[This message was posted by Jue Wang of Pershing <[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/66643956 - 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.
