Looking for some info, request is out to broker but I'm still waiting on their response. I know for NYSE you need to have your order in by 2:45 with the appropriate tags. My question is can I have an open LIMIT order that I am working right up to the 4pm EST close that gets rolled into the closing auction if not yet executed? The NYSE/Arca FIX doc has the following statement under "Closing Auctions": Any straight limit order placed before the limit order auctions will participate and stay live if not executed. http://www.nyse.com/pdfs/FIX_Specification_and_API.pdf So it seems as though it is possible, but so far all my orders get a DONE_FOR_DAY right at the close.
Looking at pages 33-34 of the spec you provided, what values do you have for "TimeInForce", "NoTradingSessions", and "TradingSessionID"? My guess is you may want to do something like GTC for TimeInForce, and then specify that you want your order to participate in 2 sessions (core and after-hours).
Thanks for the response. Turns out all you need is TIF = GTC on a LIMIT order. Successfully sent orders to NYSE & INET before the close and received several fills from INET that I believe were from from the closing auction (gonna dig through the FIX logs later tonight). From what I understand ARCA doesn't provide a closing auction & NYSE doesn't accept the sessions tag (at least that is what my broker has told me in the past).
Yeah with our system (Sterling) you needed to put EXT instead of DAY in the TIF window ARCA does provide a closing auction but only on the AMEX stocks i.e. EEM, FXI etc There is also a way to check the closing ARCA imbalance size and estimated closing price for AMEX stocks... as usual traders game these though and are not very reliable