developers:fixapi.flattenorder

Flatten Order

A Flatten Order can be used to flatten a current position regardless of what that position is. The T4 FIX API server determines the volume and Buy/Sell parameters. If a position does not currently exist for the SecurityID (Tag 48) of the submitted flatten order, the order is rejected.

A Flatten Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Flatten Order:

Tag	Field	Description
40=F	OrdType	Specifier of Flatten Order Type
38	OrderQty	Set to 0 to have the T4 FIX API server determine the volume needed to flatten the position. A finite quantity may also be entered.
54	Side	Set to 0 (NONE) to have the T4 FIX API server determine whether to Buy or Sell to flatten. A finite side may also be entered.
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

OrderQty Considerations

OrderQty = 0 – Allows the API server to bypass certain risk management checks.

Example: If Max Clip Size = 10 and Max Position = 20, and the current position is long 15, the server can submit a 15-lot sell without being rejected due to the clip size limit.

OrderQty > 0 – Acts as a maximum volume to submit.

Example: If position = long 15 and OrderQty = 12, only a 12-lot order would be submitted.
Risk management checks will be applied; order may be rejected if it violates limits (e.g. exceeds Max Clip Size).

Side Considerations

Side = 0 (NONE) – Lets the server determine the side needed to flatten.
Side = BUY (1) or SELL (2) – Server will only flatten if the position is in the correct direction.

Example: If holding a long position and sending a flatten order with Side = BUY (1), the server will reject the order.

Sample

In this example, the Flatten order is submitted by setting OrdType (Tag 40) = F. Price (Tag 44) is not entered, Side (Tag 54) = 0 (NONE), and OrderQty (Tag 38) = 0.

Flatten Order

>> 2/22/2013 12:51:28 PM   [FIXNEWORDER] 34=153|49=T4Example|56=T4|50=TraderName|52=20130222-18:51:28.207|1=Account1|11=fn-634971342882072305|48=CME_20130300_ZCH3|55=ZC|207=CME_C|54=0|38=0|40=F|59=0|167=FUT|21=1|60=20130222-18:51:28.207|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 153
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130222-18:51:28.207
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971342882072305
[SecurityID] 48 = CME_20130300_ZCH3
[Symbol] 55 = ZC
[SecurityExchange] 207 = CME_C
[Side] 54 = 0 (NONE)
[OrderQty] 38 = 0
[OrdType] 40 = F (FLATTEN)
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-18:51:28.207
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Response - Awaiting Trigger

<< 2/22/2013 12:51:28 PM  [fixexecutionreport] 34=536|49=T4|56=T4Example|50=T4FIX|52=20130222-18:51:28.207|143=UK|1=Account1|11=fn-634971342882072305|17=0.634971342895618750.2.1.DF0E0564|150=A|37=DF0E0564-9063-4C02-8F21-071C4DE1C419|39=A|48=CME_20130300_ZCH3|55=ZC|207=CME_C|200=201303|59=0|107=Corn Mar13|54=0|167=FUT|38=0|40=F|58=Flatten Awaiting Trigger|60=20130222-18:51:29.561|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 536
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:51:28.207
[TargetLocationID] 143 = UK
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971342882072305
[ExecID] 17 = 0.634971342895618750.2.1.DF0E0564
[ExecType] 150 = A (PENDING_NEW)
[OrderID] 37 = DF0E0564-9063-4C02-8F21-071C4DE1C419
[OrdStatus] 39 = A (PENDING_NEW)
[SecurityID] 48 = CME_20130300_ZCH3
[Symbol] 55 = ZC
[SecurityExchange] 207 = CME_C
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = Corn Mar13
[Side] 54 = 0 (NONE)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = F (FLATTEN)
[Text] 58 = Flatten Awaiting Trigger
[TransactTime] 60 = 20130222-18:51:29.561
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Response

<< 2/22/2013 12:51:28 PM  [fixexecutionreport] 34=537|49=T4|56=T4Example|50=T4FIX|52=20130222-18:51:28.254|143=UK|1=Account1|11=fn-634971342882072305|17=48085.7016210353_ZCH3.6349713428968100006.1.DF0E0564|150=0|37=DF0E0564-9063-4C02-8F21-071C4DE1C419|39=0|48=CME_20130300_ZCH3|55=ZC|207=CME_C|200=201303|59=0|107=Corn Mar13|54=2|167=FUT|38=1|40=1|60=20130222-18:51:29.681|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 537
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:51:28.254
[TargetLocationID] 143 = UK
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971342882072305
[ExecID] 17 = 48085.7016210353_ZCH3.6349713428968100006.1.DF0E0564
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = DF0E0564-9063-4C02-8F21-071C4DE1C419
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130300_ZCH3
[Symbol] 55 = ZC
[SecurityExchange] 207 = CME_C
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = Corn Mar13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[TransactTime] 60 = 20130222-18:51:29.681
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Fill

<< 2/22/2013 12:51:28 PM  [fixexecutionreport] 34=538|49=T4|56=T4Example|50=T4FIX|52=20130222-18:51:28.472|143=UK|1=Account1|11=fn-634971342882072305|17=70184:6787286TN0120234.63497134289681000021.2.DF0E0564|150=F|37=DF0E0564-9063-4C02-8F21-071C4DE1C419|39=2|48=CME_20130300_ZCH3|55=ZC|207=CME_C|200=201303|59=0|107=Corn Mar13|54=2|167=FUT|38=1|40=1|31=69475|32=1|14=1|151=0|60=20130222-18:51:29.827|21=1|204=0|337=TRADE|375=CME000A|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 538
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:51:28.472
[TargetLocationID] 143 = UK
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971342882072305
[ExecID] 17 = 70184:6787286TN0120234.63497134289681000021.2.DF0E0564
[ExecType] 150 = F
[OrderID] 37 = DF0E0564-9063-4C02-8F21-071C4DE1C419
[OrdStatus] 39 = 2 (FILLED)
[SecurityID] 48 = CME_20130300_ZCH3
[Symbol] 55 = ZC
[SecurityExchange] 207 = CME_C
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = Corn Mar13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[LastPx] 31 = 69475
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130222-18:51:29.827
[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.

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