Tag for NewSingleOrder when the client doen not really want to execute


#1

Hello gentlemen, sometimes a client is sending to my execution system an order whitout the real intention of executing. Whenever the order becomes executable the client wants to be alerted so to choose if execute or not.
I am struggling to find which tag(s) could be used to carry such an information.
Any idea?
Thanks


#2

Hi Anna,

probably you are talking about something like a trigger?

ExecutionReport field 636/WorkingIndicator
http://fiximate.fixtrading.org/en/FIX.5.0SP2/tag636.html

together with TriggeringInstruction looks similar:
http://fiximate.fixtrading.org/en/FIX.5.0SP2/body_49485148.html

In addition, the field 18/ExecInst
http://fiximate.fixtrading.org/en/FIX.5.0SP2/tag18.html

may contain some helpful values.

Actually, I need a more detailed scenario from you to give a more detailed answer.
Probably, someone else is able to help.

Cheers, Jörg


#3

Hi Anna,

talk to the business whether they rather intend to work with kinda message flow like

  • send request for quote
  • receive quote with price and id
  • keep quiet if quoted price is not acceptable
  • else
    {
  • send order with reference to quote id (within a bilaterally negotiated time-out)
  • receive execution ith reference to order/quote.
    }

With that message flow you will also have the advance to address a whole group of market makers and SIs etc in some trading architectures.
Is the intended technical trading environment Bloomberg or sthg. else or a b2b connection ?

Kind regards
Uli


#4

Tricky one. You are talking about “conditional orders” I believe. In the fixed income world, this is known as “last look”. It reduces the risk of the submitter to actually be executed.

@111s points to quotes instead of orders as a better choice for this. There is a workflow for your requirement but it requires quotes to be used instead of orders. FIX allows quotes to be either indicative or tradeable. Orders are always tradeable in FIX, i.e. you “order” something instead of “quoting” the willingness to trade in general. You can specify conditions (e.g. triggers mentioned by @jorgthonnes) that have to be met prior to an order becoming active but human intervention is not such a condition. Quotes allow all of this and a single-sided quote is basically identical to an order.

Have a look at EP198 (https://www.fixtrading.org/extension-packs/) where MatchType(574) was extended to identify whether an execution was conducted with “last look”. This EP did not extend NewOrderSingle and refers to quotes also containing order related fields.


#5

Thanks to all for your replies and sorry for not replying before, I was out of my office.
I am talking of the following scenario:
Customer is interested to execute the order but this must be manual under trader judgement on prices available (and automatically collected) in a pre-trade step: so no automated execution is wanted, and the automatic execution policy must be overridden for the specific order.
The order is thus not a last look, nor a triggered one: basically requires human intervention in a totally automated system.
This applies for instance to FI block orders.
I hope that this is better explaining my request.

I looked at the HandlInstr and CustHandlInstr tags, but I did not see an enumerated value that I can use for this kind of orders.
I would prefer not to add a user defined enumerate to this tag.


#6

Not sure why you say “The order is thus not a last look”. FIX semantics for “last look” includes the case of human intervention in an otherwise automated system. “Last look” simply means that the execution cannot take place without explicit confirmation by the sender. NewOrderSingle does not belong to the area of pre-trade in FIX. You can use quotes or IOIs to indicate an interest in trading without getting immediately executed. The order is simply the wrong entity for your scenario and you will have to go to user-defined fields or values if you have to use orders. However, neither HandlInstr nor CustHandlInstr permit user-defined values.


#7

Thanks Hanno.
I understand that in our case the best thing is that the customer sends the order with HandlInst = 3, this way instructing the system to leave the trader in charge of manual execution. Do you agree?


#8

I would agree, Your Rules of Engagement can define what exactly “manual” means, i.e. what is allowed/required when HandlInst=3 is sent.


#9

I would like to support @hanno.klein here, we also used HandlInst to indicate whether an order will be processed automatically or stop a the trader desk. A value of 3 sounds reasonable.