A Stop Order is entered with the New Order Single (Tag 35=D) message.
Following are the most relevant tags to build a Stop Order.
| Tag | Name | Description |
|---|---|---|
| 40=3 | OrdType | Specifier of Stop Order Type |
| 99 | StopPx | Stop Price |
| 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 |
In this example, the stop order is triggered when a trade occurs at the (StopPx – Tag 99) price of 149975 or higher.
Then, the order is changed into a Market order.
Please note that exchanges generally place limits on market orders, which effectively makes a market order a limit order with a 10 or 20 tick price limit on it. Hence, you are not guaranteed a fill with a market order in a fast-moving market. Check with the exchange you are trading on to determine their current limits.
Stop Order
>> 2/21/2013 5:34:45 PM [FIXNEWORDER] 34=104|49=T4Example|56=T4|50=TraderName|52=20130221-23:34:45.539|1=Account1|11=fn-634970648855398608|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=3|99=149975|59=0|167=FUT|21=1|60=20130221-23:34:45.539|204=0| [FIXNEWORDER] [MsgSeqNum] 34 = 104 [SenderCompID] 49 = T4Example [TargetCompID] 56 = T4 [SenderSubID] 50 = TraderName [SendingTime] 52 = 20130221-23:34:45.539 [Account] 1 = Account1 [ClOrdID] 11 = fn-634970648855398608 [SecurityID] 48 = CME_20130300_ESH3 [Symbol] 55 = ES [SecurityExchange] 207 = CME_Eq [Side] 54 = 1 (BUY) [OrderQty] 38 = 1 [OrdType] 40 = 3 (STOP) [StopPx] 99 = 149975 [TimeInForce] 59 = 0 (DAY) [SecurityType] 167 = FUT (FUTURE) [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [TransactTime] 60 = 20130221-23:34:45.539 [CustomerOrFirm] 204 = 0 (CUSTOMER)
<< 2/21/2013 5:34:45 PM [fixexecutionreport] 34=150|49=T4|56=T4Example|50=T4FIX|52=20130221-23:34:45.586|143=US,IL|1=Account1|11=fn-634970648855398608|17=48010.6417471763_ESH3.6349706488670600006.1.AFAF4C13|150=0|37=AFAF4C13-937A-4F96-B903-2507BBC70B6E|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=3|99=149975|60=20130221-23:34:46.706|21=1|204=0| [FIXEXECUTIONREPORT] [MsgSeqNum] 34 = 150 [SenderCompID] 49 = T4 [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20130221-23:34:45.586 [TargetLocationID] 143 = US,IL [Account] 1 = Account1 [ClOrdID] 11 = fn-634970648855398608 [ExecID] 17 = 48010.6417471763_ESH3.6349706488670600006.1.AFAF4C13 [ExecType] 150 = 0 (NEW) [OrderID] 37 = AFAF4C13-937A-4F96-B903-2507BBC70B6E [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 = 3 (STOP) [StopPx] 99 = 149975 [TransactTime] 60 = 20130221-23:34:46.706 [HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) [CustomerOrFirm] 204 = 0 (CUSTOMER)
Further details on the tags used for this order type are described in the dictionary of the New Order Single message.