Imported from previous forum
I was hoping to get the community’s thoughts on this. The problem I’m having is that a particular ECN that I work with is showing orders in its market data, some of which were submitted with a MinQty. Then, if I try to match with those limit orders, with an amount less than the MinQty, I obviously don’t get the fill. This causes problems for me, and I’m wondering whether it is reasonable to ask/recommend the ECN to change its behavior.
As I see it, the ECN should either not show orders in the book that have associated minimum quantities, or it should identify them as having minimum quantities (and ideally, what the minimum quantities are). Is this a reasonable request? What do other exchanges/ECNs do?
[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Andrew,
It should be OK to publish any orders using FIX market data messages, however orders that can only be executed under certain conditions need generally to carry indicators that allow the consumer to hold them in separate “books”. MinQty is one example, but there are many other cases too (subject to what conditions are supported in the market). Orders with those type of conditions would in most markets not be included in the Top-of-Book/BBO or “best execution” prices e.g. - regulations may apply.
Depending on what version of FIX is used there is more or less options available to attach those indicators. MinQty (110) is e.g. available in later versions of FIX. QuoteCondition (276) = 2 - Restricted is a less specific alternative to indicate that an order has conditions that mean it may not be executable as normally.
Whether conditional orders need to be separately indicated may also depend on the execution model of the market.
Regards
Rikard
I was hoping to get the community’s thoughts on this. The problem I’m
having is that a particular ECN that I work with is showing orders in
its market data, some of which were submitted with a MinQty. Then, if I
try to match with those limit orders, with an amount less than the
MinQty, I obviously don’t get the fill. This causes problems for me, and
I’m wondering whether it is reasonable to ask/recommend the ECN to
change its behavior.As I see it, the ECN should either not show orders in the book that have
associated minimum quantities, or it should identify them as having
minimum quantities (and ideally, what the minimum quantities are). Is
this a reasonable request? What do other exchanges/ECNs do?