[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/65969779 - PLEASE DO NOT REPLY BY MAIL.]
I would opt for a rejection due to incompatibility as IOC orders cannot rest on the book whereas AON orders can. This can only be resolved by creating a mixed interpretation between the two. Instead of trying to interpret what IOC+AON could mean, I would go back to the sender and ask him what he is trying to convey in business terms. Either this can be mapped to existing FIX tags and valid values or we have a gap for which an extension of the spec might be useful. > 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 -~----------~----~----~----~------~----~------~--~---
