Unreleased orders

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1

Imported from previous forum

2

Hi,

the exchange we are connecting to supports the model of “unreleased orders,” some sort of a poor man’s OMS. The order is not put into the order book, but held back. A trader could do different things with it:

  • release it fully or partially to the market
  • release it as reported trade (street side reporting)
  • delete it
  • etc

What field in a FIX 4.2 NewOrderSingle message could be appropriate to mark an order as “unreleased.”

My ideas include both HandlInst=3 (Manual order, best execution) or ExecInst=5 (Held).

What do you think is more appropriate?

Any suggestions are appreciated.

Cheers, Jörg

3

Jörg, this is commonly referred to as “staging” and often used in conjunction with an ECN or ATS’s user interface. The entire quantity becomes a “ticket” (or other term) from which one slices and dices from the ECN or ATS’s user interface. I’ve seen firms use ExecInst of Suspend (18=S) or Held (18=5) for this (would not recommend HandlInst=3), or to simply configure a given FIX session such that all orders via that session from the customer are treated as “staged”. I believe many of the commercial buyside OMS systems support this in some fashion.

Hi,

the exchange we are connecting to supports the model of “unreleased
orders,” some sort of a poor man’s OMS. The order is not put into the
order book, but held back. A trader could do different things with it:

  • release it fully or partially to the market
  • release it as reported trade (street side reporting)
  • delete it
  • etc

What field in a FIX 4.2 NewOrderSingle message could be appropriate to
mark an order as “unreleased.”

My ideas include both HandlInst=3 (Manual order, best execution) or
ExecInst=5 (Held).

What do you think is more appropriate?

Any suggestions are appreciated.

Cheers, Jörg

4

Jörg, this is commonly referred to as “staging” and often used in
conjunction with an ECN or ATS’s user interface. The entire quantity
becomes a “ticket” (or other term) from which one slices and dices from
the ECN or ATS’s user interface. I’ve seen firms use ExecInst of Suspend
(18=S) or Held (18=5) for this (would not recommend HandlInst=3), or to
simply configure a given FIX session such that all orders via that
session from the customer are treated as “staged”. I believe many of the
commercial buyside OMS systems support this in some fashion.

Thanks, Scott. I would like to with ExecInst=5(Held) since there is a matching ExecInst=1(Not held) and we want handle this inside one FIX session.

The scenario is then as follows:

  1. → NewOrderSingle(ExecInst=Held)
  2. ← ExecutionReport(OrdStatus=NEW, ExecInst=Held)
  3. – trader releases the order manually via the GUI
  4. ← ExecutionReport(OrdStatus=NEW, ExecInst=Not Held,
    ExecType=Restated)

What ExecRestatementReason is appropriate?

0 : GT Corporate action
1 : GT renewal / restatement (no corporate action)
2 : Verbal change
3 : Repricing of order
4 : Broker option

Since I do not understand GT, 4 sounds sensible, maybe also 1.

Any further suggestions here?

Thanks, Jörg

Hi,

the exchange we are connecting to supports the model of “unreleased
orders,” some sort of a poor man’s OMS. The order is not put into the
order book, but held back. A trader could do different things with it:

  • release it fully or partially to the market
  • release it as reported trade (street side reporting)
  • delete it
  • etc

What field in a FIX 4.2 NewOrderSingle message could be appropriate to
mark an order as “unreleased.”

My ideas include both HandlInst=3 (Manual order, best execution) or
ExecInst=5 (Held).

What do you think is more appropriate?

Any suggestions are appreciated.

Cheers, Jörg

5

[ original email was from Richard Mirsberger - rmirsberger@bear.com ]

Thanks, Scott. I would like to with ExecInst=5(Held) since there is
a matching ExecInst=1(Not held) and we want handle this inside one
FIX session.

You two are aware that “Held” in this field has a more “traditional” usage meaning “Held to Prints” that diverges greatly from your proposed custom usage, yes?

6

Thanks, Scott. I would like to with ExecInst=5(Held) since there is a
matching ExecInst=1(Not held) and we want handle this inside one FIX
session.

You two are aware that “Held” in this field has a more “traditional”
usage meaning “Held to Prints” that diverges greatly from your proposed
custom usage, yes?

Sorry, Richard: Could you explain this in more detail?
American and European trading terms differ significantly sometimes.

Thanks, Jörg

7

Thanks, Scott. I would like to with ExecInst=5(Held) since there is a
matching ExecInst=1(Not held) and we want handle this inside one FIX
session.

You two are aware that “Held” in this field has a more “traditional”
usage meaning “Held to Prints” that diverges greatly from your proposed
custom usage, yes?

I agree with you that “Held” is not a good choice and adjust my recommendation to simply “Suspend”. Note from the FIX Spec’s Volume 1 Glossary:

Held: The firm executing the order is held to best execution requirements, and may not make discretionary decisions. Opposite of Not Held

Not Held: The firm executing the order is not held to best execution requirements, and may be able to make some discretionary decisions. Opposite of Held.

Thank you for pointing that out.