Imported from previous forum
Hello,
I would like to know if the TimeInForce “Good For Auction” (59=B) can be used for auctions which are different of the ones specified in EP 131 (“auctions initiated by the trading member”).
I’m confused because other TimeInForce values are called “At Crossing” or “Good Through Crossing”. Is there any reason why “Good For Auction” is not called “Good For Crossing”? Is there any difference between what we call “crossing” and “auction”?
Regards,
Xavier.
Xavier,
it is true that terminology is not 100% consistent here and that there is some semantic overlap. The answer to your question is YES. The terms crossing and auction are equivalent for order entry where TimeInForce is relevant but there is a subtle disctinction in the area of MatchType(574) where you have a call auction and a cross auction. As part of a system-initiated auction a price is determined at which participating orders will be executed. There may be orders leftover that are then uncrossed by the system prior to starting continuous trading to avoid a crossed book.
TimeInForce value 9=“At Crossing” was defined to be “valid at any call auction during the current day”, i.e. there was a gap to express “valid only for the next call auction” which was closed with B=“Good for Auction”. The existing values “Good Till/Through Crossing” do not close this gap as such orders are immediately valid and end before or after the next call auction. The additional usage of TradingSessionID and TradingSessionSubID allows to define a specific auction to which TimeInForce applies. Note that these two fields are part of a repeating group, i.e. it does not make sense to have more than one (sub)session when using “Good Till/Through Crossing”. Also note that the combination of “At Crossing” and a (sub)sessions was meant to express all auctions including the (sub)session. Here one would use “Good for Auction” instead to provide a list of (sub)sessions during which the order is valid for auctions in order to exclude validity for some of the (sub)sessions. In other words the TimeInForce values with “Crossing” always define a contiguous period whereas “Good for Auction” allows you to pick and choose the auctions for which it should be valid.
It is a generic concept largely introduced by OMX back in 2007 to allow great flexibility across the numerous auction models out there, i.e. opening, closing, intra-day, circuit-breaker (=unscheduled intra-day), hourly, continuous auctions and probably more. Please see http://www.fixprotocol.org/documents/3645/FIX%20Protocol%20Gap%20Analysis%20-%20OMX%20Order%20Routing%20Req’s%20ph.%20II%200.40.rar for further details on TimeInForce values with the term “Crossing” (Chapter 6.1.3).
Regards,
Hanno.
Hello,
I would like to know if the TimeInForce “Good For Auction” (59=B) can be used for auctions which are different of the ones specified in EP 131 (“auctions initiated by the trading member”).
I’m confused because other TimeInForce values are called “At Crossing” or “Good Through Crossing”. Is there any reason why “Good For Auction” is not called “Good For Crossing”? Is there any difference between what we call “crossing” and “auction”?
Regards,
Xavier.
I can’t open the referred to file - what is a .rar file?
Please see http://www.fixprotocol.org/documents/3645/FIX%20Protocol%20Gap%20Analysis%20-%20OMX%20Order%20Routing%20Req’s%20ph.%20II%200.40.rar for further details on TimeInForce values with the term “Crossing” (Chapter 6.1.3).
It is similar to ZIP. I was able to open it with WinZIP V16.0.
I can’t open the referred to file - what is a .rar file?
Please see http://www.fixprotocol.org/documents/3645/FIX%20Protocol%20Gap%20Analysis%20-%20OMX%20Order%20Routing%20Req’s%20ph.%20II%200.40.rar for further details on TimeInForce values with the term “Crossing” (Chapter 6.1.3).
Thank you Hanno for the detailed reply.
Xavier,
it is true that terminology is not 100% consistent here and that there is some semantic overlap. The answer to your question is YES. The terms crossing and auction are equivalent for order entry where TimeInForce is relevant but there is a subtle disctinction in the area of MatchType(574) where you have a call auction and a cross auction. As part of a system-initiated auction a price is determined at which participating orders will be executed. There may be orders leftover that are then uncrossed by the system prior to starting continuous trading to avoid a crossed book.
TimeInForce value 9=“At Crossing” was defined to be “valid at any call auction during the current day”, i.e. there was a gap to express “valid only for the next call auction” which was closed with B=“Good for Auction”. The existing values “Good Till/Through Crossing” do not close this gap as such orders are immediately valid and end before or after the next call auction. The additional usage of TradingSessionID and TradingSessionSubID allows to define a specific auction to which TimeInForce applies. Note that these two fields are part of a repeating group, i.e. it does not make sense to have more than one (sub)session when using “Good Till/Through Crossing”. Also note that the combination of “At Crossing” and a (sub)sessions was meant to express all auctions including the (sub)session. Here one would use “Good for Auction” instead to provide a list of (sub)sessions during which the order is valid for auctions in order to exclude validity for some of the (sub)sessions. In other words the TimeInForce values with “Crossing” always define a contiguous period whereas “Good for Auction” allows you to pick and choose the auctions for which it should be valid.
It is a generic concept largely introduced by OMX back in 2007 to allow great flexibility across the numerous auction models out there, i.e. opening, closing, intra-day, circuit-breaker (=unscheduled intra-day), hourly, continuous auctions and probably more. Please see http://www.fixprotocol.org/documents/3645/FIX%20Protocol%20Gap%20Analysis%20-%20OMX%20Order%20Routing%20Req’s%20ph.%20II%200.40.rar for further details on TimeInForce values with the term “Crossing” (Chapter 6.1.3).
Regards,
Hanno.Hello,
I would like to know if the TimeInForce “Good For Auction” (59=B) can be used for auctions which are different of the ones specified in EP 131 (“auctions initiated by the trading member”).
I’m confused because other TimeInForce values are called “At Crossing” or “Good Through Crossing”. Is there any reason why “Good For Auction” is not called “Good For Crossing”? Is there any difference between what we call “crossing” and “auction”?
Regards,
Xavier.
I have captured this on FIXwiki at
http://fixwiki.org/fixwiki/TimeInForce/B_GoodForAuction
plus references from
http://fixwiki.org/fixwiki/TimeInForce/8_GoodThroughCrossing
http://fixwiki.org/fixwiki/TimeInForce/5_GoodTillCrossing
and http://fixwiki.org/fixwiki/TimeInForce/9_AtCrossing
John, thanks once again for enhancing FIXwiki by transferring information from the forums. As a note to others, FIXwiki also has details on EPs prior to EP98. In this case, the extensions submitted by OMX for TimeInForce were part of EP61 (Welcome fixwiki.org - BlueHost.com).
I have captured this on FIXwiki at
http://fixwiki.org/fixwiki/TimeInForce/B_GoodForAuction
plus references from
http://fixwiki.org/fixwiki/TimeInForce/8_GoodThroughCrossing
http://fixwiki.org/fixwiki/TimeInForce/5_GoodTillCrossing
and http://fixwiki.org/fixwiki/TimeInForce/9_AtCrossing