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Japanese FIX
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Re: Sashinari & Hikenari order types
Etsuko Shimabukuro / Meta Bit Systems Co.,Ltd. <>
23 Apr 2005 2:35AM ET> Can someone give me a diffinative description of how these order types
> work on TOCOM and how they differ from Funari. I believe the answer is
> all to do with doping things at end of session rather than end of day.
Hi Jeremy,
This is Etsuko Shimabukuro from MetaBit. I hope the following explanation will clarify. I think you raised interesting topics here.
Sashinari (Limit market order) = First, this is treated as a limit order. However, if all or part of the order is still unexecuted, then the remaining quantity is changed to market order at "day's" closing (O-hike).
Hikenari (Market order on close) = This order type can be placed either for closing of morning session or closing of afternoon session. However, if an order is placed for closing of morning session and there are still unexecuted quantity, then the remaining quantity (not expired at morning close)is treated as a market order for "the opening of afternoon session".
If an order is placed during afternoon session, it is treated as a market order on afternoon close.
Funari = It's similar to the TOCOM "Sashinari", but this order type can be used for both close of morning and close of afternoon session. For example, if an order is placed during morning session, then the remaining quantity (if any) is changed to a market order at "morning" close. If an order is placed in afternoon session, the remaining quanity (if any) is changed to a market order at "afternoon" close.
Recently, I've started wondering whether "Funari" shoud be renamed to be more generic (such as "limit order with left over as market on close"?) so that it can be used for TOCOM and other exchanges. I feel that the current "Funari" is strongly associated with the specific Japanese exchanges.
In reality, we actually utilise "Funari" tag value to mean TOCOM "Sashinari" so that it's still following the standard FIX Protocol rather than introducing new user-defined tag values.
Any opinion?
Etsuko Shimabukuro
etsukos@meta-bit.com
www.meta-bit.com
Re: Sashinari & Hikenari order types
Etsuko Shimabukuro / Meta Bit Systems Co.,Ltd. 23 Apr 2005 2:35AM ET
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