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+ | ===== AutoOCO (Automatic One Cancels Other) Order ===== | ||
+ | |||
+ | An **AutoOCO (Automatic One Cancels Other)** order consists of three components: | ||
+ | * A **Trigger** order, and | ||
+ | * The two components of a traditional OCO order (Limit order and Stop order). | ||
+ | |||
+ | When the Trigger order is filled, the OCO order is activated and submitted to the exchange. | ||
+ | An AutoOCO Order is submitted with the **New Order List** (Tag 35=E) message. | ||
+ | |||
+ | For OCO with Contingency Type of **AutoOCO** (Tag 1385=2), the Limit and Stop prices are entered as **differential (delta) values** from the expected trade price of the Trigger order. | ||
+ | For **AutoOCO_P** (Tag 1385=7), the Limit and Stop prices are entered as **absolute values**. | ||
+ | |||
+ | When one OCO component is filled, the other is cancelled. | ||
+ | If one is partially filled, the remaining volume on the other is reduced accordingly. | ||
+ | |||
+ | ---- | ||
+ | |||
+ | **Relevant Tags:** | ||
+ | |||
+ | ^ Tag ^ Field ^ Description ^ | ||
+ | | 1385=2 / 7 | ContingencyType | AutoOCO order type: AutoOCO (2) uses differential prices, AutoOCO_P (7) uses absolute prices | | ||
+ | | 10101 | TriggerPrice | Trigger price at which the OCO order is activated | | ||
+ | | 10104 | TriggerStop | Trigger stop price for activation | | ||
+ | | 10105 | TriggerStopTrail | Trail amount for Trigger Stop price | | ||
+ | | 44 | Price | Limit component price of OCO. Differential for AutoOCO (1385=2), absolute for AutoOCO_P (1385=7) | | ||
+ | | 99 | StopPx | Stop component price of OCO. Differential for AutoOCO (1385=2), absolute for AutoOCO_P (1385=7) | | ||
+ | | 48 | SecurityID | Market for which the order is sent | | ||
+ | | 55 | Symbol | Contract for which the order is sent | | ||
+ | | 207 | SecurityExchange | Exchange for which the order is sent | | ||
+ | |||
+ | ---- | ||
+ | |||
+ | **Key Notes:** | ||
+ | * **Volume** for OCO components should be set to **0** – the T4 FIX API determines the volume based on the Trigger order. | ||
+ | * **Side** for OCO components is opposite the Trigger order’s side. | ||
+ | * For AutoOCO (1385=2), prices are differential values from the expected fill price of the Trigger order. | ||
+ | * For AutoOCO_P (1385=7), prices are absolute values. | ||
+ | * Price sign is determined by side: | ||
+ | - If Trigger = Buy, OCO components = Sell. Limit price is positive; Stop price is negative. | ||
+ | * Trigger order can be any order type (including Activation, Stop, Trailing Stop). | ||
+ | * OCO components can be **GTC**, **StopLimit**, | ||
+ | * Limit component of OCO can be **Limit** (Tag 40=2) or **Market-if-Touched** (Tag 40=J). | ||
+ | * Not intended for orders placed very close together (e.g., consecutive prices or best bid/best offer). In active markets, both may fill. | ||
+ | * All components must be for the **same account** and **same market**. | ||
+ | |||
+ | ---- | ||
+ | |||
+ | **Sample:** | ||
+ | |||
+ | In this example, a **Sell AutoOCO** order is submitted with: | ||
+ | * Trigger Price = **157875** (Tag 10101) | ||
+ | * Buy OCO Limit price (Tag 44) = **-25** (differential) | ||
+ | * Buy OCO Stop price (Tag 99) = **25** (differential) | ||
+ | |||
+ | The Trigger order’s limit price is later moved to **157850**. | ||
+ | The Trigger order fills at **157850** (Tag 31), activating the Buy OCO order. | ||
+ | The OCO’s Stop component fills at **157875** (Tag 31), and the OCO’s Limit component is cancelled. | ||
+ | |||
+ | AutoOCO Order | ||
+ | < | ||
+ | >> 4/26/2013 10:08:02 AM | ||
+ | [FIXNEWORDERLIST] | ||
+ | [MsgSeqNum] 34 = 1972 | ||
+ | [SenderCompID] 49 = T4Example | ||
+ | [TargetCompID] 56 = T4 | ||
+ | [SenderSubID] 50 = Account1 | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [ListExecInstType] 433 = 1 (IMMEDIATE) | ||
+ | [TotNoOrders] 68 = 3 | ||
+ | [ClOrdID] 11 = auto-1-635025676828739888 | ||
+ | [Account] 1 = Account1 | ||
+ | [Side] 54 = 2 (SELL) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK) | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [TriggerPrice] 10101 = 157875 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [Account] 1 = Account1 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = -25 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK) | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ActivationType] 10102 = 1 (IMMEDIATE) | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [Account] 1 = Account1 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [OrdType] 40 = 3 (STOP) | ||
+ | [StopPx] 99 = 25 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK) | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ActivationType] 10102 = 1 (IMMEDIATE) | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Suspended - Activation Pending | ||
+ | < | ||
+ | << 4/26/2013 10:08:02 AM [fixexecutionreport] 34=135686|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135686 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 0.635025676850775000.2.4.066B9EFB | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = -25 | ||
+ | [Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157875 | ||
+ | </ | ||
+ | AutoOCO Order Response - Stop Component of OCO Suspended - Activation Pending | ||
+ | < | ||
+ | << 4/26/2013 10:08:02 AM [fixexecutionreport] 34=135687|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135687 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 0.635025676850775000.2.4.091F876B | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [OrdType] 40 = 3 (STOP) | ||
+ | [StopPx] 99 = 25 | ||
+ | [Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157875 | ||
+ | </ | ||
+ | AutoOCO Order Response - Trigger Component is Working | ||
+ | < | ||
+ | << 4/26/2013 10:08:03 AM [fixexecutionreport] 34=135689|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135689 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-1-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48330.6446988276_ESM3.6350256768515900006.1.8436F64F | ||
+ | [ExecType] 150 = 0 (NEW) | ||
+ | [OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12 | ||
+ | [OrdStatus] 39 = 0 (NEW) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 2 (SELL) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157875 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157875 | ||
+ | </ | ||
+ | Request a Replace of Limit Price of Trigger Component | ||
+ | < | ||
+ | >> 4/26/2013 10:09:08 AM | ||
+ | [FIXCANCELREPLACE] | ||
+ | [MsgSeqNum] 34 = 1975 | ||
+ | [SenderCompID] 49 = T4Example | ||
+ | [TargetCompID] 56 = test | ||
+ | [SenderSubID] 50 = Account1 | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = fr-635025677481913035 | ||
+ | [OrigClOrdID] 41 = auto-1-635025676828739888 | ||
+ | [OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12 | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [Side] 54 = 2 (SELL) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157850 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | </ | ||
+ | Limit Price of Trigger Component is replaced | ||
+ | < | ||
+ | << 4/26/2013 10:09:08 AM [fixexecutionreport] 34=135790|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135790 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = fr-635025677481913035 | ||
+ | [OrigClOrdID] 41 = auto-1-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48332.6446988276_ESM3.63502567750525000012.1.8436F64F | ||
+ | [ExecType] 150 = 5 (REPLACE) | ||
+ | [OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12 | ||
+ | [OrdStatus] 39 = 5 (REPLACED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 2 (SELL) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157850 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Trigger Component is Filled | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135809|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135809 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = fr-635025677481913035 | ||
+ | [OrigClOrdID] 41 = auto-1-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 64229: | ||
+ | [ExecType] 150 = F | ||
+ | [OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12 | ||
+ | [OrdStatus] 39 = 2 (FILLED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 2 (SELL) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157850 | ||
+ | [LastPx] 31 = 157850 | ||
+ | [LastShares] 32 = 1 | ||
+ | [CumQty] 14 = 1 | ||
+ | [LeavesQty] 151 = 0 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContraTrader] 337 = TRADE | ||
+ | [ContraBroker] 375 = CME000A | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Passed Risk Assessment for Activation | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135811|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135811 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 0.635025677646868750.2.4.066B9EFB | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Stop Component of OCO Passed Risk Assessment for Activation | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135812|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135812 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 0.635025677646868750.2.4.091F876B | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 3 (STOP) | ||
+ | [StopPx] 99 = 157875 | ||
+ | [Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange) | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135813|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135813 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48333..04.4.066B9EFB | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [Text] 58 = AutoOCO Activated | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange) | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135814|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135814 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48334..04.4.091F876B | ||
+ | [ExecType] 150 = 9 (SUSPENDED) | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 9 (SUSPENDED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 3 (STOP) | ||
+ | [StopPx] 99 = 157875 | ||
+ | [Text] 58 = AutoOCO Activated | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Working | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135815|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135815 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48333.6446988499_ESM3.6350256776476900006.1.066B9EFB | ||
+ | [ExecType] 150 = 0 (NEW) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 0 (NEW) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Stop Component of OCO Working | ||
+ | < | ||
+ | << 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135817|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135817 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48334.6446988500_ESM3.6350256776477300006.1.091F876B | ||
+ | [ExecType] 150 = 0 (NEW) | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 0 (NEW) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 3 (STOP) | ||
+ | [StopPx] 99 = 157875 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Stop Component of OCO Triggered | ||
+ | < | ||
+ | << 4/26/2013 10:09:26 AM [fixexecutionreport] 34=135823|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135823 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48334.6446988500_ESM3.6350256776922200006.1.091F876B | ||
+ | [ExecType] 150 = 0 (NEW) | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 0 (NEW) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 158175 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Stop Component of OCO Filled | ||
+ | < | ||
+ | << 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135825|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135825 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-3-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 64229: | ||
+ | [ExecType] 150 = F | ||
+ | [OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508 | ||
+ | [OrdStatus] 39 = 2 (FILLED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 1 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 158175 | ||
+ | [LastPx] 31 = 157875 | ||
+ | [LastShares] 32 = 1 | ||
+ | [CumQty] 14 = 1 | ||
+ | [LeavesQty] 151 = 0 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContraTrader] 337 = TRADE | ||
+ | [ContraBroker] 375 = CME000A | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Passed Risk Assessment | ||
+ | < | ||
+ | << 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135827|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135827 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48333.6446988499_ESM3.63502567764769000014.1.066B9EFB | ||
+ | [ExecType] 150 = 6 (PENDING_CANCEL) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 6 (PENDING_CANCEL) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [Text] 58 = AutoOCO Pull: PullRiskSuccess. Pull passed risk management | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Cancel Request Submitted to the Exchange | ||
+ | < | ||
+ | << 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135828|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135828 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48335.6446988499_ESM3.63502567764769000016.1.066B9EFB | ||
+ | [ExecType] 150 = 6 (PENDING_CANCEL) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 6 (PENDING_CANCEL) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [Text] 58 = AutoOCO Pull | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | AutoOCO Order Response - Limit Component of OCO Cancelled | ||
+ | < | ||
+ | << 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135829|49=T4|56=T4Example|50=T4FIX|52=20130426-15: | ||
+ | [FIXEXECUTIONREPORT] | ||
+ | [MsgSeqNum] 34 = 135829 | ||
+ | [SenderCompID] 49 = T4 | ||
+ | [TargetCompID] 56 = T4Example | ||
+ | [SenderSubID] 50 = T4FIX | ||
+ | [SendingTime] 52 = 20130426-15: | ||
+ | [TargetLocationID] 143 = US,IL | ||
+ | [Account] 1 = Account1 | ||
+ | [ClOrdID] 11 = auto-2-635025676828739888 | ||
+ | [ListID] 66 = fnl-635025676828739888 | ||
+ | [ExecID] 17 = 48335.6446988499_ESM3.63502567769807000018.2.066B9EFB | ||
+ | [ExecType] 150 = 4 (CANCELED) | ||
+ | [OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D | ||
+ | [OrdStatus] 39 = 4 (CANCELED) | ||
+ | [SecurityID] 48 = CME_20130600_ESM3 | ||
+ | [Symbol] 55 = ES | ||
+ | [SecurityExchange] 207 = CME_Eq | ||
+ | [MaturityMonthYear] 200 = 201306 | ||
+ | [TimeInForce] 59 = 0 (DAY) | ||
+ | [SecurityDesc] 107 = E-mini S&P 500 Jun13 | ||
+ | [Side] 54 = 1 (BUY) | ||
+ | [SecurityType] 167 = FUT (FUTURE) | ||
+ | [OrderQty] 38 = 0 | ||
+ | [OrdType] 40 = 2 (LIMIT) | ||
+ | [Price] 44 = 157825 | ||
+ | [TransactTime] 60 = 20130426-15: | ||
+ | [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) | ||
+ | [CustomerOrFirm] 204 = 0 (CUSTOMER) | ||
+ | [ContingencyType] 1385 = 2 (AUTO_OCO) | ||
+ | [TriggerPrice] 10101 = 157850 | ||
+ | </ | ||
+ | Further details on the tags used for this order type are described in the dictionary of the New Order List message. | ||
+ | |||
+ | [[developers: | ||