|
4.2 Changes
< Previous Next >
Orderbook identification
Michel André / Peakon Consulting AB
28 Dec 1999 9:21AM ETI have a question regarding orderbook identification in fix. FIX only allows one to specify an instrument with the IDSource field and SecurityID field. In the near future there will be difficulties at least in Europe to identify an orderbook that way. Eg in the SAX system in Stockholm one instrument can be traded in several currencies on several submarkets. Ie it's impossible to identify an orderbook by the FIX fields available today (if we don't adopt some kind of own notion of SecurityID an IDSource with our counterpart). The problem will also arise when several companies will trade in the same ISIN code and currencies on several exchanges in europe (which will happen if it already hasn't). One solution to cope with this would maybe be to allow FIX users to specify at wich market or submarket an order is to be executed. So IDSource,Currency,Market,Submarket fields is used to identify an orderbook. The market field could either be interpreted as Reuters mnemonics or more preferred the MIC code (ISO 10383 market identifier code) or something like that.
This is quite an big issue so maybe it belongs in another forum. But the problem will soon bite us in our backs and it would be nice to find a solution which could work for some years forward.
/Michel
Orderbook identification
Michel André / Peakon Consulting AB 28 Dec 1999 9:21AM ET
|
