developers:websocket:orders

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developers:websocket:orders [2025/03/14 20:15] – created chaddevelopers:websocket:orders [2025/03/14 22:10] (current) – chad
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-==== Order Routing ====+===== Order Routing =====
  
-The WebSocket API provides real-time order routing functionality, allowing clients to submit, revise, and pull orders efficiently. All order-related operations are sent within a **ClientMessage** envelope and responses are received within a **ServerMessage** envelope.+The WebSocket API provides real-time order routing, allowing clients to submit, revise, and pull orders. [[developers:websocket#message_structure_overview|All order-related operations are sent within a **ClientMessage** envelope and responses are received within a **ServerMessage** envelope.]]
  
-This section covers: 
-  * Submitting Orders 
-  * Revising Orders 
-  * Pulling Orders 
-  * Handling Order Updates 
  
-A **C# helper tool** is available to assist developers in constructing order messages. **[Repository Placeholder - Add Link]**+==== Submitting an Order ====
  
-=== Submitting an Order ===+To submit an order, clients send an **OrderSubmit** message.
  
-To submit an order, clients must send an **OrderSubmit** message. This includes key details such as the **account ID, market ID, order type, price, and volume**.+<bootnote> 
 +You must subscribe to the Account before submitting an order into it. Orders will be rejected if the account is not subscribed. 
 +</bootnote>
  
 Example **OrderSubmit** message: Example **OrderSubmit** message:
  
 <code> <code>
-message ClientMessage { +OrderSubmit { 
-  oneof payload { +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
-    OrderSubmit order_submit = X; +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
-  }+   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 5, 
 +         LimitPrice = "4200.50" 
 +      } 
 +   ]
 } }
  
-message OrderSubmit { +</code>
-  string user_id = 1; +
-  string account_id = 2; +
-  string market_id = 3; +
-  repeated Order orders = 4;+
  
-  message Order { +<bootnote> 
-    BuySell buy_sell = 1; +The **OrderSubmit** message allows submitting multiple orders at once. 
-    PriceType price_type = 2; +</bootnote> 
-    TimeType time_type = 3; + 
-    int32 volume = 4; + 
-    optional Price limit_price = 5; +==== Revising an Order ==== 
-  }+ 
 +To revise an existing order, clients send an **OrderRevise** message. 
 + 
 +Example **OrderRevise** message: 
 + 
 +<code> 
 +OrderRevise { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Revisions = [ 
 +      { 
 +         UniqueId = "a3b1c5f2-7d43-4f9b-88e2-1e2f75c6d9a1", 
 +         Volume = 10, 
 +         LimitPrice = "4250.00" 
 +      } 
 +   ]
 } }
 </code> </code>
  
-The **OrderSubmit** message allows submitting multiple orders at once, each with its own **BuySell**, **PriceType**, and **TimeType**.+<bootnote> 
 +The **OrderRevise** message allows revising multiple orders at once. 
 +</bootnote>
  
-=== Revising an Order === 
  
-To revise an existing order, clients must send an **OrderRevise** message. This allows modifying key parameters such as **price, volume, and time type**, but the market and buy/sell direction cannot be changed.+==== Pulling (Cancelling) an Order ====
  
-Example **OrderRevise** message:+To cancel an order, clients must send an **OrderPull** message with the **order ID**. 
 + 
 +Example **OrderPull** message:
  
 <code> <code>
-message ClientMessage { +OrderPull { 
-  oneof payload { +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
-    OrderRevise order_revise = X; +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
-  }+   MarketId = "XCME_C ZC (H25)", 
 +   Pulls = [ 
 +      { 
 +         UniqueId = "a3b1c5f2-7d43-4f9b-88e2-1e2f75c6d9a1" 
 +      } 
 +   ]
 } }
 +</code>
  
-message OrderRevise { +<bootnote> 
-  string order_id = 1; +The **OrderPull** message allows pulling multiple orders at once. 
-  optional Price new_limit_price = 2; +</bootnote> 
-  optional int32 new_volume = 3; + 
-  optional TimeType new_time_type = 4;+ 
 +===== Order Types ===== 
 + 
 +The WebSocket API supports a variety of order types to accommodate different trading strategies. Below are the supported order types, along with their corresponding **OrderSubmit** messages. 
 + 
 + 
 + 
 +==== Market Order ==== 
 + 
 +A Market Order executes immediately at the best available price. 
 + 
 +Example **Market Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Market, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1 
 +      } 
 +   ]
 } }
 </code> </code>
  
-Only fields that need to be changed should be included. 
  
-=== Pulling (Cancelling) an Order === 
  
-To cancel an order, clients must send an **OrderPull** message with the **order ID**. 
  
-Example **OrderPull** message:+==== Limit Order ==== 
 + 
 +A Limit Order is submitted with a specific limit price. The order will only execute at the specified price or better. 
 + 
 +Example **Limit Order** message:
  
 <code> <code>
-message ClientMessage { +OrderSubmit { 
-  oneof payload { +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
-    OrderPull order_pull = X; +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
-  }+   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         LimitPrice = "2376.50" 
 +      } 
 +   ]
 } }
 +</code>
  
-message OrderPull { + 
-  string order_id = 1;+ 
 + 
 +==== Stop Order ==== 
 + 
 +A Stop Market Order becomes a Market Order when the stop price is reached. 
 + 
 +Example **Stop Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.StopMarket, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         StopPrice = "2376.50" 
 +      } 
 +   ]
 } }
 </code> </code>
  
-Once an order is successfully canceled, an **OrderUpdate** message will be sent in the **ServerMessage**. 
  
-=== Handling Order Updates === 
  
-All order state changes, including new orders, fills, revisions, and cancellations, are communicated via the **OrderUpdate** message. 
  
-Example **OrderUpdate** message:+==== Stop Limit Order ==== 
 + 
 +A Stop Limit Order becomes a Limit Order when the stop price is reached. 
 + 
 +Example **Stop Limit Order** message:
  
 <code> <code>
-message ServerMessage { +OrderSubmit { 
-  oneof payload { +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
-    OrderUpdate order_update = X; +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
-  }+   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.StopLimit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         StopPrice = "2375.00", 
 +         LimitPrice = "2375.00" 
 +      } 
 +   ]
 } }
 +</code>
  
-message OrderUpdate { + 
-  string order_id = 1; + 
-  OrderStatus status = 2; + 
-  optional Price filled_price = 3; +==== Trailing Stop Order ==== 
-  optional int32 filled_volume = 4;+ 
 +A Trailing Stop Order moves the stop price automatically based on price movement. 
 + 
 +Example **Trailing Stop Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.StopMarket, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         StopPrice = "2375.00", 
 +         TrailPrice = "50" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 + 
 + 
 + 
 +==== Fill or Kill (FOK) Order ==== 
 + 
 +A Fill or Kill (FOK) Order must be executed immediately in full or it is canceled. 
 + 
 +Example **Fill or Kill (FOK) Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.CompleteVolume, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 + 
 + 
 + 
 +==== Immediate or Cancel (IOC) Order ==== 
 + 
 +An Immediate or Cancel (IOC) Order executes immediately for the available quantity and cancels the rest. 
 + 
 +Example **Immediate or Cancel (IOC) Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.ImmediateAndCancel, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 + 
 + 
 + 
 +==== Good Till Canceled (GTC) Order ==== 
 + 
 +A Good Till Canceled (GTC) Order remains open until it is filled or explicitly canceled. 
 + 
 +Example **Good Till Canceled (GTC) Order** message: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.GoodTillCancelled, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 + 
 + 
 + 
 +==== Order Cancels Order (OCO) ==== 
 + 
 +An OCO (One Cancels Other) order is a pair of orders submitted together. Both orders are on the same side of the market: one is a Limit Order and the other is a Stop Order. When one fills, the other is automatically canceled. If one order is partially filled, the remaining volume of the other order is adjusted accordingly. 
 + 
 +OCO orders must be placed for the **same Market and Account**. 
 + 
 +Example OrderSubmit message for an OCO order: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   OrderLink = OrderLink.OCO, 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      }, 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.StopMarket, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         StopPrice = "2380.00" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 +Both orders are placed at the same time. If the Limit Order is filled, the Stop Order is automatically canceled, and vice versa. 
 + 
 + 
 + 
 + 
 +==== AutoOCO Order ==== 
 + 
 +An AutoOCO Order is a batch of three orders: 
 +  * A Trigger Order that initiates the trade. 
 +  * Two OCO Orders (Take Profit and Stop Loss) that execute based on the trigger order's fill price. 
 + 
 +If the Trigger Order fills, the OCO Orders are submitted. If the OCO Orders begin filling, any remaining volume in the Trigger Order is canceled. 
 + 
 +Example OrderSubmit message for an AutoOCO order: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   OrderLink = OrderLink.AutoOCO, 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      }, 
 +      { 
 +         BuySell = BuySell.Sell, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 0, 
 +         LimitPrice = "2380.00" 
 +      }, 
 +      { 
 +         BuySell = BuySell.Sell, 
 +         PriceType = PriceType.StopMarket, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 0, 
 +         StopPrice = "2365.00" 
 +      } 
 +   ] 
 +} 
 +</code> 
 + 
 + 
 + 
 + 
 +==== Take Profit and Stop Loss ==== 
 + 
 +Take profit and stop loss orders are a type of OCO order. The first order in the batch is the **Trigger Order**. Once it fills, the **Take Profit** and **Stop Loss** orders are submitted. 
 + 
 +Example OrderSubmit message for a Take Profit / Stop Loss order: 
 + 
 +<code> 
 +OrderSubmit { 
 +   UserId = "efda0709-af12-4b65-8971-5089edb4aaf0", 
 +   AccountId = "448c9ddd-6a50-4852-85ea-aad3b6d60620", 
 +   MarketId = "XCME_C ZC (H25)", 
 +   OrderLink = OrderLink.OCO, 
 +   Orders = [ 
 +      { 
 +         BuySell = BuySell.Buy, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 1, 
 +         LimitPrice = "2375.00" 
 +      }, 
 +      { 
 +         BuySell = BuySell.Sell, 
 +         PriceType = PriceType.Limit, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 0, 
 +         LimitPrice = "2385.00" 
 +      }, 
 +      { 
 +         BuySell = BuySell.Sell, 
 +         PriceType = PriceType.StopMarket, 
 +         TimeType = TimeType.Normal, 
 +         Volume = 0, 
 +         StopPrice = "2360.00" 
 +      } 
 +   ]
 } }
 </code> </code>
  
-Developers should listen for **OrderUpdate** messages to track order execution status.+When the **Trigger Order** executes, the **Take Profit** and **Stop Loss** orders are placed. If the price reaches the take profit level, the stop loss order is canceled, and vice versa.
  
-This structure ensures a **consistent, efficient**, and **real-time** approach to order routing. 
  
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