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LIST/BASKET/PORTFOLIO/PROGRAMMETRADING

FREQUENTLYASKEDQUESTIONS

Whyhavespecificmessagesbeencreatedforbasket,portfolioandprogrammetrading?

Baskettrading,portfoliotradingandprogrammetradingallsharethecommoncharacteristicofbeinga

ouspointsinthelife-cycleoftheentitiestheymaybetreatedaitherasingle

pleoftheformercaisthebiddingpha,when

pleofthelattercaisduring

trading,whenoneoftheordersinthecollectionneedsspecificmanipulation,forexampletobecancelled.

ThelistandothermessageswereaddedtotheFIXstandardtomodelthecaswhenacollectionofordersis

entionisthatthestandardsingleorderprocessinglogicremainsandthelistlogicisan

additional,optionaladjunct.

HowhavethelistmessagevolvedthoughthevariousFIXstandards?

urpowastosupportthestagingofa

collectionofordersatall-sidewithasubquentexecuteinstructioncausingtheorderstoberapidly

ceptofawave,asub-unitofalist,4.2themessagewere

enhancedto;supportbidding,providericherliststatusreporting,removethewavefield,supportstrikeprices

4.2changenableFIXtosupport

portfolioandprogrammetradingbusiness.

WhydoestheFIXstandardneedlistmessageswhenacollectionofnewordersinglemessagescould

suffice?

Acollectionofneworder–singlemessagesnttoall-sidewouldresultintheordersbeingexecuted

independentlyfromtherestandatofreal-timeExecutionReportsbeingtransmittedbacktotheorder

ssageinteractionworkswheretheorderoriginatorwantstoremainincompletecontrolof

theorders’executionandmaywanttoadjusttheindividualordersaccordingtomarketconditions.

ThelistmessagesinFIX4.2onwardsallowthecollectionoforderstobestagedatthell-side,

lowthestatusfeedbacktobecontrolledbythebuy-side,for

example,alisssage

interactionsuitsthecawhereth

ll-sideisresponsibleforexecutingtheordersaccordingtotheinstructionsgiven,forexample,thelarger

ordersmaybebrokenintosmallorderstobeplacedparatelyintothemarkettominimimarketimpact.

Whyaretheredifferentbiddingmodelsforlistsmessages?

Thedecisiontomodeltheportfolio/programmebiddingphafortheFIX4.2specificationuncoveredtwo

distinanmodelwas

namedthedisclodbiddingmodelwhereallbiddershavetheconstituentcuritiesdisclodtothemandthe

owocompletelydifferent

businessmodelsunfortunatelyresultedinadditionalcomplexityinthespecificationandthebusiness

messages.

WhenshouldtheListStrikePricemessagebeud?

Principalportfolio/programmetradesusuallyinvolvetheexecutionofordersatmarketpricesprevailingata

mple,

11am,thell-side(oroccasionallythebuy-side)

pricescaplowstheother

partytoquicklydisputeanydiscrepancybeforetoomuchtimehaspasdandthemarkethasmoved.

TheListStrikePricemessagecanalsobeudbyabuy-sidetondacollectionofreferencepricesforan

erencepricecanthenbeudinsubquentreportsbythe

ll-sidetoindicatedeviationoftheactualexecutedaveragepricefromthisbenchmark.

HowshouldIgetstatusfeedbackonmylist?

LIST/BASKET/PORTFOLIO/PROGRAMMETRADINGFAQ

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TheFIX4.2andlaterstandardsallowtheNewOrder–ListmessagefieldProgRptReqstoindicatehow

nindicatereal-timeupdatesforeveryorderstate(thisis

generallydiscouragedduetothecapacityrequiredtohandlethevolumeofupdates),byexplicitstatusrequest

fromthebuy-sideorautomaticallyeveryNminuteswhereNisindicatebytheProgPeriodIntervalfieldinthe

NewOrder–Singlemessage.

Typically,wherecontroloftheorderexecutionisbeingpasdtothell-sidethefrequencyofupdatewillbe

lowandwherecontrolisretainedbythebuy-sidethefrequencyofupdatewillbehigh.

Howshouldthewavefieldbeudinpre-FIX4.2listmessages?

Wavewasintendedtoallowthelistoriginatortopartitionasinglelistintosub-listsandallowtheindividual

ustrystandarduofthetermWaveinbaskettradingis

wherethebaskettraderndsabasketforexecutioninariesofwaves,whereeachwavecontainsallofthe

names(ities)intheba

waveconceptisudtominimimarketimpactbyexecutingmanysmallerordersoveraperiodoftimerather

Order–ListmessagepriortoFIX4.2doesnotindicatehow

manyordersareinthewave,thereforetheassumptionisthatthesamenumberofordersareinthewaveas

areintheoverallbasket.

onceptcanbemodelled

withatoflists.

Howshouldthell-sidehandleaNewOrder-Listmessagecontaininganorderinanunknown

curity?

Pre-FIX4.2handlingofanunknowncuritywasambiguousbecautheNewOrder–Listmessagehadno

l-sidecouldndanExecutionReportfortherejectedorder

indicatingthatithadbeenrejected.

FIX4.2onwards,definedaListStatusacknowledgementmessagethatcontainsthestatusofeveryorderin

der’scurityisunknownthenthestatusforthatparticularorderwouldberejected(Ordstatus

andOrdRejReason)andallothervalidorderswouldbeassumedtobeexecutable.

WhyarecertainfieldssuchasHandInstoptionalintheNewOrder-Listmessageandmandatoryin

NewOrder–Singlemessage?

CertainfieldswerepurpofullymadeoptionalintheFIX4.2NewOrder–Listmessagesothatitcouldbe

udforthedisclod(Asian)lowing

fieldsweremadeoptionalontheNewOrder-ListmessagethataremandatoryontheNewOrder–Single

message;HandlInst,TransactTimeandOrdType.

Whatisthecorrectorderforthefieldsoftheorder(s)inaNewOrder–Listmessage?

ItissafetoadopttheorderofthefieldsintheNewOrder–ndard

specificallystatesthattheClOrdIDmustbethefirstfieldofeachorderintherepeatinggroup.

WhenshouldacollectionofordersbereprentedasaNewOrder–ListandwhenasariesofNew

Order–Singlemessages?

TheFIX4.2listmessageswereenhancedto(a)supporttheportfoliobiddingphaoftheportfolio/programme

tradingbusinessthatwerenotpreviouslysupported,(b)enhancedtolistoverviewstatusinformationinthe

formoftheListStatusmessageand(c)addedanacknowledgementtotheinitialNewOrder–Listintheform

oftheListStatusmessageand(d)supportstimed-updateofstatusonthelisttoavoidthelistoriginatorbeing

overwhelmedwithreal-timestatusupdatesforalloftheorders.

Ifyourrequirementistotagacollectionoforderswithacommonidentifier,toreceivereal-timeupdatesonall

orderstatechangeandtohavetheorderstreatedasindependentthenatofNewOrder–Singleordersmay

i,alistmessagewouldprobablysuitbetter.

HowshouldIrespondtoaListCancelrequest?

Forpre-FIX4.2,umptionisthataries

ofExecutionReportswouldbentforeachaffectedorder.

ForFIX4.2onwards,therespontoalistcancelrequestisaListStatusmessagethatcontainstheoveralllist

LIST/BASKET/PORTFOLIO/PROGRAMMETRADINGFAQ

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statusinrallstatusshouldbe

4.3specificationexplicitlystatedthatListStatusshouldbentasan

er

statusfollowstheusualrulesforaNewOrder–single,ellationonlyimpactsopenorderquantitysoa

fullyfilledorderwillbeunaffected.

IftheListIDrequestedtobecancelledisunknownthenaListStatusresponshouldbereturnedwiththe

ListOrderStatusttoRejectedandtheListStatusTextttoappropriatetextsuchas“ListNotKnown”.

HowshouldIpopulatetheAvgPxfieldinaListStatusmessageofanacknowledgement?

ThisisthesameissueasoccurswhenaNewOrder-SingleisacknowledgedbyanExecutionReportwhen

theorderisintheNewstate,hasnotyetbegunbeingexecuted.