Timed Market Orders

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Imported from previous forum

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[ original email was from Johan Becker - johan.becker@neonet.se ]

Has anyone solved how to send a Timed Market Order, i.e. a limit order sent to the exchange but after X minutes it is converted to a market order…

All the best,
Johan Becker

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[ original email was from Himanshu Sharma - hsharma@knighttrading.com ]
Not seen this requirement in equities. I don’t think sell-side take this over-head converion within their system?

Limit order conversiom to mkt (or stop) are specifically driven by mkt data (quotes). Or you can CancelReplace the order via some kind of timer.
HTH

>
> Has anyone solved how to send a Timed Market Order, i.e. a limit order sent to the exchange but after X minutes it is converted to a market order…
>
> All the best,
> Johan Becker
>

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[ original email was from Johan Becker - johan.becker@neonet.biz ]
Himanshu,
I think you misunderstood me. NeoNet is about to implement this in our system. Regarding the market data; we already have the market data directly from all exchanges. I don’t think the client should send in an Order Cancel/Replace Request to do a Timed Market Order. In FIX it should work like a Funari order, but the client can set the time when the order is converted to a market order, compared to the Funari order were that happens in the Closing Auction.

All the best,
Johan Becker

> Not seen this requirement in equities. I don’t think sell-side take this over-head converion within their system?
>
> Limit order conversiom to mkt (or stop) are specifically driven by mkt data (quotes). Or you can CancelReplace the order via some kind of timer.
> HTH
>
> >
> > Has anyone solved how to send a Timed Market Order, i.e. a limit order sent to the exchange but after X minutes it is converted to a market order…
> >
> > All the best,
> > Johan Becker
> >
>

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[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
If your question is how to handle the execution report(s) when you receive such an order, then if figure using a restatement of the working status when the order elects is the right thing to do. The CME used to do something like this when a stop was elected, and we use a similar mechanism when routing orders to the floor (one when it hits the terminal, another one when the broker accepts it).

I’m not sure how you would actually specify a timed order through FIX 4.2 New Order Single, let me know what you think since we have some similar plans.

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[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]

> I’m not sure how you would actually specify a timed order through FIX 4.2 New Order Single, let me know what you think since we have some similar plans.
>

FYI I figure after looking at the 4.2 specification that you would use tag 168 EffectiveTime on NewOrderSingle to implement a timed order. Not that I’ve implemented this in my system at the current time.

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I’m not sure how you would actually specify a timed order through FIX
4.2 New Order Single, let me know what you think since we have some
similar plans.

FYI I figure after looking at the 4.2 specification that you would use
tag 168 EffectiveTime on NewOrderSingle to implement a timed order. Not
that I’ve implemented this in my system at the current time.

If the requirement is to do this at the buy side, why would this even require a FIX tag? The buy side OMS provider for ex can generate a replace based on some kind of timer…AFAIK, most brokers do support limit to market replaces. Any takers ?