[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/950e20bd - PLEASE DO NOT REPLY BY MAIL.]
A couple of things. Tag 59 TimeInForce does not permit custom values. A custom tag with the same name should not be used for this key field. If the session ends with a closing auction or crossing of some type, then one can use value 5=Good Till Crossing to 8=Good Through Crossing to indicate whether it is allowed to participate in the closing auction or crossing. Value 7=At the close means that an order is only valid in the context of the closing auction or crossing and does not apply in your case. Another option is to use tag 336 TradingSessionID with values 3=Morning and 4=Afternoon. Is this is part of the order then is order is only valid during said session. "Morning" would be equal to the first session and "Afternoon" equal to the second. This seems to be the better approach. Regards, Hanno. > Hi, > > There is a TimeInForce option defined as 'At the close'. The glossary > specifies this as "Indicated price is to be around the closing, however, > not held to the closing price." It is unclear to me what this means or > how it is used. Can someone illustrate with an example. > > A commodity exchange specifies a TimeInForce value as EOS > (EndOfSession). The way this custom tag is used is that choosing the TIF > in order as EOS makes the order valid only till End Of Session. The > exchange holds two trading session in the day. > > I want to understand if 'At the close' can be used instead of 'End > of session'. > > Thx & Regards, Nishant Ranjan [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.
