Symmetric vs Non-Symmetric Calendar spreads in FIX4.2

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1

Imported from previous forum

2

Hi,

I’ve come across a situation with certain exchange when trading DMA calendar spreads whereby the exchange appears to batch fills together in the following fashion:

Order # Fill Type Qty
1 sell leg 30
1 spread 10
1 buy leg 10
1 spread 20
1 buy leg 20

We use FIX 4.2 for these and the problem we have is that our clients wish to receive a spread fill and two leg fills for each fill and the above case from the exchange appears to break this.

Has anyone come across the same issue and if so what have you done to handle it? I’m not keen to try to manipulate the fills so I was wondering if there are any better ideas.

Thanks
Demetris

3

FIX 4.2 does not support multileg orders so that you will be faced with various user-defined conventions on how to convey multileg fills. The problem is solved as of FIX 4.4 with the component.

Hi,

I’ve come across a situation with certain exchange when trading DMA calendar spreads whereby the exchange appears to batch fills together in the following fashion:

Order # Fill Type Qty
1 sell leg 30
1 spread 10
1 buy leg 10
1 spread 20
1 buy leg 20

We use FIX 4.2 for these and the problem we have is that our clients wish to receive a spread fill and two leg fills for each fill and the above case from the exchange appears to break this.

Has anyone come across the same issue and if so what have you done to handle it? I’m not keen to try to manipulate the fills so I was wondering if there are any better ideas.

Thanks
Demetris

4

Hi Hanno,

FIX 4.4 does provide a way to put all the fills together for clients, however how can that be achieved if the exchange isn’t using FIX4.4 and is sending leg fills in individual execution reports?

Thanks
Demetris

FIX 4.2 does not support multileg orders so that you will be faced with various user-defined conventions on how to convey multileg fills. The problem is solved as of FIX 4.4 with the component.

Hi,

I’ve come across a situation with certain exchange when trading DMA calendar spreads whereby the exchange appears to batch fills together in the following fashion:

Order # Fill Type Qty
1 sell leg 30
1 spread 10
1 buy leg 10
1 spread 20
1 buy leg 20

We use FIX 4.2 for these and the problem we have is that our clients wish to receive a spread fill and two leg fills for each fill and the above case from the exchange appears to break this.

Has anyone come across the same issue and if so what have you done to handle it? I’m not keen to try to manipulate the fills so I was wondering if there are any better ideas.

Thanks
Demetris

5

Hi Demetris,

Note that you can also send individual executions in FIX 4.4. According to your client expectation, you need to buffer and split the first leg trade.

Xavier.

Hi Hanno,

FIX 4.4 does provide a way to put all the fills together for clients, however how can that be achieved if the exchange isn’t using FIX4.4 and is sending leg fills in individual execution reports?

Thanks
Demetris

FIX 4.2 does not support multileg orders so that you will be faced with various user-defined conventions on how to convey multileg fills. The problem is solved as of FIX 4.4 with the component.

Hi,

I’ve come across a situation with certain exchange when trading DMA calendar spreads whereby the exchange appears to batch fills together in the following fashion:

Order # Fill Type Qty
1 sell leg 30
1 spread 10
1 buy leg 10
1 spread 20
1 buy leg 20

We use FIX 4.2 for these and the problem we have is that our clients wish to receive a spread fill and two leg fills for each fill and the above case from the exchange appears to break this.

Has anyone come across the same issue and if so what have you done to handle it? I’m not keen to try to manipulate the fills so I was wondering if there are any better ideas.

Thanks
Demetris

6

Demetris,

well, you can hit a nail in the wall with many things but a hammer does work best :slight_smile: Don’t get me wrong, I understand the issues with upgrading from 4.2 to 4.4. I also concur that some use higher versions but send leg executions as individual messages. That said, you need to link the messages together logically. I am afraid that you will still have to borrow one field from a higher version if you have to stay with FIX 4.2. You might also be able to find UDFs (>5000) for that purpose.
MultiLegReportingType (442) lets you express whether the ER is about the spread (3=Multi-leg security) or the leg (2=Individual leg of a multi-leg security). Then you have TrdMatchID (880) to express that multiple ERs actually belong to the same match, i.e. have the same value for TrdMatchID.
Regards,
Hanno.

Hi Hanno,

FIX 4.4 does provide a way to put all the fills together for clients, however how can that be achieved if the exchange isn’t using FIX4.4 and is sending leg fills in individual execution reports?

Thanks
Demetris

FIX 4.2 does not support multileg orders so that you will be faced with various user-defined conventions on how to convey multileg fills. The problem is solved as of FIX 4.4 with the component.