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FIX Adapter Reference

Component Block: Synthetic Order Properties

Overview

Certain message types include a synthetic order properties component block, which contains information relevant for Synthetic SE synthetic orders.

FACT configuration settings

The FIX Adapter Configuration Tool (FACT) provides options that allow you to determine whether to send synthetic orders and fills. If you configure FIX Adapter to send synthetic orders and fills in Execution Report (8) messages, you can also enable the Send Synthetic Order Properties option to include additional information about the synthetic order characteristics. For example, if a Synthetic SE server sent a fill for a relative price order, the Execution Report (8) message would include Tag 16116 (RelativePriceType) and Tag 16117 (RelativePriceOffset) when Send Synthetic Order Properties is enabled.

For more information about these configuration settings, refer to the TT FIX Adapter System Administration Manual.

Supported tags

Based on the type of Synthetic SE synthetic order, the following tags can be included in the Synthetic Order Properties component block. The table organizes the tags by the following potential characteristics of a synthetic order:

  • Relative Prices
  • Timers
  • With A Tick
  • Retries
  • Triggers
  • Trailers
  • Slicers
  • Market Order Limites

Note: For more information about synthetic orders, see X_TRADER Order Types in the X_TRADER help.

If a user submits an order that gets routed to Synthetic SE, the parent synthetic order will include tags from all of the elements used in the order. For example, if a user submits a timed order that launches a volume slicer order, the FIX messages would contain tags from the Timers and Slicers sections of the table. The table indicates the specific conditions under which each tag is sent.

Tag # Field name Req’d Comments

NOTE: TT FIX Adapter sends the tags in the following section for synthetic orders with a relative price.

16116

RelativePriceType

C

Base for the relative priced order. Possible values include:

  • 0: LTP
  • 1: Bid
  • 2: Ask

Data type: int

Condition: Sent only for relative price orders.

Note: Tag 44 (Price) is not sent for relative price orders.

16117

RelativePriceOffset

C

Number of ticks for the price offset for a relative price.

Data type: int

Condition: Sent only for relative price orders.

Note: Tag 44 (Price) is not sent for relative price orders.

NOTE: TT FIX Adapter sends one or more of the tags in the following section for synthetic orders with time conditions.

16118

StartDateTime

C

Time to activate the synthetic order.

Data type: UtcTimestamp

Condition: Sent only when specified in the corresponding order

16119

EndDateTime

C

Time to stop executing the logic the synthetic order. The value of Tag 16120 (EndDateTimeAction) indicates how the child orders are handled.

Data type: UTCTimestamp

Condition: Sent only when specified in the corresponding order

16120

EndDateTimeAction

C

How to handle the remaining balance when the end time is reached. Possible values include:

  • C: Cancel
  • M: Market
  • L: Leave

Data type: char

Condition: Sent only when Tag 16119 (EndDateTime) is sent

NOTE: TT FIX Adapter sends the tags in the following section for synthetic orders with a With-A-Tick (WAT).

16121

WATType

C

Whether the WAT threshold represents a quantity or percentage of the original total order quantity. Possible values include:

  • 1: Quantity
  • 2: Percentage

Data type: int

Condition: Sent only when a WAT trigger was set in the order

16122

WATValue

C

Threshold quantity or percentage of the original total order quantity.

Data type: int

Condition: Sent only when a WAT trigger was set in the order

NOTE: TT FIX Adapter sends the tags in the following section for machine gun orders.

16123

MGNumRetries

C

Number of retry attempts.

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) = 6 (Machine Gun)

16124

MGRetryInterval

C

Number of milliseconds between each retry.

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) = 6 (Machine Gun)

NOTE: TT FIX Adapter sends one or more of the tags in the following section for triggered orders.

16125

TriggerPrice

C

Price at which to trigger an order.

Data type: Price

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is 1 (Stop) or 2 (If-Touched).

Additional Information:

Not sent for Position Report (UAP) messages that contain no order information, such as trade subscription updates and fills received while the FIX Adapter is down).

16126

TriggerPriceType

C

Price type against which trigger price is compared. Possible values include:

  • 0: LTP
  • 1: Bid
  • 2: Ask

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is one of the following:

  • 1: Stop
  • 2: If-Touched
  • 3: Trailing Stop
  • 4: Trailing If-Touched
  • 5: Trailing Limit

16128

TriggerQtyOperator

C

Operator to use to evaluate the quantity trigger. Possible values include:

  • 0: Greater Than or Equal To
  • 1: Less Than or Equal To

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is 1 (Stop) or 2 (If-Touched) and the order specifies a secondary quantity trigger.

16129

TriggerQty

C

Quantity required at the trigger price to activate an order.

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is 1 (Stop) or 2 (If-Touched) and the order specifies a secondary quantity trigger.

Additional Information:

Not sent for Position Report (UAP) messages that contain no order information, such as trade subscription updates and fills received while the FIX Adapter is down).

NOTE: TT FIX Adapter sends the tags in the following section for synthetic trailing orders.

16130

TrailingOffset

C

Number of ticks added to or subtract from the price type specified in Tag 16131 (TrailingPriceType) based on the Buy/Sell direction.

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is one of the following:

  • 3: Trailing Stop
  • 4: Trailing If-Touched
  • 5: Trailing Limit

16131

TrailingPriceType

C

Price type used to calculate the trailing price. Possible values include:

  • 0: LTP
  • 1: Bid
  • 2: Ask

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is one of the following:

  • 3: Trailing Stop
  • 4: Trailing If-Touched
  • 5: Trailing Limit

NOTE: TT FIX Adapter sends one or more of the tags in the following section for slicer orders.

16144

DisclosedQtyValue

C

Disclosed quantity or percentage of the total goal quantity visible in the market.

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is sent.

Additional Information:

Not sent for Position Report (UAP) messages that contain no order information, such as trade subscription updates and fills received while the FIX Adapter is down).

16145

DisclosedQtyVariance

C

Percentage to vary each disclosed order portion.

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is sent and the order has a non-zero variance.

16147

SlicerIntervalValue

C

Frequency to disclose each order portion, as follows:

  • For time slicers, time between each disclosed order portion based on the unit of time specified in Tag 16148 (SlicerIntervalUnit).
  • For volume slicers, number of contracts traded between each disclosed order portion.

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is one of the following:

  • 1: Time Slicer
  • 2: Time Duration
  • 3: Volume Slicer
  • 4: Volume Duration

16148

SlicerIntervalUnit

C

Unit of time represented in Tag 16147 (SlicerIntervalValue). Possible values include:

  • 1: Minutes
  • 2: Seconds
  • 3: Milliseconds

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is 1 (Time Slicer) or 2 (Time Duration).

16149

DurationType

C

Metric for determining the duration of an order. Possible values include:

  • 1: Time
  • 2: Time Interval
  • 3: Volume

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is 2 (Time Duration) or 4 (Volume Duration).

16150

DurationValue

C

Total time or volume to achieve the total goal quantity, based on the interval type specified in Tag 16149 (DurationType).

Data type: int

Condition: Sent only when Tag 16108 (SyntheticOrdMod) is 2 (Time Duration) or 4 (Volume Duration).

16151

DurationUnit

C

Unit of time represented in Tag 16150 (DurationValue). Possible values include:

  • 1: Hours
  • 2: Minutes
  • 3: Seconds

Data type: int

Condition: Sent only when Tag 16149 (DurationType) is 1 (Time).

16152

DurationBeginTime

C

Time at which to begin working the order.

Data type: UTCTimestamp

Condition: Sent only when Tag 16149 (DurationType) is 2 (Time Interval).

16153

DurationEndTime

C

Time at which to complete the order.

Data type: UTCTimestamp

Condition: Sent only when Tag 16149 (DurationType) is 2 (Time Interval).

16154

LeftActionTrigger

C

When to perform the leftover action. Possible values include:

  • 0: At End
  • 1: Half Life

Data type: int

Condition: Sent only when Tag 16107 (StagedOrderLinkID) is one of the following:

  • 1: Time Slicer
  • 2: Time Duration
  • 3: Volume Slicer
  • 4: Volume Duration

16155

LeftAction

C

How to handle the remaining balance of the resting sliced portion before disclosing the next order portion. Possible values include:

  • 0: Leave
  • 1: Merge
  • 2: Market
  • 3: Payup

Data type: int

Condition: Sent only when Tag 16154 (LeftActionTrigger) is sent

16156

LeftPayupTicks

C

Number of ticks to pay up.

Data type: int

Condition: Sent only when Tag 16155 (LeftAction) = 3 (Payup).

NOTE: TT FIX Adapter sends the following tag for synthetic market orders.

16157

MarketOrderLimit

C

Number of ticks to price an order into the market when converting market orders to limit orders.

Data type: int

Condition: Sent only when a user submits an order with the “Market Limit” parameter specified.