Usage of FIX for spread order

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Imported from previous forum

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Hi,
Seeking your valuable inputs on using FIX for spread order. As we know, NSE India is going to start supporting spread “DAY” order too (currently it supports spread IOC only). FIX does supports Multileg order ie TAG 35=AB. And in case of cancellation of multileg order the TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order modification?

Your input pertaining to the question and subject is highly appreaciated.

Thanks in advance.

With kind regards,
Vijay

3

[ original email was from Emma Sullivan - emma.sullivan@patsystems.com ]
Hi,

You cancel a multi-leg order using 35=F (as per a new order single) you amend a multi-leg order using 35=AC.

Emma

Hi, Seeking your valuable inputs on using FIX for spread order. As we
know, NSE India is going to start supporting spread “DAY” order too
(currently it supports spread IOC only). FIX does supports Multileg
order ie TAG 35=AB. And in case of cancellation of multileg order the
TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order
modification?

Your input pertaining to the question and subject is highly
appreaciated.

Thanks in advance.

With kind regards, Vijay

4

[ original email was from Dave Arter - dave.arter@eds.com ]
> Hi, Seeking your valuable inputs on using FIX for spread order. As we

know, NSE India is going to start supporting spread “DAY” order too
(currently it supports spread IOC only). FIX does supports Multileg
order ie TAG 35=AB. And in case of cancellation of multileg order the
TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order
modification?

Your input pertaining to the question and subject is highly
appreaciated.

Thanks in advance.

With kind regards, Vijay

Check the following link: http://www.fixprotocol.org/FIXimate3.0/en/FIX.5.0SP1/tag35.html

Replace C with G…

Here’s the 5.01 SP description

G = Order Cancel/Replace Request (a.k.a. Order Modification Request)

5

Vijay, Your question seems to indicate that NSE is already supporting FIX protocol. I was under the impression that NSE is yet to announce support for FIX. Am I wrong ?

  • Sanjay

Hi, Seeking your valuable inputs on using FIX for spread order. As we
know, NSE India is going to start supporting spread “DAY” order too
(currently it supports spread IOC only). FIX does supports Multileg
order ie TAG 35=AB. And in case of cancellation of multileg order the
TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order
modification?

Your input pertaining to the question and subject is highly
appreaciated.

Thanks in advance.

With kind regards, Vijay

6

Hi Sanjay,
No, NSE is not yet FIX compliant but its in the verge of going for it. NSE has now become the FPL member and interestingly, a senior resource from NSEIL was one of the eminent speakers at FIX conference held y’day here in Mumbai, India.

Regards,
Vijay

Vijay, Your question seems to indicate that NSE is already supporting
FIX protocol. I was under the impression that NSE is yet to announce
support for FIX. Am I wrong ?

  • Sanjay

Hi, Seeking your valuable inputs on using FIX for spread order. As we
know, NSE India is going to start supporting spread “DAY” order too
(currently it supports spread IOC only). FIX does supports Multileg
order ie TAG 35=AB. And in case of cancellation of multileg order the
TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order
modification?

Your input pertaining to the question and subject is highly
appreaciated.

Thanks in advance.

With kind regards, Vijay

7

[ original email was from Greg Wood - gregjwood@hotmail.com ]
MsgType AC is actually used to replace a multileg message in FIX 4.3 and later. To cancel a multileg order you would use a regular MsgType F.

Regards,

  • Greg

Hi Sanjay, No, NSE is not yet FIX compliant but its in the verge of
going for it. NSE has now become the FPL member and interestingly, a
senior resource from NSEIL was one of the eminent speakers at FIX
conference held y’day here in Mumbai, India.

Regards, Vijay

Vijay, Your question seems to indicate that NSE is already supporting
FIX protocol. I was under the impression that NSE is yet to announce
support for FIX. Am I wrong ?

  • Sanjay

Hi, Seeking your valuable inputs on using FIX for spread order. As
we know, NSE India is going to start supporting spread “DAY” order
too (currently it supports spread IOC only). FIX does supports
Multileg order ie TAG 35=AB. And in case of cancellation of multileg
order the TAG 35=AC is being used.

My question is, whats the value in TAG 35 in case of Multileg order
modification?

Your input pertaining to the question and subject is highly
appreaciated.

Thanks in advance.

With kind regards, Vijay