Time Slicing (Spreads)

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Imported from previous forum

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Is it possible to use Time Slicing Function in FIX 4.1?

If so, please let me know the tags that are used for NEW Order - Single that is to be executed in pieces over the day.

Thanks
Mahesh

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Is it possible to use Time Slicing Function in FIX 4.1?
>
> If so, please let me know the tags that are used for NEW Order - Single that is to be executed in pieces over the day.

I’m not sure if this addresses your issue, but FIX 4.2 introduces the EffectiveTime tag in New Order - Single. So one could take an order for 10,000 shares and break it into 10 orders for 1000 shares, each becoming effective at intervals throughout the day.

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[ original email was from Tayloe Draughon - tayloed@capital-mkts.com ]
You could try Tag 111 (MaxFloor) which is the "Maximum number of shares within an order to be shown on the exchange floor at any given time."

This, in theory, will cause your order to be shown on the floor over time. As a result of this your order will be time sliced if the max floor quantity is less than your order quantity.

If you use this tag, I would strongly suggest that you check with your fix counter party to make sure that their system supports this functionality.

Tayloe Draughon
Capital Markets Consulting LLC

> Is it possible to use Time Slicing Function in FIX 4.1?
>
> If so, please let me know the tags that are used for NEW Order - Single that is to be executed in pieces over the day.
>
> Thanks
> Mahesh
>