Order State and Execution

The Execution Report message (MsgType=8) is used by the T4 FIX API to electronically notify execution events and order state changes. Key uses include:

• Confirming receipt of an order
• Confirming changes to existing orders (accept, cancel requests, cancel-replace requests)
• Relaying order status changes
• Relaying trade information of working orders
• Relaying position update information
• Relaying rejection of orders

* ExecType (Tag 150) identifies the type of Execution Report * ExecId (Tag 17) provides a unique identifier for the report * OrdStatus (Tag 39) indicates the instantaneous state of the order

Execution Reports are generated for all CTS strategy types including outright futures, futures options, spreads, and multileg strategies. Instrument identification is achieved with:

• Tag 48 = SecurityID
• Tag 55 = Symbol
• Tag 207 = SecurityExchange

Options orders include:

• Tag 202 = Strike Price
• Tag 201 = PutOrCall

Client-side order identification:

• ClOrdId (Tag 11)
• OrigClOrdId (Tag 41)

Server-side order identification:

• OrderId (Tag 37)

Order State Sequence

Order lifetime may generate multiple execution reports as follows:

1. Order Risk Assessment 2. Order Suspension within CTS (for appropriate order types) 3. Order Activation within CTS (for appropriate order types) 4. Order Trigger within CTS (for appropriate order types) 5. Order Submittal to the Exchange 6. Order Acceptance by the Exchange (Broker Accept) 7. Order Execution by the Exchange

Pending Executions

Pending execution reports reflect intermediary order states:

• Pending New (Tag 150=A)
• Pending Replace (Tag 150=E)
• Pending Cancel (Tag 150=6)
• Suspension/Activation (Tag 150=9)

Non-pending reports indicate success:

• New (Tag 150=0)
• Replaced (Tag 150=5)
• Canceled (Tag 150=4)

Verbose reporting can be controlled via the Logon message parameter (RefMsgTyp=Tag 372).

Default Reporting

To reduce traffic, the T4 FIX API defaults to minimal execution reports. Special Order Types (Activation Orders, OCOs, Queue Orders, Join Orders, etc.) require verbose reporting including intermediary Pending-New or Suspended states.

Unsolicited Reports

Connected users automatically receive execution reports for:

• Order submittal
• Order state changes
• Trades and amendments

External (non-FIX) order activity can also trigger execution reports for subscribed accounts. Overnight position updates are reported asynchronously (ExecTransType Tag 20=0) with PossResend Tag 97=Y.

Execution Identifiers (ExecID) Structure

ExecID (Tag 17) is unique per FIX session and may include subfields:

* Trade ExecID: OrderID_TradeSequenceNumber_T (Trades), OrderID_LegTradeSequenceNumber_TL (Leg Trades) * Status ExecID: OrderID_SequenceNumber_F/S/U/H (Order updates, history)

Overnight Positions may aggregate multiple orders and do not carry previous session IDs.

Message Dictionary