[This message was posted by Jay De Young of Chicago Mercantile Exchange <[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/f42bcf72 - PLEASE DO NOT REPLY BY MAIL.]
While the meaning and usage of the term "Cross Order" could be debated, (even though I too agree with Scott and Hanno) in terms of messaging, the "NewOderCross" message is structured such that you know both parties. For an order that may be subject to off-exchange internal processing, you won't know ahead of time where (or with what other party) the order will match, so in that case - even subject to "internal crossing", the proper message is NewOrderSingle. > 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 -~----------~----~----~----~------~----~------~--~---
