Description
CHX FIX Link Specification
Tag
111
Field Name
MaxFloor
Req’d
N
Comments
Maximum number of shares within an order to be displayed in the
Matching System quote. If MaxFloor is not specified, the order will
be displayed in its entirety assuming it would not lock or cross the
NBBO.
MaxFloor must be a round lot value and less than the OrderQty;
otherwise the order will be rejected.
If MaxFloor = 0, the order will be undisplayed (Do not Display). In
the CHX Matching System the OrderQty of undisplayed orders must
be equal to or greater than 1000 shares.
7369
RefreshThreshold
N
For a reserve order, the field acts as a low water mark for the current
display quantity. That is, when the current displayed quantity
becomes less than or equal to this field, it should be reset to the
original display quantity as defined by MaxFloor.
Absence of this field means RefreshThreshold =MaxFloor. 7.2 Cancel/Replace Request Requests that change an order’s display feature will be rejected. If an order is sent in originally with no reserve portion, the order cannot be changed to a reserve or a do not display order If an order was sent in as a reserve order, it cannot be changed to a do not display order or to a fully displayed order. If an order is sent in as a do not display order ( MaxFloor = 0 ) the order cannot be changed to a reserve or a display order. The order sender can change an order type from a limit order to a market order, but the change request must also be qualified with the TimeInForce of IOC, otherwise the order will be rejected. Tag Field Name Req’d Comments 54 Side Y Not modifiable 111 MaxFloor N Changeable, not to zero if it was previously non-zero 40 OrdType Y 1 = Market 2 = Limit 7 = Limit or better These are the only acceptable changes.
All cross orders are treated as IOC, the order will be executed or rejected when received. Cross orders cannot be cancel/replaced. 44 Price N Changeable within limits set out for a new single order. 99 StopPx N The order will reject if included 439 ClearingFirm N Will reject if modified from original clearing firm 63 SettlmntTyp N Not changeable 59 TimeInForce N Changeable within limits set out for a new single order. 18 ExecInst N Changeable, except to f (ISO. Print Date: 12/10/15 8:38 AM CHX Proprietary and Confidential Page 39 (44) .
Absence of this field means RefreshThreshold =MaxFloor. 7.2 Cancel/Replace Request Requests that change an order’s display feature will be rejected. If an order is sent in originally with no reserve portion, the order cannot be changed to a reserve or a do not display order If an order was sent in as a reserve order, it cannot be changed to a do not display order or to a fully displayed order. If an order is sent in as a do not display order ( MaxFloor = 0 ) the order cannot be changed to a reserve or a display order. The order sender can change an order type from a limit order to a market order, but the change request must also be qualified with the TimeInForce of IOC, otherwise the order will be rejected. Tag Field Name Req’d Comments 54 Side Y Not modifiable 111 MaxFloor N Changeable, not to zero if it was previously non-zero 40 OrdType Y 1 = Market 2 = Limit 7 = Limit or better These are the only acceptable changes.
All cross orders are treated as IOC, the order will be executed or rejected when received. Cross orders cannot be cancel/replaced. 44 Price N Changeable within limits set out for a new single order. 99 StopPx N The order will reject if included 439 ClearingFirm N Will reject if modified from original clearing firm 63 SettlmntTyp N Not changeable 59 TimeInForce N Changeable within limits set out for a new single order. 18 ExecInst N Changeable, except to f (ISO. Print Date: 12/10/15 8:38 AM CHX Proprietary and Confidential Page 39 (44) .
