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ECNs, Exchanges
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Re: SGX Order Types
Hanno Klein / Deutsche Börse Systems <>
14 Apr 2010 12:23PM ET I assume you do not have any documentation from SGX on their order types. I believe SSO stands for "Session State Order" and SGX uses the term to denote orders that trigger only when the market transitions into a new session state, in this case "Open" or "Close". Such orders have a normal order type such as Limit or Market or even Stop, i.e. the "SSO"-part should be conveyed by something else than the FIX field OrdType.
I suggest to use the TriggeringInstruction component as follows:
1100 TriggerType = 2 (Specified Trading Session)
1101 TriggerAction = 1 (Activate)
1113 TriggerTradingSessionID = 1 (Day)
1114 TriggerTradingSessionSubID = 2 (Opening) or 4 (Closing)
You cann omit TriggerAction if you would only ever use value 1 (Activate).
Regards,
Hanno.
> Hi, I need to build 2 SGX order types for testing, 'SSOOpen' and
> 'SSOClose'. Does anyone know the OrdType and TimeInForce for these order
> types? Also, are there any other tags specific to these order types that
> are required?
>
> many thanks for your help
>
> Graham Carter
Re: SGX Order Types
Hanno Klein / Deutsche Börse Systems 14 Apr 2010 12:23PM ET
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