[This message was posted by Hanno Klein of Deutsche Börse Systems <[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/e81dba1b - PLEASE DO NOT REPLY BY MAIL.]
Andrei, I do not think there is a standard behaviour although the verbiage of FIX 5.0 SP2 is quite clear on the case you mention: 40 OrdType K = Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price) However, FIX 5 also allows you to make the behaviour explicit for any order type change by using the following fields: 1101 TriggerAction = 2 = Modify 1100 TriggerType = 1 = Partial Execution 1111 TriggerOrderType = 2 = Limit (or whatever you need it to become) The question becomes what value it is to always know the initial type of an order. Would it help to have a field like InitialOrdType that reflects the value during order entry? This could also cover the case of a triggered stop order becoming a regular (market/limit) order. ExecType = L = Triggered will only cover the event when it changed. Tag 636 WorkingIndicator is intended only for OrdStatus=New. My view is that it is better to change the order type if the order also behaves differently. A market order is no longer a market order but a limit order if the price is taken into account for matching. A stop order is no longer a stop order but a regular order if it can participate in matching. Regards, Hanno. > Hi there, > > I am wondering if the spec regulates if an OrdType such as Market with > leftover as Limit/Stop Limit must change after a fill/triggering event? > I know that some exchanges (e.g. CME) do change it, while others (e.g. > BM&FBovespa) do not. > > If there is no standard behaviour, is this something that is was > addressed by any working groups? ECN/Exch WG maybe? > > Regards, > > Andrei Goldchleger [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 -~----------~----~----~----~------~----~------~--~---
