[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/64b4a9ba - PLEASE DO NOT REPLY BY MAIL.]
NYSE is apparently using a user-defined field (9487 RoutingInstruction) with a value of "CO". I do not see the routing element of an order that is valid for the imbalance of the closing auction only but as they use a UDF, it is outside of the standard anyway. NYSE permits only 0=Day for 59 TimeInForce of closing offset orders. I would argue that 7=At the Close is a better value. I believe NYSE currently uses TimeInForce=2=At the Opening for the opening auction and TimeInForce=0=Day + OrdType (40) for the closing auction with OrdType values 5=Market on Close and A=On Close which are no longer used. The difference in approach for opening and closing auctions does not seem intuitive and is only supported in older FIX versions. It was deprecated with FIX 4.3 in Aug 2001. In my view, the standard approach to orders only allowed to match the opposite side of the imbalance during the closing auction would be to use TimeInForce=7=At the Close together with tag 18 ExecInst=i=Imbalance only. This was added to FIX 5.0 and is formally not part of FIX 4.2 used by NYSE. However, it is still better to use a standard message/field/value from a higher FIX version than to go for a user-defined field. > i think i found the answer i was looking for. see the attached link - > http://www.nyse.com/pdfs/ClosingOffsetOrder_20091116.pdf > > Could you post a short description of it? Thanks. > > > > > Has there been any industry consensus as to what fix tags will be > > > used to support this new NYSE Closing offset order type? [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.
