Orchimate 1.5.0 /

FIX4.1-1999-06-30

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

Orders can be submitted with special handling instructions and execution instructions. Handling instructions refer to how the broker should handle the order on its trading floor (see HandlInst field). Execution instructions contain explicit directions as to how the order should be executed (see ExecInst field).

New Order messages received with the PossResend flag set in the header should be validated by ClOrdID and order parameters (side, symbol, quantity, etc.) to determine if the order had been previously submitted. PossResends previously received should be acknowledged back to the client via an Execution - Status message. PossResends not previously received should be processed as a new order and acknowledged via an Execution - New message.

To support forex accommodation trades, two fields, ForexReq and SettlCurrency, are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq = Y and SettlCurrency = “intended settlement currency”. The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt and SettlCurrency fields.

The order message can also be used to request a straight forex trade. Conventions for identifying a forex transaction are as follows:

• The forex symbol is defined, in ISO codes, as “held-currency.new-currency” (e.g. “USD.GBP” indicates a desire to convert a held amount of USD to GPB)
• Side is defined in terms of whether the OrderQty is currency required or currency held (e.g. a forex order can be expressed as either “S 3,200,000 USD for GPB” or “B 2,000,000 GBP for USD”, at a rate of 1.6 USD/GBP, these trades are equivalent in that the broker is receiving 3,200,000 USD and delivering 2,000,000 GBP). In the case of a Forex - Swap (buying (or selling) a currency at one value date and selling (or buying) the same currency at a different value date), Side should represent the side of the FutSettDate2 transaction. OrdType = Forex - Market, Forex - Limit, Forex- Swap, or Forex - Previously Quoted
• Netting can be specified via the ExecInst field.

To “take” an IOI (or Quote) from an ECN or exchange and not display the order on the book, the New Order message should contain the TimeInForce field with ImmediateOrCancel and an OrdType field with Previously Indicated ( or Previously Quoted).