The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.
The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.
See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES"
Orders can be submitted with special handling instructions and execution instructions. Handling instructions refer to how the broker should handle the order on its trading floor (see HandlInst <21> field). Execution instructions contain explicit directions as to how the order should be executed (see ExecInst <18> field).
New Order messages received with the PossResend <97> flag set in the header should be validated by ClOrdID <11>. Implementations should also consider checking order parameters (side, symbol, quantity, etc.) to determine if the order had been previously submitted. PossResends previously received should be acknowledged back to the client via an Execution - Status message. PossResends not previously received should be processed as a new order and acknowledged via an Execution - New message.
The value specified in the TransactTime <60> field should allow the receiver of the order to apply business rules to determine if the order is potentially "stale" (e.g. in the event that there have been communication problems).To support forex accommodation trades, two fields, ForexReq <121> and SettlCurrency <120>, are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq <121> = Y and SettlCurrency <120> = "intended settlement currency". The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt <119> and SettlCurrency <120> fields.
The order message can also be used to request a straight forex trade. Conventions for identifying a forex transaction are as follows:
Orders involving or requiring Pre-Trade Allocation <J> consist of the following steps:
To "take" an IOI (or Quote <S>) from an ECN or exchange and not display the order on the book, the New Order message should contain the TimeInForce <59> field with ImmediateOrCancel and an OrdType <40> field with Previously Indicated ( or Previously Quoted).
The presence of DiscretionInst <388> on an order indicates that the trader wishes to display one price but will accept trades at another price. For example a sell order with OrdType <40> = Limit, Price <44>=50.00, DiscretionInst <388> = Related to displayed price and DiscretionOffset <389> = -0.25 means that the order should be displayed as an offer for 50.00, but will match any bid >= 49.75. Discretionary pricing can also be used when pegging an order - for example to indicate that a buy order is to be displayed as pegged to the bid minus 0.25, but can be matched by anything <= the offer, set OrdType <40>=Pegged, ExecInst <18> = Primary Peg, PegDifference <211> = -0.25, DiscretionInst <388> = Related to market price and DiscretionOffset <389> = 0.
See "Order State Change Matrices"