re: Options, strategies & exchanges
Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC
14 Apr 1999 1:06PM ET> The problem with the List message is that it only covers order entry.
I agree. That's why I believe any solution that treats a strategy as a symbol, be it a concatenation of the leg symbols or a dictionary lookup, to be superior. The work to define the strategy symbology then becomes immediately applicable to all FIX messages.
>At LIFFE, strategies have a price and so we need to IOI them to indicate to everybody that the price is. We would need a List IOI message adding. Same for the Quote Request message. In the trading pit it is usual for traders to walk into the pit and ask what the price of a strategy is - which in an electronic market is a quote request. We would need a List Quote Request and a List Quote message.
Now I am not terribly familiar with what happens at LIFFE, but I am wondering if your only tool is a hammer, so problems are looking like nails.
I think IOI and Quote are often being used in environments where they really are not very efficient, and I seriously suggest examining the Book draft.
IOIs have a specific business function. But since they are the only standard FIX message vaguely suited to announcing the book of an exchange or ECN, they are sometimes used for this purpose even though doing so is really inefficient. Only one side of one instrument can be expressed in one standard IOI message, meaning the amount of overhead in the message header is lost, and FIX engines have to handle much larger numbers of small messages.
Quote can be used to request the current price of an instrument. But the Book draft was designed as a general and efficient way of requesting live market data, be it just the best bid and offer, or the depth of book.
This means the Quote message can then take on an important business function separate from being just a request for market data. A Quote Request can be sent to a trading partner prior to placing an order, and if the quote is agreeable, an order is placed "as quoted" with that trading partner.
