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4.0 Session
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Re: Use Of New Order messages
Sunil Singh / HCL Technologies
2 Apr 2007 4:29AM ETThe NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.
In the "Non disclosed" convention the New Order - List message is sent after the bidding process has been completed, by telephone or electronically. The New Order - List message enumerates the stocks, quantities, direction for the trade and may contain pre-allocation information.
This message may also be used as the first message for the transmission of a program trade where the bidding process has been done by means other than FIX. In this scenario the messages may either be used as a staging process, in which case the broker will start execution once either a ListExecute is received or for immediate execution, in which case the orders will be executed on receipt.
In the "Disclosed" convention the New Order - List message is sent before the bidding process is started, by telephone or electronically. The New Order - List message enumerates the stocks and quantities from the bidding process, and may contain pre-allocation information. The direction of the trade is disclosed after the bidding process is completed.
Where multiple waves of a program trade are submitted by an institution or retail intermediaries, as a series of separate lists, to a broker ClOrdLinkID may be used to link the orders together.
The New Order - List message type may also be used by institutions or retail intermediaries wishing to electronically submit multiple Collective Investment Vehicle orders to a broker or fund manager for execution.
The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.
1. Predefined Multileg Security Model (FIX 4.2)
In this model a Security Definition Request for the security is sent to the counterparty that defines the multileg security and the legs. The counterparty accepts the security definition with an acknowledging Security Definition message. The initiating counterparty can then send a New Order - Single message that specifies just the multileg instrument without the legs.
Re: Use Of New Order messages
Sunil Singh / HCL Technologies 2 Apr 2007 4:29AM ET
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