Imported from previous forum
Hello,
In some cases, it is difficult to know if a trade should be reported to the exchange by sending a NewOrderCross or a TradeCaptureReport (especially when one party reports two sides which are automatically fully filled). From the FIX point of view, how can we decide what message type to use?
Regards,
Xavier.
[ original email was from Andrei Goldchleger - agoldchleger@bmf.com.br ]
I’d say you should use New order Cross if the “trade” hits the order book (for example, some venues enforce cross prices between the bid/ask spread), and Trade Capture Report if the intent is to communicate trades to a third party entity or separate system (e.g. Clearing).
I agree with Andrei - if it is not a done deal until it crosses through the order book and is subject to any market rules that imply the deal may not be fully finalized (within bid/ask spread, pro rata participation, triggering an auction, etc.) - then it should be NewOrderCross. If it is a done deal and only needs to be reported via the market then TCR is the appropriate choice and there is minimal likelihood that it will not be accepted (the rejection being more of a “trade bust” as opposed to a “non-match event”).
My opinion was: an order cross should have the same result (on the order book) as sending two single orders to the exchange. I.e. if a “trade” needs an exchange validation but does not impact the order book, it shouldn’t be an order cross but a TCR instead.
This thought is about “Guaranteed Crosses” on NYSE Liffe. They look like TCR for me though NYSE uses OrderCross messages for them…
Guaranteed Crosses: pre negotiated order that, subject to certain conditions (minimum volume and specific price restrictions relative to the BBO), will be automatically matched by the Trading Host.
I agree with Andrei - if it is not a done deal until it crosses through the order book and is subject to any market rules that imply the deal may not be fully finalized (within bid/ask spread, pro rata participation, triggering an auction, etc.) - then it should be NewOrderCross. If it is a done deal and only needs to be reported via the market then TCR is the appropriate choice and there is minimal likelihood that it will not be accepted (the rejection being more of a “trade bust” as opposed to a “non-match event”).
If it is trade reporting without the possibility of other market participants to influence the outcome, then the TCR is the right choice. It it is about announcing a cross trade to the market, allowing its participants to better the price within predefined time limits, possibly resulting in the trade occurring between different parties than the two defined as part of the announcement, or at least at a better price, then the NewOrderCross is the right choice.
An order is not a trade but is a vehicle to generate one or more trades. That should be the guiding principle to distinguish the two message types.
Regards,
Hanno.
Hello,
In some cases, it is difficult to know if a trade should be reported to the exchange by sending a NewOrderCross or a TradeCaptureReport (especially when one party reports two sides which are automatically fully filled). From the FIX point of view, how can we decide what message type to use?
Regards,
Xavier.