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ECNs, Exchanges
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Re: Extended hours TIF
Ryan Pierce / Townsend Analytics Ltd.
22 Aug 2005 3:28PM ET> I am not sure if this has been posted before, but here it is anyway.
> Would like to know how clients can place order valid for extended hours
> sessions, valid for both regular and extended hours, if nothing done
> then the order should stay open through the extended hour session and
> similar combinations. As per my knowledge FIX4.4 does not have a field
> associated with this functionality. Would appreciate some advice.
The two options that spring to mind are:
1. If the ECN defines TradingSessionIDs, you can make use of that repeating group to list all trading sessions during which the order may participate.
2. You can send the order as a GTD (GoodTillDate) order with an ExpireTime indicating the end of the extended hours session. For an order entered during main trading hours but only valid for the extended session, you can also specify EffectiveTime of when the extended hours start.
I suggest talking to the specific ECN's you'll be using and asking them which approach(es) they implement.
Re: Extended hours TIF
Ryan Pierce / Townsend Analytics Ltd. 22 Aug 2005 3:28PM ET
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