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New Program Trading message types for batching
Enio Perpetuo / BM&FBovespa
18 Jan 2011 7:06AM ET

The current NewOrderList (35=E) message doesn’t support modifies.
As a result, customers need to cancel and then send a new order list for a modify. It would be more efficient if HFTs were allowed to send only modifies.

What I propose is that HFTs should be able to modify/cancel any subset or all orders in a list.
In order to provide this batching capability, it would be needed to create some new ProgramTrading message types.

Regards,
Enio

New Program Trading message types for batching
Enio Perpetuo / BM&FBovespa   18 Jan 2011 7:06AM ET

Re: New Program Trading message types for batching
Hanno Klein / Deutsche Börse Systems   18 Jan 2011 7:41AM ET

Re: New Program Trading message types for batching
Donald Mendelson / CME Group   18 Jan 2011 9:24AM ET

Re: New Program Trading message types for batching
Hanno Klein / Deutsche Börse Systems   18 Jan 2011 9:50AM ET

Re: New Program Trading message types for batching
John Harris / BondMart Technologies, Inc.   18 Jan 2011 10:54AM ET

Re: New Program Trading message types for batching
Donald Mendelson / CME Group   20 Jan 2011 11:23AM ET

Re: New Program Trading message types for batching
John Harris / BondMart Technologies, Inc.   20 Jan 2011 12:19PM ET

Re: New Program Trading message types for batching
Hanno Klein / Deutsche Börse Systems   26 Jan 2011 5:29AM ET

Re: New Program Trading message types for batching
John Harris / BondMart Technologies, Inc.   26 Jan 2011 9:20AM ET

Re: New Program Trading message types for batching
Jim Northey / The LaSalle Technology Group   26 Jan 2011 11:28AM ET

Re: New Program Trading message types for batching
John Harris / BondMart Technologies, Inc.   26 Jan 2011 7:48PM ET