What should be in tag 60

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1

Imported from previous forum

2

Hi, all:

As defined by Spec, tag 60 (TransactTime) is:

Time of execution/order creation (expressed in UTC (Universal Time Coordinated, also known as ‘GMT’)

When I am trying to implement our order bufferring system, I get small confusion on this tag. I need your advice. Let’s say order came in to our system on 1 January, and tag 60 = 20080101-13:50:59. And the order was bufferred in our system for one day and sent to another counterparty at 20080102-09:00:00. Apparently tag 52 should be 20080102-09:00:00. But should tag 60 be 20080102-09:00:00 or 20080101-13:50:59?

Thanks everybody

3

[ original email was from George Brisco - george.brisco@trialius.com ]
Hi,

If the order has simply been bufferred and goes off to your new counterparty looking as it did when it came into you (ClOrdIds etc) then I would leave tag 60 as it was.

If however the “forwarded” order is more complex and is just related to the original order then I would give it the new date/time.

George

Hi, all:

As defined by Spec, tag 60 (TransactTime) is:

Time of execution/order creation (expressed in UTC (Universal Time
Coordinated, also known as ‘GMT’)

When I am trying to implement our order bufferring system, I get small
confusion on this tag. I need your advice. Let’s say order came in to
our system on 1 January, and tag 60 = 20080101-13:50:59. And the order
was bufferred in our system for one day and sent to another counterparty
at 20080102-09:00:00. Apparently tag 52 should be 20080102-09:00:00. But
should tag 60 be 20080102-09:00:00 or 20080101-13:50:59?

Thanks everybody

4

Hi,

If the order has simply been bufferred and goes off to your new
counterparty looking as it did when it came into you (ClOrdIds etc) then
I would leave tag 60 as it was.

If however the “forwarded” order is more complex and is just related to
the original order then I would give it the new date/time.

George

Hi, all:

As defined by Spec, tag 60 (TransactTime) is:

Time of execution/order creation (expressed in UTC (Universal Time
Coordinated, also known as ‘GMT’)

When I am trying to implement our order bufferring system, I get small
confusion on this tag. I need your advice. Let’s say order came in to
our system on 1 January, and tag 60 = 20080101-13:50:59. And the order
was bufferred in our system for one day and sent to another
counterparty at 20080102-09:00:00. Apparently tag 52 should be 20080102-
09:00:00. But should tag 60 be 20080102-09:00:00 or 20080101-13:50:59?

Thanks everybody

Thanks, George. I think I agree with you.

In spec, tag 60 states time of order creation or execution time. So if I understand correctly, for msg type D,F,G, tag 60 should be time of order receipt; type 8 should have 60 with execution time. This means for message type 8, if tag 150 is not 1 or 2, tag 60 is optional. Hope this is right understanding.

Regards

5

Ying Shi,

I also agree with your view. I guess even for message type 8, its good that the counetrparty sends tag 60 for all values of tag 150 such as 150=8 or 3, C, etc… If there’s a particular execution which is not coming from the exchange and getting generated from brokers OMS, then it must contain tag 60= Brokers OMS time.

Regards,
Sunil

6

Depends on how this tag is used!
For OATS report, this tag usually tells the receiving side when the relevant order/execution is created.
The difference between tag 52 and tag 60 gives the delay recognized by the receiving side.

The msg maybe Q’ed in one location and creates delay.
(e.g., order created around midnight and sent out around 7:00AM)

For order X routed from A->B->C
A (tag 52,60) ----send–> B (tag52,60) ------> C,
we take the following approach:
(1) if no change of X in B, tag60 of B = (receiving time at B),
(2) if X changed in B, tag60 of B = when the change of X takes place;

E.g., when an order created on 20080105-03:57:00 and get internal confirmation on 20080105-04:00:00 to send (but Qed for no FIX session available), this order is then later sent out from A with tag60= 20080105-04:00:00 and tag52=20080105-07:00:00 to B, the order is received by B and resent to C; the tag60 for B can be
20080105-07:00:01 (depends how much delay between A and B as well as how long the time for B to take to confirm this order), or
20080105-07:04:00 (when order is otherwise modified or held by the trader).

In summary, take the “last status updated time” of your msg as the value for your outgoing tag 60 .

Hi, all:

As defined by Spec, tag 60 (TransactTime) is:

Time of execution/order creation (expressed in UTC (Universal Time
Coordinated, also known as ‘GMT’)

When I am trying to implement our order bufferring system, I get small
confusion on this tag. I need your advice. Let’s say order came in to
our system on 1 January, and tag 60 = 20080101-13:50:59. And the order
was bufferred in our system for one day and sent to another counterparty
at 20080102-09:00:00. Apparently tag 52 should be 20080102-09:00:00. But
should tag 60 be 20080102-09:00:00 or 20080101-13:50:59?

Thanks everybody