A Join Order submits a limit order at the best bid or offer price, joining at the best price.
A Join Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Join Order:
| Tag | Field | Description |
|---|---|---|
| 40=N | OrdType | Specifier of Join Order Type |
| 54 | Side | Set to 1 (BUY) to join the best bid. Set to 2 (SELL) to join the best offer. |
| 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 Join order is submitted by setting OrdType (Tag 40) = N. Note that Price (Tag 44) is not entered.
Join Order
>> 2/22/2013 12:14:29 PM [FIXNEWORDER] 34=75|49=T4Example|56=T4|50=Ernesto|52=20130222-18:14:29.056|1=Account1|11=fn-634971320690565608|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=N|59=0|167=FUT|21=1|60=20130222-18:14:29.056|204=0| [FIXNEWORDER] [MsgSeqNum] 34 = 75 [SenderCompID] 49 = T4Example [TargetCompID] 56 = T4 [SenderSubID] 50 = Account1 [SendingTime] 52 = 20130222-18:14:29.056 [Account] 1 = ernesto [ClOrdID] 11 = fn-634971320690565608 [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [Side] 54 = 1 (BUY) [OrderQty] 38 = 1 [OrdType] 40 = N (JOIN) [TimeInForce] 59 = 0 (DAY) [SecurityType] 167 = FUT (FUTURE) [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [TransactTime] 60 = 20130222-18:14:29.056 [CustomerOrFirm] 204 = 0 (CUSTOMER)
Join Order Response - Awaiting Trigger
<< 2/22/2013 12:14:29 PM [fixexecutionreport] 34=175|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.056|143=US,IL|1=Account1|11=fn-634971320690565608|17=0.634971320704368750.2.1.79A2601F|150=A|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|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=N|58=Join Awaiting Trigger|60=20130222-18:14:30.436|21=1|204=0| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 175 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130222-18:14:29.056 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634971320690565608 [ExecID] 17 = 0.634971320704368750.2.1.79A2601F [ExecType] 150 = A (PENDING_NEW) [OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89 [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 = N (JOIN) [Text] 58 = Join Awaiting Trigger [TransactTime] 60 = 20130222-18:14:30.436 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER)
Join Order Response
<< 2/22/2013 12:14:29 PM [fixexecutionreport] 34=176|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.087|143=US,IL|1=Account1|11=fn-634971320690565608|17=48084.6419495592_ESH3.6349713207052200006.1.79A2601F|150=0|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|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=2|44=149875|60=20130222-18:14:30.522|21=1|204=0| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 176 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130222-18:14:29.087 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634971320690565608 [ExecID] 17 = 48084.6419495592_ESH3.6349713207052200006.1.79A2601F [ExecType] 150 = 0 (NEW) [OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89 [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 = 2 (LIMIT) [Price] 44 = 149875 [TransactTime] 60 = 20130222-18:14:30.522 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER)
Join Order Fill
<< 2/22/2013 12:14:29 PM [fixexecutionreport] 34=177|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.945|143=US,IL|1=Account1|11=fn-634971320690565608|17=64201:7485971TN0604888.63497132071356000021.2.79A2601F|150=F|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|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=2|44=149875|31=149875|32=1|14=1|151=0|60=20130222-18:14:31.343|21=1|204=0|337=TRADE|375=CME000A| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 177 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130222-18:14:29.945 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634971320690565608 [ExecID] 17 = 64201:7485971TN0604888.63497132071356000021.2.79A2601F [ExecType] 150 = F [OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89 [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 = 2 (LIMIT) [Price] 44 = 149875 [LastPx] 31 = 149875 [LastShares] 32 = 1 [CumQty] 14 = 1 [LeavesQty] 151 = 0 [TransactTime] 60 = 20130222-18:14:31.343 [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.