[This message was posted by Terry Murtaugh of Charles River Development <[email protected]> to the "Derivatives" discussion forum at http://fixprotocol.org/discuss/15. You can reply to it on-line at http://fixprotocol.org/discuss/read/31fd665e - PLEASE DO NOT REPLY BY MAIL.]
Thanks, Greg, that is really useful information - I'm not sure how to answer your question. We sell an OMS, and some of our users were asking about TAS orders on ICE and potential support via FIX. I was thinking of a TAS order as being just an order type on a single security/symbol in the database, not an order on a separate security/symbol. Having multiple securities for the same contract would complicate things in our product, since the ultimate position is in the plain old contract, right? So I guess we would need something under the covers to understand than some TAS orders are for a different exchange symbol, and others (like on ICE), are for the usual symbol. The market data would only be available for the raw symbol, wouldn't it? And when a TAS order is filled, the price would come back net including the settlement base price, wouldn't it? E.g., if the settlement price is 94.00 and my TAS offset is +0.05, I would get a fill at 94.05 - is that right? > Hi Terry, > > This is an interesting question, and I haven't got an answer for you > regarding ICE trade-at-settlement products since we have not yet had the > demand for these along side the regular contracts. I'd be interested to > hear other views on this. > > We support TAS products listed on GLOBEX, i.e. the former NYMEX complex. > In this case there is a distinct product code for the TAS version > compared to the regular contract - and a different RicCode, for example > CLTN9 to distinguish the TAS contract from the regular July 09 Light > Crude CLN9. > > That make the identification of the TAS contract easy. Clients then > trade the TAS contract in exactly the same way as regular products by > placing bid and offers throughout the day at the base +/- their > differential, and then the exchange does the match at the end of the > day. We've used regular limit orders for this, no need for a market-on- > close since that is implied in the contract definition. > > ICE doesn't make this quite as easy. They use the same exchange codes > for the regular contract and the TAS version (e.g. just "B" for Brent > Crude), plus there are no separate Rics or Bloomberg codes. I think that > the main reason this has not come up for Credit Suisse is because the > specialist community that uses this type of trade generally still uses > WebICE directly rather than a broker execution service via FIX. > > My gut feeling would be to use regular limit orders with the > differential in tag 44 for ICE TAS with that extra piece of info to > denote the TAS contract rather than - say - regular Brent Crude. If that > can't be synthesized via a distinct symbol then ExecInst seems a > reasonable option, which we would need to translate into the appropriate > identifier via the ICE FIX API. My interest is piqued and I'll follow up > on this with our contacts at the exchange itself. > > A question back to you - how do you subscribe to market data on the TAS > contract ? How you disseminate that in turn affects what codes are sent > to a broker and the price sent/expected back. > > Regards, > > - Greg > > > > > Does anyone offer FIX connectivity to ICE exchanges that support the > > TAS (trade at settlement) orders? I guess those are similar to market > > on close or limit on close orders; you submit them with an optional > > price specification of +/- one or two ticks from the settlement price, > > and the orders get matched by the exchange on a first come, first > > served basis. I was wondering what the recommended tags and values > > would be to specify the TAS order type (ExecInst?) and to specify the > > desired price. > > > > Thanks. [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 -~----------~----~----~----~------~----~------~--~---
