[This message was posted by Balasubramanian Radhakrishnan of <bala....@gmail.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/ff9393de - 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. What are the order Types SFE supports and required Fixtags? [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 -~----------~----~----~----~------~----~------~--~---
