[This message was posted by Paul Howard of MS <[email protected]>
to the "Asia/Pac" discussion forum at http://fixprotocol.org/discuss/18. You
can reply to it on-line at http://fixprotocol.org/discuss/read/4e085bdb -
PLEASE DO NOT REPLY BY MAIL.]
> The maximum allowed size of an order in SEHK is 3,000 board lots. If > we
> send an order > 3,000 board lots, it will be rejected by the
> exchange.
>
> What are the common ways to handle SEHK DMA orders > 3,000 board lots?
Typically if you are executing DMA through a broker (eg. MS) the broker will
manage this in their SOR. If you are executing through your own membership
then typically a developer would listen for an outgoing transaction greater
than 3000 lots and slice multiple new orders from there (ie. If {{<tag38>/lot
size from static data} > 3000}, then cycle through the parent order slicing
into 2+ 35=D new orders of 3000 lots or less}).
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