A MarketIfTouched (MIT) Order is submitted to the T4 FIX API server to suspend and await subsequent exchange submittal when a trigger price is hit. Once a trade occurs at the trigger price, the T4 FIX API server releases the MIT Order to the exchange as a Market Order (Tag 40=0).
A MarketIfTouched Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a MIT Order:
| Tag | Field | Description |
|---|---|---|
| 40=J | OrdType | Specifier of MarketIfTouched Order Type |
| 44 | Price | Trade (Trigger) Price at which the suspended market order is sent to the exchange |
| 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 |
| 167 | SecurityType | Security Type (e.g. Futures) of this specific market |
Sample
In this example, the order is submitted with a trigger price (Tag 44) of 150825, suspended and waiting for the market to hit that trigger price. When the trigger price of 150825 is traded, the suspended order is submitted to the exchange as a Market Order (Tag 40=0) and is subsequently filled.
Market-If-Touched Order
>> 2/25/2013 3:30:16 PM [FIXNEWORDER] 34=37|49=T4Example|56=T4|50=TraderName|52=20130225-21:30:16.414|1=Account1|11=fn-634974030164143822|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=J|44=150825|59=0|167=FUT|21=1|60=20130225-21:30:16.414|204=0| [FIXNEWORDER] [MsgSeqNum] 34 = 37 [SenderCompID] 49 = T4Example [TargetCompID] 56 = T4 [SenderSubID] 50 = TraderName [SendingTime] 52 = 20130225-21:30:16.414 [Account] 1 = Account1 [ClOrdID] 11 = fn-634974030164143822 [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [Side] 54 = 1 (BUY) [OrderQty] 38 = 1 [OrdType] 40 = J (MARKET_IF_TOUCHED) [Price] 44 = 150825 [TimeInForce] 59 = 0 (DAY) [SecurityType] 167 = FUT (FUTURE) [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [TransactTime] 60 = 20130225-21:30:16.414 [CustomerOrFirm] 204 = 0 (CUSTOMER)
Market-If-Touched Order - Awaiting Trigger
<< 2/25/2013 3:30:16 PM [fixexecutionreport] 34=120|49=T4|56=T4Example|50=T4FIX|52=20130225-21:30:16.424|143=US,IL|1=Account1|11=fn-634974030164143822|17=0.634974030189868750.2.1.24CFF6CF|150=A|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=A|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=J|44=150825|58=MIT Awaiting Trigger|60=20130225-21:30:18.986|21=1|204=0| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 120 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130225-21:30:16.424 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634974030164143822 [ExecID] 17 = 0.634974030189868750.2.1.24CFF6CF [ExecType] 150 = A (PENDING_NEW) [OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57 [OrdStatus] 39 = A (PENDING_NEW) [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [MaturityMonthYear] 200 = 201303 [TimeInForce] 59 = 0 (DAY) [SecurityDesc] 107 = E-mini S&P 500 Mar13 [Side] 54 = 1 (BUY) [SecurityType] 167 = FUT (FUTURE) [OrderQty] 38 = 1 [OrdType] 40 = J (MARKET_IF_TOUCHED) [Price] 44 = 150825 [Text] 58 = MIT Awaiting Trigger [TransactTime] 60 = 20130225-21:30:18.986 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER)
Market-If-Touched Order - Triggered and Working
<< 2/25/2013 3:31:00 PM [fixexecutionreport] 34=122|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.695|143=US,IL|1=Account1|11=fn-634974030164143822|17=47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF|150=0|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=1|60=20130225-21:31:03.332|21=1|204=0| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 122 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130225-21:31:00.695 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634974030164143822 [ExecID] 17 = 47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF [ExecType] 150 = 0 (NEW) [OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57 [OrdStatus] 39 = 0 (NEW) [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [MaturityMonthYear] 200 = 201303 [TimeInForce] 59 = 0 (DAY) [SecurityDesc] 107 = E-mini S&P 500 Mar13 [Side] 54 = 1 (BUY) [SecurityType] 167 = FUT (FUTURE) [OrderQty] 38 = 1 [OrdType] 40 = 1 (MARKET) [TransactTime] 60 = 20130225-21:31:03.332 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER)
Market-If-Touched Order - Filled
<< 2/25/2013 3:31:00 PM [fixexecutionreport] 34=123|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.913|143=US,IL|1=Account1|11=fn-634974030164143822|17=64205:719653TN0041137.63497403063332000021.2.24CFF6CF|150=F|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=2|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=1|31=150825|32=1|14=1|151=0|60=20130225-21:31:03.471|21=1|204=0|337=TRADE|375=CME000A| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 123 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130225-21:31:00.913 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634974030164143822 [ExecID] 17 = 64205:719653TN0041137.63497403063332000021.2.24CFF6CF [ExecType] 150 = F [OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57 [OrdStatus] 39 = 2 (FILLED) [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [MaturityMonthYear] 200 = 201303 [TimeInForce] 59 = 0 (DAY) [SecurityDesc] 107 = E-mini S&P 500 Mar13 [Side] 54 = 1 (BUY) [SecurityType] 167 = FUT (FUTURE) [OrderQty] 38 = 1 [OrdType] 40 = 1 (MARKET) [LastPx] 31 = 150825 [LastShares] 32 = 1 [CumQty] 14 = 1 [LeavesQty] 151 = 0 [TransactTime] 60 = 20130225-21:31:03.471 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER) [ContraTrader] 337 = TRADE [ContraBroker] 375 = CME000A
Further details on the tags used for this order type are described in the dictionary of the New Order Single message.