[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/9be6da25 - 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? > > Pretty much all major providers will split this order automatically > > for the client. Often it's something you can configure to be on or > > off (off for clients who don't want to risk additional latency in > > checking this). > > Thanks for all of your comments. Do you see any difficulty when > manipulating the cancel/amend request for the DMA order which has been > sliced by your Algo/SOR into multiple floor orders in this case? Indeed, theres a couple of ways you could manage this depending on your order flow baring in mind each order going to the exchange will have a unique <37> you may want a mapping table or if thats too much overhead simply reducing the <38> value to less than 3000 lots and alerting the trader etc. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
