[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/0b06b5db - PLEASE DO NOT REPLY BY MAIL.]
Greg, I believe there are options to do this with FIX 4.x versions without adding user defined tags. You can use EffectiveTime (168) to express that an order provided on T-1 does does start until T, i.e. it must not be removed prior to T. You can use TradingSessionID (336) to specify one or more sessions (it is a repeating group) during which the order should be valid. FIX 4.4 already has component block TrdgSesGrp with the additional field TradingSessionSubID (625). As of FIX 5.0 SP1 we have made the usage of this group more precise while maintaining backward compatibility. TradingSessionID is for units expressed in terms of the trading day and would probably simply be 1="Day" in your case. TradingSessionSubID is intended to express parts of what id defined in TradingSessionID, in your case this would be 2="Opening or opening auction" or 4="Closing or closing auction" or a value of 100 or above to express specific session like "on cash close". Regards, Hanno. > Hi all, > > Here is a little conundrum we are faced with. > > We accept "overnight" orders for various equities and derivatives > markets. These are orders for manual or electronic execution that are > accepted during one business day and executed on another via a single > global point of entry, for example an order to trade Hong Kong sent > during the European day via an ASP based vendor. > > The order is receive on T-1 and executed on T, which technically makes > it a Good Till Date order. That's fine, the GTD time in force ensures > that the order persists across client or vendor bounces, as well as > persisting across in-house housekeeping that would typically clean out a > "DAY" order at the end of the global business day, which occurs between > European and Asian hours. However, what if a client wants precise > participation in a particular event such as the open or close ? The > order then becomes an "At Open" or "On Close" TIF. So what is the best > way to express this secondary TIF ? We can't use tag 59 because we've > already earmarked that to persist the order as a "GTD" ... > > For care orders, we've often relied on a client to put this instruction > into tag 58 for a trader on the desk to interpret and action > appropriately, and/or, on receipt of an order the European desk verbally > confirms the instruction with the client and passes that via email to > their colleagues in Asia as the book is passed between regions. However > this can be a cumbersome and prone to accidents - something FIX is meant > to eliminate ! > > For orders stored for electronic release in particular, we need almost > to introduce the concept of an order handling TIF as well as an > execution TIF. the order handling TIF says "persist this order across > two or more trade dates", and the execution TIF says "execute the order > at open, on close, on cash close (for futures), etc". > > I'd be very grateful for any ideas how to handle this in the common > flavours of FIX used by the sell side (4.2 and 4.4). I notice that 5.0 > introduces CustOrderHandlingInst and DeskOrderHandlingInst for the > purposes of OATS regulatory reporting in the US, but these are not > designed to override the use of tag 59 or tag 18. > > So suggestions please for ways to handle this situation, and if there > are none and people are interested in creating a best practice for this > situation then please let me know and we can discuss further. > > Regards, > > - Greg [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 -~----------~----~----~----~------~----~------~--~---
