[This message was posted by John Harris of BondMart Technologies, Inc. <[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/785018a3 - PLEASE DO NOT REPLY BY MAIL.]
The order you describe is self-contradictory. The most sensible practice would be to reject it. > Is there a standard or recommended practice when an order has > TimeInForce(tag 59)=3 Immediate or Cancel (IOC) and ExecInst(tag 18)=G > All or none (AON) in an exchange/ECN/ATS environment. Immediate Or > Cancel behavior is to fill what can be filled on the order and cancel > any unfilled portion. ExecInst=AON means the order must be fill > completely or cancelled (but the order can rest in the book - as opposed > to a Fill Or Kill order where the order must be fully filled or canceled > without resting in the book). > 1. Should the order be rejected due to incompatible attributes? > 2. Should the TimeInForce=IOC take precedence over the ExecInst=AON - > effectively ignoring the ExecInst? > 3. Should the TimeInForce=IOC behavior be modified to act as a > TimeInForce=FOK behavior because the ExecInst=AON is specified? > 4. Some other alternative I haven't thought of? > > It doesn't seem to me that the ExecInst=AON should override the > TimeInForce instruction - meaning the order should not be allowed to sit > in the book. [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 -~----------~----~----~----~------~----~------~--~---
