|
ECNs, Exchanges
< Previous Next >
Re: Market on close orders pre-assignment
Hanno Klein / Deutsche Börse Systems <>
5 Aug 2010 3:53AM ET 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
Hanno Klein / Deutsche Börse Systems 5 Aug 2010 3:53AM ET
|
