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4.2 Changes
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Re: Is there any way to do cross trades using FIX4.2
SriPavan Thayaparan / Millennium Information Technolog <>
6 Aug 2008 5:42AM ETHi,
Cross order is submitted with two sides, each having a unique client order ID.
The response is similar to the standard responses for normal orders. Each side is treated as an individual order with regard to the responses (since each of them has a unique client order ID). The order ID, in most exchanges is kept common to both to indicate its part of a cross order.
An example event flow will be as follows. (C - client order ID, O - Order ID)
Fix New Order (C1, C2) (Cross order) ------> SELL SIDE
Fix Exec Rpt (C1 , O1) 150=0, 54=1 <-----
Fix Exec Rpt (C2 , O1) 150=0, 54=2 <-----
Fix Exec Rpt (C1 , O1) 150=F, 54=1 <-----
e.t.c.
Note the individual execution reports for each side. Order ID is kept common by the exchange. For display purposes, you may have to show two-child panes for the cross order for the sides.
Hope this cleared your question.
Rgds,
Thaya.
> > Pandey..
> >
> > I am not quite clear on your last question.
> >
> > 1. Are you referring to how repeating blocks would be serialized in
> > FIX? Or
> > 2. How the event flow takes place in the case of a cross order
> > submitted in this way?
> >
> > Or 3. Are you just asking the impact of sending a list order (mass
> > order submission) as opposed to sending a two sided cross order?
> >
> > Rgds, Thaya.
> >
> > > > Pandey,
> > > >
> > > > Use the "NoSides" repeating block to attach two side blocks to the
> > > > new order you submit. One for "buy" and one for "sell". This
> > > > repeating group in 4.2 is for that purpose. Each side block has a
> > > > unique ClOrdID.
> > > >
> > > > Rgds, Thaya.
> > > >
> > > > > There is 35=s MsgType in FIX4.4 which supports two sides to send
> > > > > cross orders, but if similar thing has to do using FIX4.2 is
> > > > > there any way out?
> > >
> > > I can understand this .Thanks. But can you eloborate on how NoSides
> > > would be added into it , or sending a list order(DISC) would be
> > > similar.
>
> Basically my question is how the event flow takes place in the case of a
> cross order submitted using FIX4.2( with repeating blocks)
Re: Is there any way to do cross trades using FIX4.2
SriPavan Thayaparan / Millennium Information Technolog 6 Aug 2008 5:42AM ET
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