NAME

Finance::OATS - Stub of a Perl extension to support generating OATS records

SYNOPSIS

  use Finance::OATS qw(:all);

  $MPID = "TEST";
  $OSOID= 9999;

  # all variables must be set before first call to AddNewAndRoute and
  # friends

  # call AddNewAndRoute and AddCancel a bunch of times

  # closes last FORE file
  CloseFOREFile();

DESCRIPTION

Simple module to generate ROE records for OATS and package them up into FORE files.

SEE ALSO

The NASDR OATS website, at http://www.nasd.com/web/idcplg?IdcService=SS_GET_PAGE&nodeId=377

EXPORT

None by default.

AddNewAndRoute AddCancel

CloseFOREFile

And a bunch of variables which can be used to tweak settings; settings must be tweaked before first call to AddNewAndRoute or AddCancel.

AUTHOR

Mike Giroux, rmgiroux@acm.org

COPYRIGHT AND LICENSE

Copyright (C) 2006 by Mike Giroux and Wang Trading, LLC

This library is free software; you can redistribute it and/or modify it under the terms of the General Public License version 2, a.k.a. GPLv2.

See LICENSE file for details.

CREDITS AND DISCLAIMER

This library is released under the GPL with the kind permission of Dr. Meng-Yuan Wang, the Managing Partner of Wang Trading, LLC.

This library is a STUB. It's the beginnings of an OATS implementation, but it is far from complete. Many of the ROE fields contain hard-coded values which may not be appropriate to your case; please check them carefully!

Neither Wang Trading, M-Y Wang, nor Mike Giroux is responsible nor liable for any problems which may arise through the use of this library.

YOU are RESPONSIBLE for any files you upload to NASDR. _YOU_ are liable for fines if they are wrong. Please be very careful!

At a minimum, use the NASDR OATS test site and make sure everything looks good.

See the TBD comments.

sub AddNewAndRoute

Generates New Order and Route events for a new order

Arguments: Symbol => 'MSFT', Side => 'B', # or 'S', or 'SS', or 'SX' OrderID=> 'AISL-123', # our order ID Time => 'HHMMSS', # order timestamp Price => '12.12345', # price, in dollars, to 7 decimal places if need be Shares => 1200, # size, in shares MPID => 'ISLD', # sent-to MPID (opt., def ISLD) OtherID=> '123432', # exchange order ID Date => 'yyyymmdd', # optional, defaults to today IOC => 'IOC', # optional, specified if order is IOC Visible=> 'Y', # optional, 'Y' or 'N' # ******* TBD: LIST OUT OF DATE!!!! *********** RouteType=> 'C', # 38) Routing method code (defaults to 'C') # E routed elec to member firm # C routed to ECN # L routed to SelectNet # N routed non-electronic to memb firm # M routed to non-member firm # O routed to SuprtSOES # P routed to Primex # S routed to SOES # X routed to exchange ProgramTradingCode=>'Y',# optional, 'Y' or 'N' IndexArbCode=>'N', # optional, 'Y' or 'N' PriceType=>'LIM', # optional, 'LIM' or 'MKT'

sub AddCancel

Generates New Order and Route events for a new order

Arguments: Symbol => 'MSFT', OrderID=> 'AISL-123', # our order ID Time => 'HHMMSS', # order timestamp CancelType=> 'F', # 'F'ull or 'P'artial, defaults to F SharesCanceled => 1200, # shares canceled SharesRemaining => 100, # shares canceled MPID => 'ISLD', # sent-to MPID (opt., def ISLD) Date => 'yyyymmdd', # optional, defaults to today

sub AddCancelReplace

Generates Cancel/Replace report

Arguments: Symbol => 'MSFT', Side => 'B', # or 'S', or 'SS', or 'SX' OrderID=> 'AISL-123', # new order ID OrigOrderID=> 'AISL-122', # original order ID Time => 'HHMMSS', # new order timestamp OrigTime=> 'HHMMSS', # new order timestamp Price => '12.12345', # price, in dollars, to 7 decimal places if need be Shares => 1200, # size, in shares MPID => 'ISLD', # sent-to MPID (opt., def ISLD) OtherID=> '123432', # exchange order ID Date => 'yyyymmdd', # optional, defaults to today IOC => 'IOC', # optional, specified if order is IOC Visible=> 'Y', # optional, 'Y' or 'N' RouteType=> 'C', # 38) Routing method code (defaults to 'C') # E routed elec to member firm # C routed to ECN # L routed to SelectNet # N routed non-electronic to memb firm # M routed to non-member firm # O routed to SuprtSOES # P routed to Primex # S routed to SOES ProgramTradingCode=>'Y',# optional, 'Y' or 'N' IndexArbCode=>'N', # optional, 'Y' or 'N' PriceType=>'LIM', # optional, 'LIM' or 'MKT'

cpanm Finance::OATS

perl -MCPAN -e shell
install Finance::OATS