File: WebAPI/order_2.proto
Cross order parameters. This message allows to report or register privately negotiated pre-agreed transactions with one or multiple counter parties. Matching at exchange can either immediately occur when the request is submitted as a dual-sided or will occur when the different counterparts have all replied to the cross order initiator (see ApproveOrder message). Examples of these transactions: cross orders, Approved Publication Arrangement (APA) and wholesale orders. Transaction type is chosen by specifying corresponding execution instruction (see Order.ExecInstruction). Note that some transaction types have various exchange specific custom parameters (e.g., see Order.extra_attribute, SideAllocation.extra_attributes and ApproveOrder.extra_attributes). All these transaction types are referred to as “cross orders” within the protocol for simplicity.
Note that exchanges may support LegAllocation as independent children of a cross order. This is used when each leg is an independent trade, so submitting the cross order on a recognized strategy symbol is not possible. In this case, the cross order symbol is an exchange-specific placeholder agreed between the client and the server rather than a tradable symbol.
Possible scenarios:
1. Dual-sided submission (no match process) Initiator submits a cross order and specifies all participants involved on buy and sell sides of the order; approve from the participants may be required for some exchanges. Two or more side allocations are provided for this type of cross order.
2. Single-sided submission Each participant submits its own side (buy or sell) of a cross order. Matching could be done with an associated identifier (see transaction_id field) or with an approve request. One side allocation is provided for this type of cross order.
3. Approved Publication Arrangement (APA) Allows users to publish trade reports in all instruments subject to the OTC publication requirement. No side allocations are provided for this type of cross order.
Type: SideAllocation
Description: Side allocations of the cross order.
Type: double
Description: Price of the cross order (in correct format).
Type: string
Description: Optional ID that can be used to
associate the single-sided
cross orders with the same transaction (used by
Euronext exchange).
Type: LegAllocation
Description: Leg allocations of the cross order.