Description
Type: int
Type of cross being submitted to a market
Valid values:
-
1 = All-or-none cross
A cross order which is executed completely or not at all. Both sides of the cross are treated in the same manner.
-
2 = Immediate-or-cancel cross
A cross order which is immediately executed with any unfilled quantity cancelled. CrossPrioritization <550> may be used to indicate whether one side should have execution priority and any remaining quantity of the partially executed side be cancelled. Using CrossPrioritiation(550)="Y" and CrossType <549>=2(Immediate-or-cancel cross) is equivalent to non-prioritized leg having a TimeInForce <59>=3(IOC) Immediate-or-cancel.
-
3 = One sided cross
A cross order which is executed on one side with any unfilled quantity remaining active. CrossPrioritization <550> may be used to indicate which side should have execution priority.
-
4 = Cross executed against book
A cross order which is executed against existing orders in the order book. The quantity on one side of the cross is executed against existing orders and quotes with the same price, and any remaining quantity of the cross is executed against the other side of the cross. The two sides of the cross may 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.