[This message was posted by Franck MIKULECZ of BAXTER Financial Services Ltd. <[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/bb9bba75 - PLEASE DO NOT REPLY BY MAIL.]
Hi, BAXTER is a member of ICE but only routes/execute orders for FX. Is your request regarding FX or other/all ICE products ? Let me know if I can help. Franck > 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 -~----------~----~----~----~------~----~------~--~---
