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High Performance Interface WG
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Re: New Program Trading message types for batching
Hanno Klein / Deutsche Börse Systems <>
18 Jan 2011 7:41AM ET I am not sure about this approach. It blurs the lines between application and session level. NewOrderList is not a batching facility for arbitrary orders. All orders in such a list are linked to each other in a business sense. For example, a basket order for an index consisting of one order per index constituent. Contingent orders are another example where you have only 2 orders (e.g. one cancel the other). The concept of List orders is to enter them in bulk and then to use ListExecute, ListStatus etc. to work on the entire list. Order modifications are done on individual orders with the standard OrderCancelReplace which carries tag 66 ListID to optionally reference a list.
Batching is a different requirement in order to reduce message overhead. It should be hidden from the application level which should only deal with FIX messages. I cannot say whether it is worth the extra processing of the recipient to unpack the batch message. FIXML has a concept of batching built into the message as XML element. But FIXML is not used for HFT.
Regards,
Hanno.
> 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
Re: New Program Trading message types for batching
Hanno Klein / Deutsche Börse Systems 18 Jan 2011 7:41AM ET
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@FIXProtocol
