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Foreign Exchange
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Re: Previously Quoted Order Types
Jay Hurley / Morgan Stanley <>
23 Sep 2007 8:25PM ET> > > Dear all: Is anybody using previously quoted - D and Forex
> > > Previously quoted - H order types? FYI, H - Forex Previously quoted
> > > has been deprecated in favor of D - previously quoted. My concern
> > > is that Orders of this type would not require a price to be
> > > submitted as it can refer to previous quote or market data message.
> > > Has anybody dealt with this or any other issues related to this
> > > order type? I thank you in advance for kind attention to this
> > > matter. Natan
> >
> > I am very hesitant to implement previously quoted orders (tag
> > 40 (OrdType) is equal to D) in a way to require a price. Then
> > there is a question on usage of tag 117 (QuoteID).
> >
> > If tag 117 used for informational purposes, it can be ignored.
> > However, if we do it, it is really a limit order, unless there
> > is a business driver s.a. discounted price etc.
> >
> > My take for a proper implementation of previously quoted
> > orders would be to either refer to the price in the quote or
> > do price verification (check if price specified in the order
> > matches price in the quote referred).
> >
> > If price in the quote does not match price in the order,
> > course of action needs to be determined by the business.
> >
> > I am looking for a more information.
> >
> > I thank you in advance.
> >
> > Natan
>
> One more crucial piece. The scenario that is refered, previously quoted
> order type would be result of market data message.
Taking an extract from the FX Gap Analysis:
When an order is initiated as a result of a request for quote or streaming price, the QuoteID is used to reference the price quote in both cases.
The QuoteID would contain the dealer provided QuoteID from the Quote message or the QuoteEntryID from the MarketDataSnapshot or MarketDataIncrement messages. The OrdType (40) would specify "previously quoted".
Note that the main business model analysed was bank to client rather than an exchange/ECN models which are getting some attention in the FX Phase 2 analysis. I don't see anything wrong with including 44= on previously quoted orders where the value of 44= is validated against the price on the quote or market data message.
Re: Previously Quoted Order Types
Jay Hurley / Morgan Stanley 23 Sep 2007 8:25PM ET
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