[This message was posted by Hanno Klein of Deutsche Börse Systems <hanno.kl...@deutsche-boerse.com> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/824953cc - PLEASE DO NOT REPLY BY MAIL.]
Understand, "marketable-limit" seems to be the right term here. FIX 5.0 introduced tag 1090 MaxPriceLevels to allow the user to limit the number of price levels an order should trade through. Absence of this field would indicate that no restrictions exist. If we are talking about the SYCOM FIX Interface then we are talking FIX 4.0 (SYCOM v2.4 dated Oct 17, 2008). Unfortunately, they have added their own enum value 10 to convey MLM (Market Limit) order type in tag 40. This is also inconsistent with the data type (char) of this field. Other enum values of OrdType have been overridden, e.g. they use 6 for Stop and 7 for Stop Limit (instead of 3 and 4 as defined in FIX 4.0). I wonder how their users get around these encoding issues with a standard FIX engine. > Hi, > > The Sydney Futures Exchange has an unusual implementation of the regular > limit order type in that it only allows down to the best bid or up to > the best offer, and a limit order will be rejected if the limit price > goes through the book. To get around this limitation the exchange > implemented a marketable-limit(aka "sweep"") order that allows you to > trade through up to 5 price levels. > > As already said this marketable-limit order is not the same as a market-to- > limit order where any residual unfilled on a market order is converted > at the exchange to a limit order at the last traded price. BTW market > orders are not valid on the SFE. > > Since most clients want a regular limit order (40=2) to behave the same > way on the SFE as any other exchange, we have typically implemented a > mapping at Credit Suisse to change 40=2 on the SFE to mean a marketable- > limit/sweep order at the exchange. However to complicate things you > can't place a marketable-limit/sweep order during pre-market, it has to > be a regular limit order as defined by the exchange. > > To provide that granualarity we have overloaded 40=7 (Limit-or-better) > to specifically reference a marketable-limit order and 40=2 specifically > references the limit-at-best (i.e. a limit order that will only be > accepted at best bid & above or best offer & below) implementation of a > limit order on the exchange. > > Watchout if you move to 4.4 since 40=7 was deprecated in FIX versions > later than 4.2. > > Hope this helps. > > Regards, > > - Greg > > However you cannot place this marketable-limit order > > > > It is not sufficient to only state the term "MARKET_TO_LIMIT" without > > explaining the underlying semantics. You explained the semantic of > > value K and stated that this is different from your business > > requirement. So far so good, but what is your business requirement? > > > > So I can only guess that you need something that changes the order > > from market to limit when a certain event occurs. Such changes are > > covered by the <TriggeringInstruction> component block. Tag 1111 > > TriggerOrderType lets you define the new order type (in your case: > > Limit). What is missing is your description of the actual trigger. > > > > > > client wants to trade Market to limit order for SFE exchange. What > > > > is the suggested FIX tags from the client side > > > > > > > > Example : OrderType=Limit / K (it should be industry standard) - > > > > What is the order type for Market to Limit(in SFE market_to_limit > > > > is the one of the order type) Price=x.x > > > > > > > > Could someone suggest about this, please? > > > > > > This is not a Market with Leftover as Limit (market order then > > > unexecuted quantity becomes limit order at last price). SFE supports > > > MARKET_TO_LIMIT as a order Type. Please suggest the standard fix > > > tags for this order request. [You can unsubscribe from this discussion group by sending a message to mailto:unsubscribe+100932...@fixprotocol.org] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to FIX-Protocol@googlegroups.com To unsubscribe from this group, send email to fix-protocol+unsubscr...@googlegroups.com For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
