A Complete Volume Order (also known as Fill Or Kill or FOK) is submitted to the exchange and is either filled completely or cancelled immediately.
A Complete Volume Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Complete Volume Order:
| Tag | Field | Description |
|---|---|---|
| 59=4 | TimeInForce | Time In Force specifier of Fill or Kill (Complete Volume) |
| 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, a 10-lot Complete Volume order is submitted for a limit price (Tag 44) of 44000 or better. As it is a buy order, a better price indicates a price lower than 44000.
Complete Volume Order
>> 2/25/2013 2:32:26 PM [FIXNEWORDER] 34=29|49=T4Example|56=T4|50=Ernesto|52=20130225-20:32:26.505|1=Account1|11=fn-634973995465059974|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|54=1|38=10|40=2|44=44000|59=4|167=FUT|21=1|60=20130225-20:32:26.505|204=0| [FIXNEWORDER] [MsgSeqNum] 34 = 29 [SenderCompID] 49 = T4Example [TargetCompID] 56 = T4 [SenderSubID] 50 = TraderName [SendingTime] 52 = 20130225-20:32:26.505 [Account] 1 = Account1 [ClOrdID] 11 = fn-634973995465059974 [SecurityID] 48 = CBOE_20130300_AAPL1C [Symbol] 55 = AAPL [SecurityExchange] 207 = CBOE_SF [Side] 54 = 1 (BUY) [OrderQty] 38 = 10 [OrdType] 40 = 2 (LIMIT) [Price] 44 = 44000 [TimeInForce] 59 = 4 (FILL_OR_KILL) [SecurityType] 167 = FUT (FUTURE) [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [TransactTime] 60 = 20130225-20:32:26.505 [CustomerOrFirm] 204 = 0 (CUSTOMER)
Complete Volume Order Response
<< 2/25/2013 2:32:26 PM [fixexecutionreport] 34=102|49=T4|56=T4Example|50=T4FIX|52=20130225-20:32:26.568|1=Account1|11=fn-634973995465059974|17=9.66040:1836240153.6349739954900000006.1.61E85F9C|150=0|37=61E85F9C-8FD9-4202-8A17-E52B5F2A921B|39=0|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|200=201303|59=4|107=Apple Computer Inc. Mar13 1C|54=1|167=FUT|38=10|40=2|44=44000|60=20130225-20:32:29.000|21=1|204=1| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 102 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130225-20:32:26.568 [Account] 1 = Account1 [ClOrdID] 11 = fn-634973995465059974 [ExecID] 17 = 9.66040:1836240153.6349739954900000006.1.61E85F9C [ExecType] 150 = 0 (NEW) [OrderID] 37 = 61E85F9C-8FD9-4202-8A17-E52B5F2A921B [OrdStatus] 39 = 0 (NEW) [SecurityID] 48 = CBOE_20130300_AAPL1C [Symbol] 55 = AAPL [SecurityExchange] 207 = CBOE_SF [MaturityMonthYear] 200 = 201303 [TimeInForce] 59 = 4 (FILL_OR_KILL) [SecurityDesc] 107 = Apple Computer Inc. Mar13 1C [Side] 54 = 1 (BUY) [SecurityType] 167 = FUT (FUTURE) [OrderQty] 38 = 10 [OrdType] 40 = 2 (LIMIT) [Price] 44 = 44000 [TransactTime] 60 = 20130225-20:32:29.000 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 1 (FIRM)
Further details on the tags used for this order type are described in the dictionary of the New Order Single message.