[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/e39dec73 - PLEASE DO NOT REPLY BY MAIL.]
Have a look at MaxPriceLevels (1090) that was introduced with FIX 5.0 SP1 to prevent an order to execute beyond a pre-defined number of price levels. Setting it to 1 would convey a single price restriction. However, a limit order might be executed at a better price than given in the order. This would still need to be solved otherwise, e.g. ExecInst=b=Strict Limit. I do wonder why someone would refuse a price improvement :-) > An order to be executed without splits in the prices is usually > considered a "block" order, i.e. the order is executed with the > instruction to complete the entire order at a single price level. > > Since it is not possible to guarantee this on most electronic markets > without pre-negotiation and block reporting, I'm not aware of any > standard instructions in 4.x to specify an order with single price > execution only. > > Electronic venues that offer block facilitation often use custom tags > and/or are designed to only execute an order at a single price. > > Regards, > > - Greg > > > > > Now, I know answer. :) Following combination is used in this purpose: > > 40=2 (Limit) and 18=b (Strict Limit). > > > > Maybe it will helpful for someone. > > > > > Hi! Does anybody know which of FIX tag(s) can spesify limit order > > > that should be executed with the one (same) price? 59=IOC or 59=FOK > > > isn't appropriate. > > > > > > Please help me asap. Thank you in advance. [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 -~----------~----~----~----~------~----~------~--~---
