Is this order possible on BATS?

[walterjennings]

I am looking to use PEG orders on BATSONLY to obtain a specific functionality. Basically what I am attempting to do is place a BUY PEG-Midpoint order that will execute (add liquidity) at the midpoint of say 120.50 bid, 120.51 ask on SPY (which would be 120.505), or better.

I know if I just put a PEG-Midpoint order it will follow the spread around until someone takes it out, I would like to limit the order somehow to guaranteeing to add liquidity at 120.505 or better. Basically preventing it from posting at 120.1 or higher.

I'd imagine if it is possible, I would have to set the PEG offset or limit price of the peg order to something specific, but I am unfamiliar with this order type and the software documentation on using it isn't very good.

I've also emailed BATS and my software provider, both told me I needed to direct the question to my broker, who was not sure when I asked.

Thanks for any help.

 

[dinn13]

Yeah it's possible and I do it.

http://batstrading.com/resources/membership/BATS_FIX_Specification.pdf

Note on page 18 it says that a midpoint peg order is allowed with the post only functionality (which is to say it will not remove liquidity).

So for your example you'd set a limit price at 120.51 with 9303=P and 18=M and so with that would only fill at 120.505 or lower while adding liquidity and thus getting their hidden add rebate.

Ask your broker if they can send those fix tags in that combination or ask that they implement it...