"SMO (stop market order)" and "SLO (stop limit order)"

Dear all,

This is a question with regard to the way to handle the following type of orders in FIX:
"SMO (stop market order)" and "SLO (stop limit order)"
Does anybody know the usage of FIX tags for the orders???

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1.Stop Market Order
A market order to buy or sell a certain quantity of a certain security if a specified price (the stop price) is reached or passed. The stop price must be below (above) the current price if the order is a sell (buy).

2.Stop Limit Order
This is a limit order to buy or sell at the specified limit price if the specified stop price is reached or passed. The stop price must be below (above) the current price if the order is a sell (buy).
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#The direct reason is the 2nd biggest Japanese exchange market, OSE #Osaka Exchange Market)announced to adopt this type of order though...

I would be really happy if I get clues for this.

Best,
Hiromasa

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Hiromasa,

In FIX 4.4:
- a stop order is indicated using the OrdType (40) = 3 (Stop)
- a stop limit order is indicated using OrdType (40) = 4 (Stop limit)

The stop price is carried in the StopPx (99) tag (required for OrdType = 3 and 4).

Good luck!

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Hi K. Mahesh,

Yes, it requires three prices.
The following is an example of "SLO" what Osaka Stock Exchange calls.

0) Current market condition
Market price: JPY 11,460
Code: Nikkei 225

1) A trader orders a buy �Stop Limit Order�. On this occasion, she/he must indicate �limit price�, �trigger price� and �new price� in advance.

e.g.)
Limit price: JPY 11,420
Trigger Price: JPY 11,470
New price: JPY 11,480

2) Market price moves up to the �trigger price�. (by other participants)

3) Then, the first order is automatically changed to �new price�. (JPY 11,420 --> JPY 11,480)

Is it clear?

I probably will use custom tags for this order.

Thanks,
Hiromasa

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Hi again Hiromasa,

I assume your stop orders are executable even before the stop price is reached (a kind of "Limit Stop Limit" or "Limit Stop" order that just changes price when the stop price is reached).

That third price (the new limit price) is currently not in FIX. However, there is a proposal which covers it (and a number of other issues). It is currently posted at the GTC page: http://www.fixprotocol.org/documents/2442/ReserveOrd-PegInst-OrderTriggers%20proposal.pdf

A modified version of the proposal is expected to be published any day as part of the "OMX Order Routing Requirements". Hopefully it can be added to a service pack later this year.

Regards

Rikard

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