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ECNs, Exchanges
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re: Book Proposal
Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC
4 Jan 2000 3:51PM ET> Does the current proposal account for sharing of the order book (cross listing books) among execution systems in a peer-to-peer environment. I think a 2 phase commit for distributed matching across execution systems is needed.
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> (Logically not FIX specific)
> I can see a use case where:
>
> I as an ECN list by books with other ECNs. I own these orders and the other ECNs. Another ECN matches the order and sends me a match request; I must send acknowledge the match in ‘x’ seconds. No ACK and the match are broken. The ack, positive or negative (because it was internally traded or canceled) received by the remote party either rolls back the trade or sends a match confirmation (binding and done trade). Broken trades could either be handled externally (manually) or based on some automated rules.
This "2 phase commit" already happens using IOC orders.
For instance, Customer 1 sends a buy order to ECN A. The order does not lock or cross the market, and is the best bid for ECN A, so ECN A advertises it to ECN B in a Market Data message. Customer 2 places a sell order to ECN B which happens to lock the market and matches the order on ECN A. ECN B then sends an IOC order to ECN A. If the match is still there, ECN A sends back an execution. If Customer 1 already cancelled the order by the time that ECN B's order arrives, then ECN A will report that ECN B's order is Cancelled.
IOC orders are what the ECNs/Exchanges committee has recommended as the way to take liquidity from an ECN's book, and requires an immediate, or near-immediate, response. If the ECN has a matching order in its book, it trades it. If the ECN only has some of the shares to match, it partially fills the IOC and reports the rest as cancelled. If the ECN has no match, it reports the order as cancelled.
The FIX protocol doesn't define any X second limit for IOCs or what should happen if an IOC order isn't acknowledged in a timely fashion. One's business department could negotiate that if ECN A sends ECN B an IOC order, and ECN B does not respond in X seconds, ECN A is free to assume that no match happened and ignore any late trades, or alternately, that a match did happen.
Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 9 Mar 1998 1:24PM ET re: Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 9 Mar 1998 3:05PM ET re: Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 24 Jul 1998 11:29AM ET re: Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 3 Dec 1999 11:09AM ET re: Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 9 Dec 1999 4:24PM ET re: Book Proposal
Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 4 Jan 2000 3:51PM ET re: Book Proposal Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 4 Jan 2000 8:48PM ET
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