Minutes from kickoff ECN & Exchanges Working Group
johna@ms.com
6 Mar 1998 9:43AM ETHost: John Armstrong, Morgan Stanley
Attendees:
American Century - Scott Atwell
Bloomberg L.P. - Bruce Garland, Witold Sames
Boston Stock Exchange - Jim Croftwell
Instinet - Shay Gordon, Deborah Mittelman
ITG - Savyona Abel
State Street Research - Charles Paclat
Townsend Analytics Ltd./Archipelago LLC-Ryan Pierce
Morgan Stanley - Vitally Kantor, Calvin Chi
NASDAQ - Tim Vincent, Jack Donnlon
NYSE - Ann Fitzgibbons, Lou Pastina
Optimark - Jim Michuda
Spear, Leeds & Kellogg - John Rattinger
1. Discussion on transmitting Top of Book and Depth of Book.
Ryan Pierce from Townsend Analytics/Archipelago discussed his proposal for how
Top/Depth of Book can be transmitted through FIX(the proposal is
attached).
The idea of using the existing IOI or Quote with additional
fields as well as repeating groups of size/price was raised. It was
felt that an IOI should remain an unsolicited message which the receiver
can filter on their own, while book data should be subscription
based. There was general agreement that the proposal addressed the
necessary business issues.
Shay Gordon from Instinet suggested an identifier on the Quote(Book)
message to indicate the amount of depth specified on the Quote, i.e
the book is actually deeper than this message shows.
It was also suggested that the Quote(Book) request contain an indicator
to instruct how frequently to update the Quote(Book), e.g. every time
the Top quote changes.
Lou Pastina from NYSE said that transmitting Depth of Book has been
looked at but there are regulatory rules prohibiting Specialists from
selectively making this data available. The ECNs said they were not
bound by these restrictions and could make the depth available to
selected clients of their choosing.
Lou Pastina from NYSE raised the possibility of making "market looks"
(IOIs) available through FIX from house and floor brokers' handheld
devices.
Ann Fitzgibbons from NYSE stated that the CQS is moving to IP and
wondered if participants would be interested in CQS supporting FIX.
It was agreed that the Immediate Or Cancel instruction is/should be used
to respond to an IOI(or Quote) with an order attempting to "take" the
IOI and NOT be displayed on the book otherwise.
Issues raised that will be discussed online are:
- Some felt that the sheer amount of data required to transmit
would be overwhelming. Others felt that since it was
subscription based, the requester could control the amount of
data being sent.
- Whether or not to expand & use the Quote Request and Quote or
define a Book request and response needs to be discussed
further.
2. Charles Paclat from State Street Research requested a new field,
MaxShow, to be added to the Order. This would allow a customer sending
an electronic order to a broker to specify the maximum quantity that can
be sent on an IOI to other customers, independantly of the floor amount
specified in MaxFloor. For orders sent to an ECN/Exchange, MaxShow
equals MaxFloor.
3. Witold Sames from Bloomberg requested that PegDifference be added to
an order to specify a fractional adjustment in price to a pegged order.
4. Shay Gordon from Instinet suggested that a defined way of requesting
a bulk or group cancel of orders be added to the protocol. A related
suggestion was to define a "lifetime after disconnection" for an order
or any order, although others felt this be left outside the protocol.
5. John Armstrong from Morgan Stanley raised a question to CMS compliant
exchanges on what their thoughts of using FIX formatted
orders/executions without implementing the protocol's orderflow rules.
The question was reflected back to the member firms and ECNs which felt
that a complete move to the protocol would be much more meaningful.
A discussion then took place on the potential for over execution in both
protocols when/after cancel/replacing (or reducing) an order. It
was stated the FIX protocol prevents over execution by defining OrderQty
to be total order quantity throughout every version(cancel/replace)
order in the chain.
It was agreed that more discussion between the CMS exchanges and member
firms would be useful.
6. Scott Atwell from American Century suggested that the ECN client
ability to request and respond on credit information would be useful.
