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FIX Adapter Reference

Staged Orders

Overview

These examples show how TT FIX Adapter processes a staged order in the following scenarios:

Staged Order Submitted, Claimed, and Filled

This conversation shows a staged order being submitted, then claimed by an X_TRADER user who submits child orders that get filled until the staged order itself is fully filled.

First, the FIX client sends a 100 lot buy internal staged order.

Request:

8=FIX.4.2‡9=212‡35=D‡34=86‡49=REMOTE‡52=20120426-21:25:32‡56=TT_ORDER‡ 1=ps001001‡11=321868110‡38=100‡40=2‡21=3‡44=139150‡47=A‡54=1‡55=ES‡ 60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=TTSIM‡ 16106=StagedOrderMsg16111=I‡10=005‡

TT FIX Adapter sends an Execution Report (8) message confirming the order.

Response:

8=FIX.4.2‡9=00481‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=108‡52=20120426-21:25:32.070‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=321868110‡18203=TTSIM‡16106=StagedOrderMsg18208=SSE-B‡37=0SD88X005‡17=0SD88X005:0‡ 58=From Gateway: Staged Order: Buy 100, LIM 139150, GTD‡ 198=1002688‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=A16111=I‡11028=N‡150=0‡20=0‡39=0‡442=1‡44=139150‡38=100‡6=0‡ 60=20120426-21:24:30‡10=204‡

The X_TRADER user EXECTRADER claims the staged order. TT FIX Adapter sends an Execution Report (8) message confirming that EXECTRADER claimed the order.

Response:

8=FIX.4.2‡9=00502‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=109‡52=20120426-21:25:36.234‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=321868110‡18203=TTSIM‡16106=StagedOrderMsg16110=EXECTRADER‡18208=SSE-A‡37=0SD88X005‡17=0SD88X005:1‡ 58=From Gateway: Staged Order 0SD88X005 claimed by EXECTRADER‡ 198=1002688‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=O16111=I‡11028=N‡150=D‡20=0‡39=5‡442=1‡378=4‡44=139150‡38=100‡6=0‡ 60=20120426-21:25:36.234‡10=239‡

The X_TRADER user EXECTRADER submits two 50 lot child orders that get filled. Note that fill updates are sent on both the child order and the parent staged order.

TT FIX Adapter sends an Execution Report (8) message confirming the first 50 lot child order.

Response:

8=FIX.4.2‡9=00409‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=110‡52=20120426-21:25:43.577‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=EXECTRADER‡18203=TTSIM‡37=023DBV051‡17=023DBV051:0‡ 58=Created from existing‡198=1640257‡200=201206‡151=5014=0‡54=1‡40=2‡ 77=O‡59=0‡11028=Y‡150=0‡20=0‡39=0‡442=1‡44=139150‡38=50‡6=0‡ 60=20120426-21:25:43.577‡16112=116113=0SD88X00516114=7‡10=246‡

When the first child order is filled, TT FIX Adapter sends an Execution Report (8) message for the child order.

Response:

8=FIX.4.2‡9=00481‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=112‡52=20120426-21:25:45‡55=ES‡48=ES01120600000000NN‡10455=JUN12‡ 167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡10553=EXECTRADER‡ 375=SIMLIVEEXC0‡18203=TTSIM‡37=023DBV051‡17=Q41US002PFLP‡58=Fill‡ 198=1640257‡10527=2932409‡16018=m335c0‡200=201206‡32=17‡151=0‡14=50‡ 54=1‡40=2‡77=O‡59=0‡11028=Y‡150=1‡20=0‡39=1‡442=1‡44=139150‡38=50‡ 31=139150‡6=139150‡60=20120426-16:27:12.545‡6038=20120426-21:24:41.947‡ 16112=116113=0SD88X00516114=7‡10=047‡

TT FIX Adapter also sends a partial fill Execution Report (8) message for the parent staged order.

Response:

8=FIX.4.2‡9=00500‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=8‡52=20120516-19:28:25.273‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=589549387‡18203=TTSIM‡16106=StagedOrderMsg16110=EXECTRADER‡18208=SSE-A‡37=023QEH001‡17=SSE-A4fb3f455‡58=Fill‡ 198=1000342‡16018=m439c0‡200=201206‡32=50‡151=50‡14=50‡54=1‡40=2‡77=O‡ 59=0‡21=3‡16109=O‡16111=I‡11028=N‡150=1‡20=0‡39=1‡442=1‡44=139150‡ 38=100‡31=132500‡6=132500‡60=20120516-19:27:46‡ 6038=20120516-19:26:30.899‡10=119

TT FIX Adapter sends an Execution Report (8) message confirming the second 50 lot child order.

Response:

8=FIX.4.2‡9=00409‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=119‡52=20120426-21:25:52.485‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=EXECTRADER‡18203=TTSIM‡37=023DBV052‡17=023DBV052:0‡ 58=Created from existing‡198=1640313‡200=201206‡151=50‡14=0‡54=1‡40=2‡ 77=O‡59=0‡11028=Y‡150=0‡20=0‡39=0‡442=1‡44=139150‡38=50‡6=0‡ 60=20120426-21:25:52.485‡16112=116113=0SD88X00516114=7‡10=246‡

When the first child order is filled, TT FIX Adapter sends an Execution Report (8) message for the child order.

Response:

8=FIX.4.2‡9=00485‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=120‡52=20120426-21:25:52.485‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=EXECTRADER‡375=SIMLIVEEXC0‡18203=TTSIM‡37=023DBV052‡ 17=Q41US002PFLV‡58=Fill‡198=1640313‡10527=2932415‡ 16018=m335c0‡200=201206‡32=27‡151=23‡14=27‡54=1‡40=2‡77=O‡59=0‡11028=Y‡ 150=1‡20=0‡39=1‡442=1‡44=139150‡38=50‡31=139150‡6=139150‡ 60=20120426-16:27:20.045‡6038=20120426-21:24:50.851‡16112=116113=0SD88X00516114=7‡10=241‡

Finally, TT FIX Adapter sends the parent staged order fill.

Response:

8=FIX.4.2‡9=00508‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=122‡52=20120426-21:25:52.505‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=321868110‡18203=TTSIM‡16106=StagedOrderMsg16110=EXECTRADER‡18208=SSE-A‡37=0SD88X005‡17=SSE-B4f9245d9‡58=Fill‡ 198=1002688‡16018=m32800‡200=201206‡32=100‡151=0‡14=100‡54=1‡40=2‡77=O‡ 59=0‡21=316109=O16111=I‡11028=N‡150=2‡20=0‡39=2‡442=1‡44=139150‡ 38=100‡31=139150‡6=139150‡60=20120426-21:24:50‡ 6038=20120426-21:24:34.600‡10=097‡

Staged Order Submitted, Claimed, and then Unclaimed

This conversation shows a staged order being submitted, claimed by an X_TRADER user, and then unclaimed by the X_TRADER user.

First, the FIX client sends a 100 lot buy staged order.

Request:

8=FIX.4.2‡9=212‡35=D‡34=107‡49=REMOTE‡52=20120426-21:45:04‡ 56=TT_ORDER‡1=ps001001‡11=44678303‡38=100‡40=2‡21=3‡44=139150‡47=A‡ 54=1‡55=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=TTSIM‡ 16106=StagedOrderMsg16111=I‡10=005‡

TT FIX Adapter sends an Execution Report (8) confirming the order.

Response:

8=FIX.4.2‡9=00480‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=147‡52=20120426-21:45:04.527‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=44678303‡18203=TTSIM‡16106=StagedOrderMsg‡18208=SSE-B‡37=0SD88X007‡17=0SD88X007:0‡ 58=From Gateway: Staged Order: Buy 100, LIM 139150, GTD‡198=1002692‡ 200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=A16111=I‡ 11028=N‡150=0‡20=0‡39=0‡442=1‡44=139150‡38=100‡6=0‡ 60=20120426-21:44:02‡10=171‡

The X_TRADER user EXECTRADER claims the staged order. TT FIX Adapter sends an Execution Report (8) message confirming that EXECTRADER claimed the order.

Response:

8=FIX.4.2‡9=00501‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=148‡52=20120426-21:45:13.016‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=44678303‡18203=TTSIM‡16106=StagedOrderMsg16110=EXECTRADER‡18208=SSE-B‡37=0SD88X007‡17=0SD88X007:1‡ 58=From Gateway: Staged Order 0SD88X007 claimed by EXECTRADER‡ 198=1002692‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=O16111=I‡11028=N‡150=D‡20=0‡39=5‡442=1‡378=4‡44=139150‡38=100‡6=0‡ 60=20120426-21:45:13.015‡10=188‡

X_TRADER user EXECTRADER unclaims the staged order. TT FIX Adapter sends an Execution Report (8) message confirming that the order is released. The staged order is now available again to be claimed.

Response:

8=FIX.4.2‡9=00491‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=150‡52=20120426-21:46:24.644‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=44678303‡18203=TTSIM‡16106=StagedOrderMsg‡ 18208=SSE-B‡37=0SD88X007‡17=0SD88X007:2‡ 58=From Gateway: Staged Order 0SD88X007 released by EXECTRADER‡ 198=1002692‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=A16111=I‡11028=N‡150=D‡20=0‡39=5‡442=1‡378=4‡44=139150‡38=100‡6=0‡ 60=20120426-21:46:24.644‡10=199‡

Staged Order Submitted and then Deleted

This conversation shows a staged order being submitted and then deleted.

First, the FIX client sends a 100 lot buy staged order.

Request:

8=FIX.4.2‡9=212‡35=D‡34=87‡49=REMOTE‡52=20120426-21:26:22‡ 56=TT_ORDER‡1=ps001001‡11=225643513‡38=100‡40=2‡21=3‡44=139150‡47=A‡ 54=1‡55=ES‡60=20051205-09:11:59‡200=201206‡167=FUT‡204=0‡207=TTSIM‡ 16106=StagedOrderMsg16111=I‡10=007‡

TT FIX Adapter sends an Execution Report (8) message confirming the order.

Response:

8=FIX.4.2‡9=00481‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=123‡52=20120426-21:26:22.480‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=225643513‡18203=TTSIM‡16106=StagedOrderMsg‡ 18208=SSE-B‡37=0SD88X006‡17=0SD88X006:0‡58=From Gateway: Staged Order: Buy 100, LIM 139150, GTD‡198=1002691‡200=201206‡151=100‡14=0‡54=1‡ 40=2‡77=O‡59=0‡21=316109=A16111=I‡11028=N‡150=0‡20=0‡39=0‡442=1‡ 44=139150‡38=100‡6=0‡60=20120426-21:25:20‡10=203‡

The FIX client sends an Order Cancel Request (F).

Request:

8=FIX.4.2‡9=112‡35=F‡34=88‡49=REMOTE‡52=20120426-21:26:56‡56=TT_ORDER‡ 1=ps001001‡37=0SD88X006‡60=20051205-09:15:50‡11=562767830‡10=160‡

TT FIX Adapter sends a Pending Cancel (39=6) Execution Report (8) followed by a Cancel (39=4) Execution Report (8) when the cancel is confirmed.

Response:

8=FIX.4.2‡9=00438‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=124‡52=20120426-21:26:56.169‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=562767830‡18203=TTSIM‡16106=StagedOrderMsg‡18208=SSE-B‡41=225643513‡37=0SD88X006‡17=0SD88X006:1‡ 198=1002691‡200=201206‡151=100‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=A16111=I‡11028=N‡150=6‡20=0‡39=6‡442=1‡44=139150‡38=100‡6=0‡ 60=20120426-21:25:20‡10=127‡

Response:

8=FIX.4.2‡9=00440‡35=8‡49=TT_ORDER‡56=REMOTE‡50=TTORDPS001001‡57=NONE‡ 34=125‡52=20120426-21:26:56.215‡55=ES‡48=ES01120600000000NN‡ 10455=JUN12‡167=FUT‡207=TTSIM‡15=USD‡1=ps001001‡47=A‡204=0‡ 10553=REMOTE‡11=562767830‡18203=TTSIM‡16106=StagedOrderMsg‡ 18208=SSE-B‡41=225643513‡37=0SD88X006‡17=0SD88X006:2‡198=1002691‡ 200=201206‡151=0‡14=0‡54=1‡40=2‡77=O‡59=0‡21=316109=A16111=I‡11028=N‡ 150=4‡20=0‡39=4‡442=1‡44=139150‡38=100‡6=0‡60=20120426-21:26:56.215‡ 10=221‡