Imported from previous forum
[ original email was from John Prewett - jprewett@lavatrading.com ]
A question about usage of MinQty in a NewOrderSingle.
If I send an order with
OrderQty=100,000
MinQty=500
Does this mean:
- Each execution I receive must be for at least 500 shares.
- I may receive many executions but the total of them all must equal or exceed 500 shares.
- None of the above (please specify).
I am trying to ascertain whether the MinQty field was intended to be used to inhibit reception of a flurry of tiny little fills which may be prohibitively expensive when it comes to clearing costs (version 1. above). Or is the intention for a more moderate version of “All Or None”, whereby I am willing to accept at least ‘MinQty’ shares in total for an order but not anything less (version 2. above).
Thanks in advance for your assistance.
In the data dictionary MinQty is defined as "minimum quantity of an order to be executed".
The way I read that it would fall in with your #2. The sender is instructing the counterparty that the total execution amount for this order must be at least 500 (using your example) shares up to the 100,000 shares specified, less than 500 shares is not acceptable.
Food for thought: if the order is not a DAY order - does the MinQty apply for each day that a GTD order is live or cumulatively until the order expires? Is this even useful in a GTD/GTC order or does it make no sense? Thoughts anyone?
> A question about usage of MinQty in a NewOrderSingle.
>
> If I send an order with
> OrderQty=100,000
> MinQty=500
>
> Does this mean:
> 1. Each execution I receive must be for at least 500 shares.
> 2. I may receive many executions but the total of them all must equal or exceed 500 shares.
> 3. None of the above (please specify).
>
> I am trying to ascertain whether the MinQty field was intended to be used to inhibit reception of a flurry of tiny little fills which may be prohibitively expensive when it comes to clearing costs (version 1. above). Or is the intention for a more moderate version of “All Or None”, whereby I am willing to accept at least ‘MinQty’ shares in total for an order but not anything less (version 2. above).
>
> Thanks in advance for your assistance.
>
[ original email was from John Harris - john.harris@bondmart.com ]
Lisa,
I believe that option #3 ("none of the above") is the proper response here. If a trader specifies MinQty, under no circumstances should he receive an initial fill of less than MinQty. Otherwise, we would need to come up with some other way for a trader to express that he will not accept an initial fill smaller than x.
Often, MinQty is specified because a money manager is allocating among multiple accounts and may not be allowed to put less than one hundred shares of anything in one or more accounts. This is common scenario for managers of wrap-fee programs, for example. Alternatively, a seller may not want to be left with a position larger than a certain amount, so he will want a certain minimum to be sold. Or, a buyer may not want to hold too large a cash position and wants to put a minimum amount to work. All of these scenarios call for a certain, MinQty.
No readily-available method exists in the markets, to my knowledge, for carrying out option two. If a counterparty were building up to MinQty, for example, through serial executions of lesser amounts, what if an event transpired that prevented completion of the additional executions required to reach MinQty? There is no contractual or regulatory framework, at present, for coping with such a scenario.
Finally, I think that John’s question may illuminate the need for another tag, which might be called “Increments” or some such thing. That is, when orders are size-bounded with minima and maxima, what are acceptable increments of execution within the defined range?
Regards,
John
> In the data dictionary MinQty is defined as “minimum quantity of an order to be executed”.
>
> The way I read that it would fall in with your #2. The sender is instructing the counterparty that the total execution amount for this order must be at least 500 (using your example) shares up to the 100,000 shares specified, less than 500 shares is not acceptable.
>
> Food for thought: if the order is not a DAY order - does the MinQty apply for each day that a GTD order is live or cumulatively until the order expires? Is this even useful in a GTD/GTC order or does it make no sense? Thoughts anyone?
>
> > A question about usage of MinQty in a NewOrderSingle.
> >
> > If I send an order with
> > OrderQty=100,000
> > MinQty=500
> >
> > Does this mean:
> > 1. Each execution I receive must be for at least 500 shares.
> > 2. I may receive many executions but the total of them all must equal or exceed 500 shares.
> > 3. None of the above (please specify).
> >
> > I am trying to ascertain whether the MinQty field was intended to be used to inhibit reception of a flurry of tiny little fills which may be prohibitively expensive when it comes to clearing costs (version 1. above). Or is the intention for a more moderate version of “All Or None”, whereby I am willing to accept at least ‘MinQty’ shares in total for an order but not anything less (version 2. above).
> >
> > Thanks in advance for your assistance.
> >
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> 2. I may receive many executions but the total of them all must equal or exceed 500 shares.
This is my understanding.