Type: int

Type of cross being submitted to a market

Valid values:

  • 1 = Cross AON - cross trade which is executed completely or not. Both sides are treated in the same manner. This is equivalent to an "All or None".
  • 2 = Cross IOC - cross trade which is executed partially and the rest is cancelled. One side is fully executed, the other side is partially executed with the remainder being cancelled. This is equivalent to an IOC on the other side. Note: CrossPrioritization <550> field may be used to indicate which side should fully execute in this scenario.
  • 3 = Cross One Side - cross trade which is partially executed with the unfilled portions remaining active. One side of the cross is fully executed (as denoted by the CrossPrioritization <550> field), but the unfilled portion remains active.
  • 4 = Cross Same Price - cross trade is executed with existing orders with the same price. In this case other orders exist with the same price, the quantity of the Cross is executed against the existing orders and quotes, the remainder of the cross is executed against the other side of the cross. The two sides potentially have different quantities.
  • 5 = Basis cross

    A cross order where a basket of securities or an index participation unit is transacted at prices achieved through the execution of related exchange-traded derivative instruments in an amount that will correspond to an equivalent market exposure.

  • 6 = Contingent cross

    A cross order resulting from a paired order placed by a participant to execute an order on a security that is contingent on the execution of a second order for an offsetting volume of a related security.

  • 7 = Volume-weighted-average-price (VWAP) cross

    A cross order for the purpose of executing a trade at a volume-weighted-average-price (VWAP) of a security traded for a continuous period on or during a trading day.

  • 8 = Special trading session cross

    A closing price cross resulting from an order placed by a participant for execution in a special trading session at the last sale price.

  • 9 = Customer to customer cross

    Cross order where both sides of the cross represent agency orders.

Used In