[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/b4d9d11a - PLEASE DO NOT REPLY BY MAIL.]
I do not see the difference between your description and the TimeInForce value 4 = Fill or Kill (FOK). I do not see IOC as a sub-qualifier of AON. > I see this combination TimeInForce 59=3 Immediate or Cancel and ExecInst > 18 = G All or None as a perfectly valid combination to mean > > Either Immediately Execute the Full Quantity or Cancel it Fully > Immediately > > The buy side wants a Full Execution now or a Full Cancel now. > > > 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 -~----------~----~----~----~------~----~------~--~---
