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Discussions > List Trading > Per message fill information for 4.2

Per message fill information for 4.2

Complete message thread from old site

FIX Trading Community
13 November 2007 6:08pm

[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Many buy-side OMSs have problems dealing with "many" fills on a list order. As such some buy-sides have to make a request to their sell-sides - out-of-band - to aggregate or throttle fills. Has anyone ever implemented this within a custom tag on a 35=E message or is this always handled out-of-band?

Specifically, for some lists the buy-side would want to receive all fills in real time in a volatile market but may not want all the fills when dealing a pretty 'vanilla' list of liquid names. I was wondering if this was ever handled by a custom tag - send fills/don't send fills.

FIX Trading Community
14 November 2007 5:30pm

[ original email was from Billy Zhao - billy.zhao@db.com ]
> Many buy-side OMSs have problems dealing with "many" fills on a list
> order. As such some buy-sides have to make a request to their sell-sides
> - out-of-band - to aggregate or throttle fills. Has anyone ever
> implemented this within a custom tag on a 35=E message or is this always
> handled out-of-band?
>
> Specifically, for some lists the buy-side would want to receive all
> fills in real time in a volatile market but may not want all the fills
> when dealing a pretty 'vanilla' list of liquid names. I was wondering if
> this was ever handled by a custom tag - send fills/don't send fills.

definitely not at my current firm or at the previous broker I was at. throttle/aggregate/delayed fills was done via a session/client specific configuration on the trading system. it was an all-or-nothing condition. I've not seen this functionality requested that much, and in the 2 or 3 instance where it was, all were due to the same buy-side OMS's inability to handle large number of executions.