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ECNs, Exchanges
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Re: Market on close orders pre-assignment
Carlos Hernandez / New York Stock Exchange <>
5 Aug 2010 1:04PM ET 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
> Carlos,
>
> interesting case but I do not see why it should not be covered by FIX. FIX requires to send back an ExecID in the ExecutionReport but not a price (e.g. in case of a market order). ExecID is a simple message identifier and not an identifier for a match/fill. You would need to use the 58 Text field to convey pre-assignment information about the order. The order status does not need to change.
>
> I find it strange that you should not be able to modify or delete your order and that it gets pre-matched. Anything can happen between time of entry and market close. Why would you force someone to match at whatever price the market eventually closes?
>
> A message flow that will be proposed as an extension to FIX shortly might be able to cover your scenario, i.e. locked orders which are subject to restrictions related to modifications/deletions (governed by Rules of Engagement). You would then be able to send back an ExecutionReport with a locked quantity and a lock type (e.g. "Pre-matched") to the order submitter to tell him that part of his order is no longer (or only currently not) accessible. There is already a user-defined field 7770 LockedQty. The lock type is not really covered, the closest are 9847 LockedInStatus and 9857 LockedIn but the intended semantic differs.
>
> Please join the next meeting of the Global Exchanges & Markets Committee on Monday, August 9 at 9am ET where the extension for locked (and released) orders will be presented and discussed.
>
> Regards,
> Hanno.
>
> > 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
Re: Market on close orders pre-assignment
Carlos Hernandez / New York Stock Exchange 5 Aug 2010 1:04PM ET
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