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ECNs, Exchanges
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Re: Market on close orders pre-assignment
Hanno Klein / Deutsche Börse Systems <>
6 Aug 2010 3:45AM ET Carlos,
sounds good, a few more comments and issues to consider:
- You did not say which ExecType value you would want to use. You would need to send a price if sent as a fill (FIX 4.2 ExecType 1 or 2). Maybe it is better to send it as a restatement (ExecType D) and populate the lock fields to indicate the pre-assignment. The lock fields can be removed again at the end of the day when confirming the trade (unless you have multiple pre-assignments, i.e. your locked qty only gets reduced until it is finally zero)
- Apart from the technical issue (price needed for ExecType conveying a fill), there might be a business reason to not send a trade until it is actually done at the end of the day. What if the market is halted for some reason and "on close" orders are removed?
- Filled orders are considered to be in a terminal state (at least by exchanges) and fall out of the pool of active orders. You might not be able to inquire the order anymore (in your case the sell order for 500). Keeping the order state "New" avoids this problem.
- Modifications of "on close" orders (if permitted) need to take the locked qty into account and be rejected if the new qty falls below the locked qty (in your example, changing 1000 to less than 500)
- If you DO send out the pre-assignment as a trade: you described FIX 4.2 where ExecTransType is still valid. As of FIX 4.3 this field is deprecated and it would be just ExecType = G = Trade Correct instead.
- I will add another value "Pre-Assignment Lock" to the intended new standard field LockType (subject to committee discussion and approval)
Regards,
Hanno.
> Hanno,
>
> Thank you so much for your response! it is indeed strange that you can't modify the order despite being just a pre-allocation.
>
> Based on your suggestions, I feel the following behavior could be a clean FIX implementation:
>
> 1. Two orders, one for buy 1000 @ market close and one for sell 500 @ market close are received
> 2. the buy & sell are matched and each party is informed that 500 shares are 'pre-assigned' to the other party. An ExecutionReport is sent with no price but ExecId=E1 and LockedQty[7770] and LockedInStatus[9487] to indicate that is a pre-assignment.
> 3. the buyer can only cancel now up to 500 shares. The seller cannot cancel anything.
> 4. At the end of the day, the pre-assignments turn into real matches and the buyer and seller get an execution report where ExecTransType[20]=Correction, the correct Price is sent and RefExecId=A1
>
> This way a FIX compliant OMS could process the order correctly, even if it does not take in account the pre-allocation tags.
>
> Warm regards
>
> -C
>
Re: Market on close orders pre-assignment
Hanno Klein / Deutsche Börse Systems 6 Aug 2010 3:45AM ET
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