Imported from previous forum
Hi All,
I am looking to map a special “Top of Book” order type (from Xetra ETS) to a valid FIX Order Type. Does anyone have any suggestions regarding this? I am hoping to reuse an existing order type rather than introduce a custom type for myself.
Kind Regards,
Prateek Jain
Prateek,
Xetra ETS limit orders can have an execution condition and Top of Book is one of them. A second one that is closely related is Book or Cancel. They should not be seen as order types. They can map to FIX execution instructions, i.e. ExecInst, as follows:
Top of Book (TOB): ExecInst = Z = Cancel if not best
Book or Cancel (BOC): ExecInst= 6 = Participate don’t initiate
Both conditions are meant to be used if someone wants to get an order into the book without it being executed immediately. This means that it should not be an aggressor or taker and rest on the book instead. TOB is a special flavor of BOC as it also defines where in the book the order has to rest, i.e. at the very top, thereby reducing the spread. This functionality was added specifically for algo traders.
These execution conditions could also be submitted to FPL as an extension to the field TimeInForce (59) as they relate to IOC in a way. IOC is the opposite if you will, i.e. the order MUST be executed immediately or cancelled whereas with TOB and BOC the order MUST NOT be executed immediately or cancelled. However, it cannot be a TimeInForce if such orders are able to survive the current business day. TimeInForce values are mutually exclusive. Xetra does not allow such order to be anything but Good for Day so that TimeInForce would suffice. This may change in the future and I do not know if we will submit an extension to TimeInForce so you are on the safe side with ExecInst and its existing values.
Regards,
Hanno.
Hi All,
I am looking to map a special “Top of Book” order type (from Xetra ETS) to a valid FIX Order Type. Does anyone have any suggestions regarding this? I am hoping to reuse an existing order type rather than introduce a custom type for myself.
Kind Regards,
Prateek Jain
Thank you Hanno. I took your advice and implemented TOB as an execution restriction. However, now I am faced with a similar situation for “Strike Match Order”.
Kind Regards,
Prateek Jain
Use OrdType=2=Limit, LimitPx, StopPx and DiscretionLimitType=2=Or worse. You need to allow the existence of a StopPx without OrdType being Stop or Stop Limit which would identify normal stop orders. For market orders it would be OrdType=1=Market, StopPx and DiscretionLimitType=2=Or worse, LimitPx simply omitted. I believe SMO is only allowed in auctions so that you can use the new TradingSessionSubID=8=Any Auction (comes with EP131, already GTC approved) to be even more explicit. DiscretionLimitType=0=Or better identifies a normal discretionary order as opposed to a SMO.
Thank you Hanno. I took your advice and implemented TOB as an execution restriction. However, now I am faced with a similar situation for “Strike Match Order”.
Kind Regards,
Prateek Jain