[This message was posted by Greg Wood of Credit Suisse <[email protected]> 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/5c2b4758 - PLEASE DO NOT REPLY BY MAIL.]
I think that the term "cross" has changed slightly over the years depending on where it is being used. I agree with Scott and Hanno - a cross is technically something that is arranged off-exchange and then reported to the exchange in a single message detailing both sides of the trade. This is still very much the case for derivatives exchanges such as Eurex where cross are only permitted if they are exposed to the general market place for 5 seconds or so. However to Girish's point, in US equities the term has become used in a much more looser manner to mean a trade that is completed outside of an exchange via an ECN or other crossing network such as a dark pool, things that don't exist in futures markets. In this case a New Order - Single is placed to trade with other counterparties within the crossing network, including a broker/dealers proprietary desk that might act as a market maker trading from its own inventory or as a block facilitator. A client can choose to cross internally or just use functionality like smart order routing to trade through a single connection and find the best execution on exchange or off. If I remember from my Series 55, a trade from a crossing network is reported via a post trade facility like TRF which is quite different from the sort of cross report that an exchange like Eurex requires for an off-exchange trade. Credit Suisse calls its dark pool "Crossfinder", but we're not using Cross Orders from clients ... Regards, - Greg > Girish, > > I believe Hanno's definition of a "Cross Order" is correct (a single > firm's desire to cross two sides of their own order), and that what you > are describing is a "crossing facility" (or "internalization"). I would > expect users of such would simply send New Order - Single messages for > their individual orders (and may designate that they want to access or > participate in the crossing service via attributes on the New Order > Single message). > > > > Hanno, > > > > Cross trade doesnot only refer to the trade which are subimitted by > > single buy side, the orders will come from different buyside side firm > > and then it get internally matched with the sell side hub, if this > > matched then the trade will get executed with out reporting to > > exchange. > > > > For example, If A,B,C,D are the buy side firm using E as their > > sellside firm for executing the orders then A may send a buy order > > which matches with the sell order of B, so in this phase the E > > sellside broker matches this order internally and send the ER to both > > the counter parties. > > > > Regards, Girish > > > > I have a different view and would call what you describe > > > "internalization". The definition you give is confusing for me as it > > > does not seem to fit with the way it is used by FIX. I thought that > > > cross trades were when both sides of a trade come from a single > > > submitter. That would only fit if the sellside internally "matches" > > > two orders and then sends both sides to an exchange for execution. > > > In this case the sellside is the single submitter. > > > > > > FIX provides messages NewOrderSingle and NewOrderCross and I see the > > > difference on the input side (providing one or two sides) and not on > > > the execution side (match internally or forward to an exchange). > > > > > > NewOrderCross allows to send in both sides within a single message, > > > i.e. you provide a potential match. Regulatory rules for exchanges > > > might require the exchange to make this public before executing > > > it so that others can step in. If nobody steps in (no other > > > qualifying orders), the cross can be executed as provided. > > > Wouldn't the buyside typically only send in one side (using > > > NewOrderSingle), asking the sellside to look for the best > > > execution? In that sense, the buyside cannot "send in a cross > > > trade", it can only send in an order and it is the sellside > > > that makes this into a cross trade when it comes up with the > > > other side (and sends this to an exchange). > > > > > > Regards, Hanno. > > > > > > >Guys, > > > > > > > > Just to simplfy the answer, Cross trade means, it is the trade > > > > which is sent by buyside to the sellside were the sellside will > > > > try to match the order internally with in their inventory and if > > > > the order matches then he will execute this internally and will > > > > not send to exchange. In other case if the order parameter are not > > > > matching with the internal orders then the sellside firm will send > > > > the order to exchange. > > > > > > > > Correct me if i am wrong. > > > > > > > > Regards, Girish > > > > [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
