Time In Force Values - Functionality

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1

Imported from previous forum

2

Could any one help in how to send a new order at the opening with the following values from FIX 4.4

Valid From - Good From Next Automatch
Valid Till - Good Till Day

The functionality should be like this:
Order stays in the Inactive Order book, should not be participated during Auction Uncross.
It should come to Active once the session moves to Normal Trading and stays in the Order book till EOD.
Should be Cancelled when the system moves to post close

Many Thanks,
Sreedhar Divakala

3

[ original email was from Ambar Arasan - ambar.arasan@tradeturquoise.com ]
To repharse Sreedhar’s query,
Are there 2 TIF conditions in FIX, In our exchange we have auctions where you have order types like Good-From-Next-Automatch & Good till day.
This is taken care in our native protocol but the same isn’t possible for us using FIX.

Please advise how this can be accommodated using FIX.

Thanks in advance.

Ambar

Could any one help in how to send a new order at the opening with the
following values from FIX 4.4

Valid From - Good From Next Automatch Valid Till - Good Till Day

The functionality should be like this: Order stays in the Inactive
Order book, should not be participated during Auction Uncross. It
should come to Active once the session moves to Normal Trading and
stays in the Order book till EOD. Should be Cancelled when the system
moves to post close

Many Thanks, Sreedhar Divakala

4

FIX supports a repeating group of TradingSessionID (336) and in later versions TradingSessionSubID (625). Those are intended to qualify the sessions that the order is valid for in cases where the TimeINForce is not sufficient. In FIX 5.0 TimeInForce (59) = 0 was clarified to mean “Day (or session)”. So your problem can be solved by providing TimeInForce = “0” and a list of TradingSession(Sub)IDs.

Naturally such exotic functionality is subject to bilateral agreement. Certainly not all marketplaces support it.

Regards

Rikard

To repharse Sreedhar’s query, Are there 2 TIF conditions in FIX, In our
exchange we have auctions where you have order types like Good-From-Next-
Automatch & Good till day. This is taken care in our native protocol but
the same isn’t possible for us using FIX.

Please advise how this can be accommodated using FIX.

Thanks in advance.

Ambar

Could any one help in how to send a new order at the opening with the
following values from FIX 4.4

Valid From - Good From Next Automatch Valid Till - Good Till Day

The functionality should be like this: Order stays in the Inactive
Order book, should not be participated during Auction Uncross. It
should come to Active once the session moves to Normal Trading and
stays in the Order book till EOD. Should be Cancelled when the system
moves to post close

Many Thanks, Sreedhar Divakala

5

[ original email was from Ambar Arasan - ambar.arasan@tradeturquoise.com ]
Hi Rikard
Thanks for your response, but i think this option is available from FIX 5.0 and above? At the moment we use FIX 4.4, hence would like to know if we can use these tags effectively though they are available for use in this version.

It would be very helpful if you can give us a sample message with these tags included.

Thanks
Ambar

FIX supports a repeating group of TradingSessionID (336) and in later
versions TradingSessionSubID (625). Those are intended to qualify the
sessions that the order is valid for in cases where the TimeINForce is
not sufficient. In FIX 5.0 TimeInForce (59) = 0 was clarified to mean
“Day (or session)”. So your problem can be solved by providing
TimeInForce = “0” and a list of TradingSession(Sub)IDs.

Naturally such exotic functionality is subject to bilateral agreement.
Certainly not all marketplaces support it.

Regards

Rikard

To repharse Sreedhar’s query, Are there 2 TIF conditions in FIX, In
our exchange we have auctions where you have order types like Good-From-Next-
Automatch & Good till day. This is taken care in our native protocol
but the same isn’t possible for us using FIX.

Please advise how this can be accommodated using FIX.

Thanks in advance.

Ambar

Could any one help in how to send a new order at the opening with
the following values from FIX 4.4

Valid From - Good From Next Automatch Valid Till - Good Till Day

The functionality should be like this: Order stays in the Inactive
Order book, should not be participated during Auction Uncross. It
should come to Active once the session moves to Normal Trading and
stays in the Order book till EOD. Should be Cancelled when the
system moves to post close

Many Thanks, Sreedhar Divakala

6

The repeating group of trading session IDs is available as of FIX 4.2. FIX 4.4 already has a second field trading session sub ID. Values can be bilaterally agreed as Strings. You can thus use FIX 4.4 syntax and follow FIX 5.0 SP1 semantics by using its pre-defined values as follows:

386 NoTradingSessions = 1

336 TradingSessionID = “1” (Day)
625 TradingSessionSubID = “3” ((Continuous) Trading)
59 TimeInForce = 0 (Day (or session))

Regards,
Hanno.

Hi Rikard Thanks for your response, but i think this option is available
from FIX 5.0 and above? At the moment we use FIX 4.4, hence would like
to know if we can use these tags effectively though they are available
for use in this version.

It would be very helpful if you can give us a sample message with these
tags included.

Thanks Ambar

FIX supports a repeating group of TradingSessionID (336) and in later
versions TradingSessionSubID (625). Those are intended to qualify the
sessions that the order is valid for in cases where the TimeINForce is
not sufficient. In FIX 5.0 TimeInForce (59) = 0 was clarified to mean
“Day (or session)”. So your problem can be solved by providing
TimeInForce = “0” and a list of TradingSession(Sub)IDs.

Naturally such exotic functionality is subject to bilateral agreement.
Certainly not all marketplaces support it.

Regards

Rikard