TIF value for targeting a 'trading at last' trading phase

, ,
1

Imported from previous forum

2

Looking at 59, I can’t find a version that looks appropriate for sending an order that is eligible only for a ‘trading at last’ trading phase (i.e. after the closing auction where all orders that execute do so at the auction’s uncrossing price). Is this handled in a different field or do we need a new value?

Thanks

jim.

3

Hi Jim,

valid trading phases are identified on the order by combining TradingSessionID(336) and TradingSessionSubID(625). There is a repeating group for that. 336 could be 1=Day or 5=Evening or 6=After-hours, depending on the details of your market model. 625 would then be 5=Post-trading or 10=Out of main session trading or a user-defined value of 100 or above if you want to use your term “trading at last”.

But maybe your case is much simpler and 59 = 7 (At the close) is all you need.

Regards,
Hanno.