Trading session status security list

[jmielk_x]

Imported from previous forum

[jmielk_x]

I have come accross a couple of postings regarding this matter, but did not find a definite answer. I’d like to know other views on this subject.
The current Trading Session Status message in its natural form seems to represent the trading session for all securities. In our platform we have different “sessions” (which map to “phases” in the Euronext platform) per instrument group. The FIX4.4 spec, vol 3, page 91 states:
“The Trading Session Status can provide an optional repeating group of securities that are available for trading during that session.”.

My questions is: which tags? A posting (unanswered) from '00 asks whether #146 NoRelatedSym and #311 UnderlyingSymbol should be used for this case. It looks to me that that’s the case. I would suggest this to be defined more explicitly. A few engine implementations do not include this repeating group in their data dictionary by default, and it seems to me this would be a fairly common scenario.

In addition, I think the values of tag TradSesStatus (340) look too generic (Unknown,Halted,Open,Closed,Pre-Open,Pre-Close,Request Rejected). I realize that more details can be stated in the tag 58 (Text), and a line must be drawn to determine what is too generic for all products and too specific to a product. I was wondering if there are any plans to increase the range of session status definitions (e.g. open outcry auction, surveillance intervention, etc). Any opinions?

Thanks.

[fplpo_x]

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
I propose the Exchanges/ECN’s working group address this. It is certainly unclear, and some implementations don’t help in unifying the picture. We do not have a definite answer either.

Many exchanges over here in Europe also have groups of trading sessions, e.g. per market segment. It may also be the case that individual Securities can be assigned “override” sessions, e.g. during exceptional conditions or if a call auction is performed for a single security (the SecurityStatus message is used for deviations).

I believe one problem is that the message is used to relay session changes over market data feeds, while other use it to send out reference data (the supported sessions). I’ve heard at least one case where the TradingSessionID (336) represents a market segment/security group, while I think the name implies the session as such. You may note that the TradingSessionID is used on e.g. Orders to indicate the time in force for the order, so it seems resonable. But then how does that map to the TradSesStatus (340), they seem very close?

What is needed may be:

• one reference data message to present the trading schedules, including repeatable trading sessions
• one message to relay session changes per group of securites

Arguably, the confusion arises because those purposes are mixed into a single message.

I have come accross a couple of postings regarding this matter, but did
not find a definite answer. I’d like to know other views on this
subject. The current Trading Session Status message in its natural form
seems to represent the trading session for all securities. In our
platform we have different “sessions” (which map to “phases” in the
Euronext platform) per instrument group. The FIX4.4 spec, vol 3, page 91
states: “The Trading Session Status can provide an optional repeating
group of securities that are available for trading during that
session.”.

My questions is: which tags? A posting (unanswered) from '00 asks
whether #146 NoRelatedSym and #311 UnderlyingSymbol should be used for
this case. It looks to me that that’s the case. I would suggest this to
be defined more explicitly. A few engine implementations do not include
this repeating group in their data dictionary by default, and it seems
to me this would be a fairly common scenario.

In addition, I think the values of tag TradSesStatus (340) look too
generic (Unknown,Halted,Open,Closed,Pre-Open,Pre-Close,Request
Rejected). I realize that more details can be stated in the tag 58
(Text), and a line must be drawn to determine what is too generic for
all products and too specific to a product. I was wondering if there are
any plans to increase the range of session status definitions (e.g. open
outcry auction, surveillance intervention, etc). Any opinions?

Thanks.

[tanjarisovic_x]

Hi,

We have the same problem (multiple market segments with different time - tables). As we are currently setting up our FIX spec, I would like to do it in a standardised manner.

Thanks

Tanja

I propose the Exchanges/ECN’s working group address this. It is
certainly unclear, and some implementations don’t help in unifying the
picture. We do not have a definite answer either.

Many exchanges over here in Europe also have groups of trading sessions,
e.g. per market segment. It may also be the case that individual
Securities can be assigned “override” sessions, e.g. during exceptional
conditions or if a call auction is performed for a single security (the
SecurityStatus message is used for deviations).

I believe one problem is that the message is used to relay session
changes over market data feeds, while other use it to send out reference
data (the supported sessions). I’ve heard at least one case where the
TradingSessionID (336) represents a market segment/security group, while
I think the name implies the session as such. You may note that the
TradingSessionID is used on e.g. Orders to indicate the time in force
for the order, so it seems resonable. But then how does that map to the
TradSesStatus (340), they seem very close?

What is needed may be:

• one reference data message to present the trading schedules, including
  repeatable trading sessions
• one message to relay session changes per group of securites

Arguably, the confusion arises because those purposes are mixed into a
single message.

I have come accross a couple of postings regarding this matter, but
did not find a definite answer. I’d like to know other views on this
subject. The current Trading Session Status message in its natural
form seems to represent the trading session for all securities. In our
platform we have different “sessions” (which map to “phases” in the
Euronext platform) per instrument group. The FIX4.4 spec, vol 3, page
91 states: “The Trading Session Status can provide an optional
repeating group of securities that are available for trading during
that session.”.

My questions is: which tags? A posting (unanswered) from '00 asks
whether #146 NoRelatedSym and #311 UnderlyingSymbol should be used for
this case. It looks to me that that’s the case. I would suggest this
to be defined more explicitly. A few engine implementations do not
include this repeating group in their data dictionary by default, and
it seems to me this would be a fairly common scenario.

In addition, I think the values of tag TradSesStatus (340) look too
generic (Unknown,Halted,Open,Closed,Pre-Open,Pre-Close,Request
Rejected). I realize that more details can be stated in the tag 58
(Text), and a line must be drawn to determine what is too generic for
all products and too specific to a product. I was wondering if there
are any plans to increase the range of session status definitions
(e.g. open outcry auction, surveillance intervention, etc). Any
opinions?

Thanks.