 4.2 errata. I am confused between using Mass Quote and New Order List. What should be used?
Thanking you in advance.
MassQuote allows you to submit multiple quotes in a single message. NewOrderList allows you to submit multiple orders in a single message. The FIX High Performance Working Group is currently discussing a new MassOrder message to submit multiple orders in a single message whereby each order would only be allowed to have very few attributes, similar to the MassQuote message.
Regards,
Hanno.
Hello,
My purpose is to submit multiple orders in one message, something called bulk order entry. I have gone through FIX 4.2 errata. I am confused between using Mass Quote and New Order List. What should be used?
Thanking you in advance.
Thanks Hanno for reply. It seems that I need to use New Order List for my purpose. My question is what about modification or cancellation? Once the request is submitted then each order generated out of request should be treated as individual order or an entire request should be treated as atomic? If it is to be treated as an individual order then for modification/cancellation the exisisting Order Cancel/Replace and Order Cancel will suffice. If it is to be treated as an atomic unit then do FIX 4.2 provides for its modification/cancellation?
Thanking you in advance.
MassQuote allows you to submit multiple quotes in a single message. NewOrderList allows you to submit multiple orders in a single message. The FIX High Performance Working Group is currently discussing a new MassOrder message to submit multiple orders in a single message whereby each order would only be allowed to have very few attributes, similar to the MassQuote message.
Regards,
Hanno.Hello,
My purpose is to submit multiple orders in one message, something called bulk order entry. I have gone through FIX 4.2 errata. I am confused between using Mass Quote and New Order List. What should be used?
Thanking you in advance.
NewOrderList is intended for bulk entry of basket orders. You are then supposed to work on the orders individually as described by you. There is no atomicity as to the execution risk. This is no different for MassQuote or the intended new message MassOrder. ListExecute lets you decide when any of the orders of the list should start to be executed. ListCancel lets you cancel all orders of the list in a single request. There is nothing like a “ListCancelReplace”.
Thanks Hanno for reply. It seems that I need to use New Order List for my purpose. My question is what about modification or cancellation? Once the request is submitted then each order generated out of request should be treated as individual order or an entire request should be treated as atomic? If it is to be treated as an individual order then for modification/cancellation the exisisting Order Cancel/Replace and Order Cancel will suffice. If it is to be treated as an atomic unit then do FIX 4.2 provides for its modification/cancellation?
Thanking you in advance.
MassQuote allows you to submit multiple quotes in a single message. NewOrderList allows you to submit multiple orders in a single message. The FIX High Performance Working Group is currently discussing a new MassOrder message to submit multiple orders in a single message whereby each order would only be allowed to have very few attributes, similar to the MassQuote message.
Regards,
Hanno.Hello,
My purpose is to submit multiple orders in one message, something called bulk order entry. I have gone through FIX 4.2 errata. I am confused between using Mass Quote and New Order List. What should be used?
Thanking you in advance.
Thanks Hanno for reply. After applying my due diligence, I believe for my purpose, I should use Mass Quote instead of New Order List. I have reached to this conclusion because, if we look at the section Appendix H: Mass Quote Message Scenarios in FIX 4.2 errata, its clearly mentioned that Mass Quote message can be replied as Execution Report when Trade takes place. The other reason is, my requirement is to allow for modification/cancellation for the orders placed as Mass Quote. Further, I cannot treat confirmed mass orders as individual orders for modification and cancellation. I wish to use Quote Cancel (MsgType = Z) for cancellation and a customized message or flag in Mass Quote message for modification. Hanno, what is your take on this?
Thanking you in advance.
NewOrderList is intended for bulk entry of basket orders. You are then supposed to work on the orders individually as described by you. There is no atomicity as to the execution risk. This is no different for MassQuote or the intended new message MassOrder. ListExecute lets you decide when any of the orders of the list should start to be executed. ListCancel lets you cancel all orders of the list in a single request. There is nothing like a “ListCancelReplace”.
Thanks Hanno for reply. It seems that I need to use New Order List for my purpose. My question is what about modification or cancellation? Once the request is submitted then each order generated out of request should be treated as individual order or an entire request should be treated as atomic? If it is to be treated as an individual order then for modification/cancellation the exisisting Order Cancel/Replace and Order Cancel will suffice. If it is to be treated as an atomic unit then do FIX 4.2 provides for its modification/cancellation?
Thanking you in advance.
MassQuote allows you to submit multiple quotes in a single message. NewOrderList allows you to submit multiple orders in a single message. The FIX High Performance Working Group is currently discussing a new MassOrder message to submit multiple orders in a single message whereby each order would only be allowed to have very few attributes, similar to the MassQuote message.
Regards,
Hanno.Hello,
My purpose is to submit multiple orders in one message, something called bulk order entry. I have gone through FIX 4.2 errata. I am confused between using Mass Quote and New Order List. What should be used?
Thanking you in advance.
I do not support the usage of user-defined fields for key fields of a message which are identifiers, quantity and status fields but also fields representing the intention of the message. Adding a flag to MassQuote for modification crosses the line for me. Entry/modification (override existing values), deletion (size=px=0) are implicit in the MassQuote. Quotes are different from orders as they do not support chaining for example. They can also be two-sided whereas orders are always one-sided. FIX 4.2 only support the remaining quote size model, i.e. modifications do not take into account how much has already been executed and could lead to an overfill. Orders always follow the total quantity model to avoid race conditions of in-flight modifications/fills. It would be better to use a user-defined message for entry, modification and deletion of mass orders. There will be a new standard message as one of the many outputs of the FIX High Performance Working Group but it is not something I can offer you in the short term. If you are an FPL member you can join the group and help to define this message.
Thanks Hanno for reply. After applying my due diligence, I believe for my purpose, I should use Mass Quote instead of New Order List. I have reached to this conclusion because, if we look at the section Appendix H: Mass Quote Message Scenarios in FIX 4.2 errata, its clearly mentioned that Mass Quote message can be replied as Execution Report when Trade takes place. The other reason is, my requirement is to allow for modification/cancellation for the orders placed as Mass Quote. Further, I cannot treat confirmed mass orders as individual orders for modification and cancellation. I wish to use Quote Cancel (MsgType = Z) for cancellation and a customized message or flag in Mass Quote message for modification. Hanno, what is your take on this?
Thanking you in advance.