TimeInForce Values Question

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1

Imported from previous forum

2

Can some one please tell me what to send TimeInForce when i want one of the following:

1- Valid for execution at the current trading day, as long as the markety is open once closes it must expired.

2- Valid for execution for one week or month.

and if its not executed until the market closed, does the market send expired execution report before closed ??

thanks

3

IMHO

#1 . You can use TimeInForce=Day.

#2 I guess TimeInForce=GTD with ExpireTime=yyyymmdd-hh:mm:ss should be used. Week/month have no un-ambiguous meaning for every one.

At EOD after close, I guess, both sides (buy and sell sides) have an understanding to cancel their day orders (alongwith expiring GTD orders) without sending messages to each-other (hence avoiding unwanted network traffic).

HTH

Can some one please tell me what to send TimeInForce when i want one of the following:

1- Valid for execution at the current trading day, as long as the
markety is open once closes it must expired.

2- Valid for execution for one week or month.

and if its not executed until the market closed, does the market send
expired execution report before closed ??

thanks

4

Hello,

First thanks alot for your help, and a bout the last point, so you mean that the exchange market will not send me an execution report that inicating that the order have been expired ? because if i tried to put the order to GTD, and the market was sending execution report that says its expired. But the new thing i will try is that i want the order to be Day not GTD. and i want the market to send me of expired execution report.

IMHO

#1 . You can use TimeInForce=Day.

#2 I guess TimeInForce=GTD with ExpireTime=yyyymmdd-hh:mm:ss should be
#used. Week/month have no un-ambiguous meaning for every one.

At EOD after close, I guess, both sides (buy and sell sides) have an
understanding to cancel their day orders (alongwith expiring GTD
orders) without sending messages to each-other (hence avoiding unwanted
network traffic).

HTH

Can some one please tell me what to send TimeInForce when i want one
of the following:

1- Valid for execution at the current trading day, as long as the
markety is open once closes it must expired.

2- Valid for execution for one week or month.

and if its not executed until the market closed, does the market send
expired execution report before closed ??

thanks

5

Hi Nasser,

First thanks alot for your help, and a bout the last point, so you
mean that the exchange market will not send me an execution report
that inicating that the order have been expired ? because if i tried
to put the order to GTD, and the market was sending execution report
that says its expired. But the new thing i will try is that i want the
order to be Day not GTD. and i want the market to send me of expired
execution report.

IMHO, every status change of an order (esp. if the order has been deleted from the book) should be reported to the buy side. Therefore, you should also get messages with OrdStatus=C (Expired) for your “Day” orders.

Of course, the implemenations differ in the reality: What sell side you are connecting to?

As a side note: There is another possible twist for GTD orders:

If the market closes at the end of the day, for every not-expired GTD order a “Done for the Day” can be sent, which will be paired with a “Restated” (ExecRestatementReason=1 GT Renewal / Restatement) at the market open next day.

Personally, I am not aware of any sell side which uses this extra scenario, but others in this forum may know some.

Cheers, Jörg

6

Hi,

I have tried to put the TimeInforce=Day, and unfortuanality the Market didnt send me the orders as expired by when the market status became closed ! do u have any idea, how can i know the orders that have not been executed by the session close.

Thanks

Hi Nasser,

First thanks alot for your help, and a bout the last point, so you
mean that the exchange market will not send me an execution report
that inicating that the order have been expired ? because if i tried
to put the order to GTD, and the market was sending execution report
that says its expired. But the new thing i will try is that i want the
order to be Day not GTD. and i want the market to send me of expired
execution report.

IMHO, every status change of an order (esp. if the order has been
deleted from the book) should be reported to the buy side. Therefore,
you should also get messages with OrdStatus=C (Expired) for your
“Day” orders.

Of course, the implemenations differ in the reality: What sell side you
are connecting to?

As a side note: There is another possible twist for GTD orders:

If the market closes at the end of the day, for every not-expired GTD
order a “Done for the Day” can be sent, which will be paired with a
“Restated” (ExecRestatementReason=1 GT Renewal / Restatement) at the
market open next day.

Personally, I am not aware of any sell side which uses this extra
scenario, but others in this forum may know some.

Cheers, Jörg

7

[ original email was from Greg Wood - gregjwood@hotmail.com ]
Hi Nasser,

I don’t think that there is a standard practice across markets to send a done-for-day message on expired day orders. I know of various derivatives exchanges such as SGX and SFE that send a lapse message between sessions and at the final close for the day. This is common practice on OMNet API based exchanges. The lapse from the exchange would typically be translated into a d4d message via FIX.

If you use a broker then it is up to them whether to provide d4d messages. Credit Suisse, for example, lapse all orders at the end of the trading day for derivatives markets regardless of whether a lapse is explicitly received from the exchange and will return a d4d message advising you of how much has been completed.

Regards,

  • Greg

Hi,

I have tried to put the TimeInforce=Day, and unfortuanality the Market
didnt send me the orders as expired by when the market status became
closed ! do u have any idea, how can i know the orders that have not
been executed by the session close.

Thanks

Hi Nasser,

First thanks alot for your help, and a bout the last point, so you
mean that the exchange market will not send me an execution report
that inicating that the order have been expired ? because if i tried
to put the order to GTD, and the market was sending execution report
that says its expired. But the new thing i will try is that i want
the order to be Day not GTD. and i want the market to send me of
expired execution report.

IMHO, every status change of an order (esp. if the order has been
deleted from the book) should be reported to the buy side. Therefore,
you should also get messages with OrdStatus=C (Expired) for your
“Day” orders.

Of course, the implemenations differ in the reality: What sell side
you are connecting to?

As a side note: There is another possible twist for GTD orders:

If the market closes at the end of the day, for every not-expired GTD
order a “Done for the Day” can be sent, which will be paired with a
“Restated” (ExecRestatementReason=1 GT Renewal / Restatement) at the
market open next day.

Personally, I am not aware of any sell side which uses this extra
scenario, but others in this forum may know some.

Cheers, Jörg

8

Hi Nasser, hi Greg,

I have tried to put the TimeInforce=Day, and unfortuanality the Market
didnt send me the orders as expired by when the market status became
closed ! do u have any idea, how can i know the orders that have not
been executed by the session close.
I don’t think that there is a standard practice across markets to send a
done-for-day message on expired day orders.

“Done for the day” can be sent for order which do not expire, while “Expired” will be sent for orders which do expire.

Nasser asked to get “Expired” messages (OrdStatus=C) for its “Day” orders. So d4d orders would no be of any help here.

But your remark, Greg, about different market practices surely applies here: Most probably Nassers counterparty does not send “Expired” messages for “Day” orders. The buy just has to know that the orders will be deleted automatically.

In summary: Nasser, while there may be better practices in the market, you just have to live with results you get from our counterparty. Alternatively, I suggest to discuss this directly with your counterparty to find a solution which fits your needs.

Cheers, Jörg

9

Thank Greg, Jorg,

I think that i will have to meet with my counterparty and see how others handle it.

Thanks

Hi Nasser, hi Greg,

I have tried to put the TimeInforce=Day, and unfortuanality the
Market didnt send me the orders as expired by when the market status
became closed ! do u have any idea, how can i know the orders that
have not been executed by the session close.
I don’t think that there is a standard practice across markets to send
a done-for-day message on expired day orders.

“Done for the day” can be sent for order which do not expire, while
“Expired” will be sent for orders which do expire.

Nasser asked to get “Expired” messages (OrdStatus=C) for its “Day”
orders. So d4d orders would no be of any help here.

But your remark, Greg, about different market practices surely applies
here: Most probably Nassers counterparty does not send “Expired”
messages for “Day” orders. The buy just has to know that the orders will
be deleted automatically.

In summary: Nasser, while there may be better practices in the market,
you just have to live with results you get from our counterparty.
Alternatively, I suggest to discuss this directly with your counterparty
to find a solution which fits your needs.

Cheers, Jörg