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ECNs, Exchanges
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Market on close orders pre-assignment
Carlos Hernandez / New York Stock Exchange <>
4 Aug 2010 4:05PM ET Hi All:
I'm studying the case of a exchange that follows this protocol to match market on close orders:
1. Two orders, one for buy 1000 @ market close and one for sell 500 @ market close are received
3. the buy & sell are matched and each party is informed that 500 shares are 'pre-assigned' to the other party. No price or ExecId are created
4. the buyer can only cancel now up to 500 shares. The seller cannot cancel anything.
5. At the end of the day, the pre-assignments turn into real matches and the buyer and seller now get an execution report, together with price, execId, etc.
The above is not in FIX at the moment, and I am struggling with the modeling of the pre-assignment concept. Does anyone know a similar problem or have ideas on possible FIX models for it?
Regards
-C
Market on close orders pre-assignment
Carlos Hernandez / New York Stock Exchange 4 Aug 2010 4:05PM ET
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