SuperMontage & FIX

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Imported from previous forum

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Does anyone have any insights into how to support all the SuperMontage order types via FIX? Basically for SuperMontage there are three order types (apologies for simplification):

Directed - These behave much like SelectNet orders do today in that they are delivered orders to a specified MMID.

Non-Directed - These behave similarly to SuperSoes orders however the sender can specify a prioritization algorithm to determine which quotes/ orders are taken out first. There are three algorithms price/ time (the default if not specified), price/time with ECN access fees and price/size.

Preferenced - These are a cross between the above two where a customer can specify an MMID but the order will only be executed if the specified MMID is at the BBO when the order reaches them. The sender can also specify a prioritization algorithm price/ time (the default if not specified), price/time with ECN access fees and price/size.

So for a SuperMontage order we would need to specify up to four parameters, the exchange, the order type, the prioritization algorithm and MMID (if directed or preferenced). For exchange and MMID we can use exDestination and ExecBroker but we may have to specify custom fields for the other two.

Thanks,

Richard.
rmjones@yahoo.com

3

[ original email was from Ramesh Kadambi - ramesh.kadambi@nasdaq.com ]
Hi,

  1. Preferenced orders are cross (s) orders. You could specify your counterparties as part of the component block parties.

  2. Prioritization would require a new custom field.

  3. You have fields for exchange and execbroker.

Ramesh Kadambi

> Does anyone have any insights into how to support all the SuperMontage order types via FIX? Basically for SuperMontage there are three order types (apologies for simplification):
>
> Directed - These behave much like SelectNet orders do today in that they are delivered orders to a specified MMID.
>
> Non-Directed - These behave similarly to SuperSoes orders however the sender can specify a prioritization algorithm to determine which quotes/ orders are taken out first. There are three algorithms price/ time (the default if not specified), price/time with ECN access fees and price/size.
>
> Preferenced - These are a cross between the above two where a customer can specify an MMID but the order will only be executed if the specified MMID is at the BBO when the order reaches them. The sender can also specify a prioritization algorithm price/ time (the default if not specified), price/time with ECN access fees and price/size.
>
> So for a SuperMontage order we would need to specify up to four parameters, the exchange, the order type, the prioritization algorithm and MMID (if directed or preferenced). For exchange and MMID we can use exDestination and ExecBroker but we may have to specify custom fields for the other two.
>
> Thanks,
>
> Richard.
> rmjones@yahoo.com
>

4

[ original email was from Ramesh Kadambi - ramesh.kadambi@nasdaq.com ]
Hi Again,

Supermontage does not take directed orders, they still go to selectnet. If you are trying to map supermontage API to FIX then you probably will not find a field that would correspond to directed orders in the API. NWII does supermontage entry screen does not have a directed orde option either.

I hope this helps.

Ramesh

> Does anyone have any insights into how to support all the SuperMontage order types via FIX? Basically for SuperMontage there are three order types (apologies for simplification):
>
> Directed - These behave much like SelectNet orders do today in that they are delivered orders to a specified MMID.
>
> Non-Directed - These behave similarly to SuperSoes orders however the sender can specify a prioritization algorithm to determine which quotes/ orders are taken out first. There are three algorithms price/ time (the default if not specified), price/time with ECN access fees and price/size.
>
> Preferenced - These are a cross between the above two where a customer can specify an MMID but the order will only be executed if the specified MMID is at the BBO when the order reaches them. The sender can also specify a prioritization algorithm price/ time (the default if not specified), price/time with ECN access fees and price/size.
>
> So for a SuperMontage order we would need to specify up to four parameters, the exchange, the order type, the prioritization algorithm and MMID (if directed or preferenced). For exchange and MMID we can use exDestination and ExecBroker but we may have to specify custom fields for the other two.
>
> Thanks,
>
> Richard.
> rmjones@yahoo.com
>