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FIX Adapter Reference

Synthetic Orders

Overview

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

Unless otherwise noted, all message conversations assume the FACT configuration enables all of the following settings:

  • Send Unsolicited Orders
  • Send Synthetic Orders
  • Send Synthetic Fills
  • Send Synthetic Order Properties

Timed Order

This conversation shows the messages generated for a limit order with a start time submitted through X_TRADER.

In this example, a trader submits an order to buy 1 CME 6E Dec13 contract at a specified time in the future, as shown.

When Synthetic SE acknowledges the synthetic order, TT FIX Adapter sends an Execution Report (8) message indicating that the timed order is being initialized, as indicated by the combination of Tag 39 (OrdStatus) = 0 (New) and Tag 16101 (SyntheticOrdStatus) = I (Initializing). You can tell the order is synthetic, as Tag 21 (HandlInst) = 1 (Automated execution order, private, no Broker intervention).

Response:

8=FIX.4.2‡9=430‡35=8‡34=48‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:57:13.097‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD ‡17=0S1D4C011:0‡20=0‡21=1‡37=0S1D4C011‡38=1‡39=0‡40=2‡44=13832‡47=A‡ 48=00A0LN006EZ‡54=1‡55=6E‡ 58=Buy 1, LIM 13832, GTD, Start 13:59:00‡ 59=0‡60=20131028-18:57:12‡77=O‡150=0‡151=1‡167=FUT‡198=1000430‡ 200=201312‡204=0‡207=CME‡442=1‡10455=6EZ3‡10553=MHEAVIN‡11028=Y‡16101=I 16118=20131028-18:59:00‡18203=CME‡18208=SSE-FF‡10=067

TT FIX Adapter also sends an Execution Report (8) message for the position reserve order, as indicated byTag 39 (OrdStatus) = 9 (Suspended), Tag 16114 (LinkType) = 6 (Synthetic Child Position Reserve), and Tag 16113 (LinkID) = 0S1S4C011 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=393‡35=8‡34=47‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:57:13.096‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1D4C012:0‡20=0‡37=0S1D4C012‡38=1‡39=9‡40=2‡44=0‡47=A‡4 8=00A0LN006EZ‡54=1‡55=6E‡58=Created from existing‡59=1‡ 60=20131028-18:57:13.096‡77=O‡150=0‡151=1‡167=FUT‡198=4Y8R‡200=201312‡ 204=0‡207=CME‡442=1‡10455=6EZ3‡10553=MHEAVIN‡11028=N‡18203=CME‡16112=116113=0S1D4C01116114=6‡10=057

The next Execution Report (8) message shows that the synthetic order has transitioned to Waiting state, as indicated by the combination of Tag 39 (OrdStatus) = 5 (Replaced) and Tag 16101 (SyntheticOrdStatus) = N (Waiting). Tag 16118 (StartDateTime) contains the time that indicates when Synthetic SE will start working the order.

Response:

8=FIX.4.2‡9=395‡35=8‡34=49‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:57:13.099‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1D4C011:1‡20=0‡21=1‡37=0S1D4C011‡38=1‡39=5‡40=2‡44=13832‡47=A‡ 48=00A0LN006EZ‡54=1‡55=6E‡59=0‡60=20131028-18:57:12‡77=O‡150=D‡151=1‡ 167=FUT‡198=1000430‡200=201312‡204=0‡207=CME‡378=4‡442=1‡10455=6EZ3‡ 10553=MHEAVIN‡11028=Y‡16101=N16118=20131028-18:59:00‡18203=CME‡ 18208=SSE-FF‡10=189

When the start time is reached, TT FIX Adapter sends an Execution Report (8) message indicating that Synthetic SE deleted the position reserve order, as indicated by Tag 39 (OrdStatus) = 4 (Canceled).

Response:

8=FIX.4.2‡9=368‡35=8‡34=53‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:59:01.175‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1D4C012:1‡20=0‡37=0S1D4C012‡38=1‡39=4‡40=2‡44=0‡47=A‡ 48=00A0LN006EZ‡54=1‡55=6E‡59=1‡60=20131028-18:59:01.175‡77=O‡150=4‡ 151=0‡167=FUT‡198=4Y8R‡200=201312‡204=0‡207=CME‡442=1‡10455=6EZ3‡ 10553=MHEAVIN‡11028=N‡18203=CME‡16112=116113=0S1D4C01116114=6‡10=111

After Synthetic SE submits the child order, TT FIX Adapter sends an Execution Report (8) message for the new native child order, as indicated by Tag 39 (OrdStatus) = 0 (New), Tag 16114 (LinkType) = 5 (Synthetic Child), and Tag 16113 (LinkID) = 0S1S4C011 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=410‡35=8‡34=54‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:59:01.175‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1D6G055:0‡20=0‡37=0S1D6G055‡38=1‡39=0‡40=2‡44=13832‡47=A‡ 48=00A0LN006EZ‡54=1‡55=6E‡58=Created from existing‡59=0‡ 60=20131028-18:59:00.929‡77=O‡150=0‡151=1‡167=FUT‡198=4Y9S‡200=201312‡ 204=0‡207=CME‡442=1‡10455=6EZ3‡10553=MHEAVIN‡11028=N‡18203=CME‡ 18216=P15000‡16112=116113=0S1D4C01116114=5‡10=149

TT FIX Adapter also sends an Execution Report (8) message that shows the synthetic parent order is also working, as indicated by the combination of Tag 39 (OrdStatus) = 5 (Replaced) and Tag 16101 (SyntheticOrdStatus) = W (Working).

Response:

8=FIX.4.2‡9=395‡35=8‡34=55‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:59:01.190‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1D4C011:2‡20=0‡21=1‡37=0S1D4C011‡38=1‡39=5‡40=2‡44=13832‡47=A‡ 48=00A0LN006EZ‡54=1‡55=6E‡59=0‡60=20131028-18:57:12‡77=O‡150=D‡151=1‡ 167=FUT‡198=1000430‡200=201312‡204=0‡207=CME‡378=4‡442=1‡10455=6EZ3‡ 10553=MHEAVIN‡11028=Y‡16101=W‡16118=20131028-18:59:00‡18203=CME‡ 18208=SSE-FF‡10=187

When the child order gets filled, TT FIX Adapter sends an Execution Report (8) message with Tag 39 (OrdStatus) = 2 (Filled).

Response:

8=FIX.4.2‡9=505‡35=8‡34=56‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:59:01.340‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=13831‡14=1‡ 15=USD‡17=poop4ktmkady‡20=0‡31=13831‡32=1‡37=0S1D6G055‡38=1‡39=2‡40=2‡ 44=13832‡47=A‡48=00A0LN006EZ‡54=1‡55=6E‡58=Fill‡59=0‡ 60=20131028-18:59:00.929‡75=20131028‡77=O‡150=2‡151=0‡167=FUT‡198=4Y9S‡ 200=201312‡204=0‡207=CME‡375=CME000A‡442=1‡6038=20131028-18:59:00.873‡ 10455=6EZ3‡10527=62328:M:29082TN0002762‡10553=MHEAVIN‡11028=N‡ 16018=mvcic0‡18203=CME‡18216=P15000‡16112=1‡16113=0S1D4C011‡16114=5‡ 10=079

When all of the child orders (one in this example) are filled, TT FIX Adapter sends an Execution Report (8) message for the fill of the synthetic parent order, as indicated by the combination of Tag 39 (OrdStatus) = 2 (Filled) and Tag 16101 (SyntheticOrdStatus) = F (Filled).

Response:

8=FIX.4.2‡9=475‡35=8‡34=57‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131028-18:59:01.406‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=13831‡14=1‡ 15=USD‡17=SSE-FF526e8ae1‡20=0‡21=1‡31=13831‡32=1‡37=0S1D4C011‡38=1‡ 39=2‡40=2‡44=13832‡47=A‡48=00A0LN006EZ‡54=1‡55=6E‡58=Fill‡59=0‡ 60=20131028-18:59:01‡77=O‡150=2‡151=0‡167=FUT‡198=1000430‡200=201312‡ 204=0‡207=CME‡442=1‡6038=20131028-18:57:12.840‡10455=6EZ3‡ 10527=1382976225‡10553=MHEAVIN‡11028=Y‡16018=mvcqo0‡16101=F‡16118=20131028-18:59:00‡18203=CME‡18208=SSE-FF‡10=131

Ask-Based Stop Order

This conversation shows the messages generated for a stop order submitted through X_TRADER.

In this example, a trader submits a stop order to sell 1 CME ES Dec13 contract one tick below the trigger price when the ask price hits 176325, as shown. Note that stop orders are natively supported by CME, so would not normally be sent to Synthetic SE. However, in this case, this example specifies a relative price for the stop order, which CME does not support natively.

When Synthetic SE acknowledges the synthetic order, TT FIX Adapter sends an Execution Report (8) message indicating that the synthetic order is being initialized, as indicated by the combination of Tag 39 (OrdStatus) = 0 (New) and Tag 16101 (SyntheticOrdStatus) = I (Initializing). You can tell the order is synthetic, as Tag 21 (HandlInst) = 1 (Automated execution order, private, no Broker intervention). The following tags in this message describe the synthetic order:

  • Tag 16108 (SyntheticOrdMod)=1 shows it is a stop order.
  • Tag 16116 (RelativePriceType)=1 and Tag 16117 (RelativePriceOffset)=-1 indicates the price is one tick below the trigger price.
  • Tag 16125 (TriggerPrice)=176275 and Tag 16126 (TriggerPriceType)=1 indicates the stop order is triggered when the ask price hits 176275.

Response:

8=FIX.4.2‡9=470‡35=8‡34=1820‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131031-14:52:56.777‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1EQF022:0‡20=0‡21=1‡37=0S1EQF022‡38=1‡39=0‡40=4‡47=A‡ 48=00A0LN00ESZ‡54=2‡55=ES‡ 58=Sell 1, STOP 176275 Ask Q>=20, LIM [Trigger -1], GTD‡ 59=0‡60=20131031-14:52:56‡77=O‡99=176275‡150=0‡151=1‡167=FUT‡1 98=1000582‡200=201312‡204=0‡207=CME‡442=1‡10455=ESZ3‡10553=MHEAVIN‡ 11028=Y‡16101=I16108=116116=216117=-116125=17627516126=2‡ 18203=CME‡18208=SSE-FF‡10=008

TT FIX Adapter also sends an Execution Report (8) message for the position reserve order, as indicated by Tag 39 (OrdStatus) = 9 (Suspended), Tag 16114 (LinkType) = 6 (Synthetic Child Position Reserve), and Tag 16113 (LinkID) = 0S1EQF022 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=395‡35=8‡34=1819‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡ 52=20131031-14:52:56.734‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡ 17=0S1EQF023:0‡20=0‡37=0S1EQF023‡38=1‡39=9‡40=2‡44=0‡47=A‡ 48=00A0LN00ESZ‡54=2‡55=ES‡58=Created from existing‡59=1‡ 60=20131031-14:52:56.734‡77=O‡150=0‡151=1‡167=FUT‡198=587L‡200=201312‡ 204=0‡207=CME‡442=1‡10455=ESZ3‡10553=MHEAVIN‡11028=N‡18203=CME‡16112=1 ‡16114=6‡10=043

Next, TT FIX Adapter sends an Execution Report (8) message indicating that synthetic order is waiting to be triggered, as indicated by Tag 39 (OrdStatus) = 5 (Replaced) and Tag 16101 (SyntheticOrdStatus) = T (Pending Trigger).

Response:

8=FIX.4.2‡9=420‡35=8‡34=1821‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-14:52:56.778‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1EQF022:1‡20=0‡21=1‡37=0S1EQF022‡38=1‡39=5‡40=4‡47=A‡

48=00A0LN00ESZ‡54=2‡55=ES‡59=0‡60=20131031-14:52:56‡77=O‡99=176275‡

150=D‡151=1‡167=FUT‡198=1000582‡200=201312‡204=0‡207=CME‡378=4‡442=1‡

10455=ESZ3‡10553=MHEAVIN‡11028=Y‡16101=T‡16108=1‡16116=2‡

16117=-1‡16125=176275‡16126=2‡18203=CME‡18208=SSE-FF‡10=180

When the synthetic stop is triggered, TT FIX Adapter sends an Execution Report (8) message indicating that Synthetic SE deleted the position reserve order, as indicated by Tag 39 (OrdStatus) = 4 (Canceled).

Response:

8=FIX.4.2‡9=370‡35=8‡34=1865‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-15:11:42.994‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1EQF023:1‡20=0‡37=0S1EQF023‡38=1‡39=4‡40=2‡44=0‡47=A‡

48=00A0LN00ESZ‡54=2‡55=ES‡59=1‡60=20131031-15:11:42.994‡77=O‡150=4‡

151=0‡167=FUT‡198=587L‡200=201312‡204=0‡207=CME‡442=1‡10455=ESZ3‡

10553=MHEAVIN‡11028=N‡18203=CME‡16112=1‡16113=0S1EQF022‡16114=6‡10=096

After Synthetic SE submits the child order, TT FIX Adapter sends an Execution Report (8) message for the new native child order, with Tag 39 (OrdStatus) = 0 (New), Tag 16114 (LinkType) = 5 (Synthetic Child), and Tag 16113 (LinkID) = 0S1EQF022 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=413‡35=8‡34=1866‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-15:11:42.994‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1EKV016:0‡20=0‡37=0S1EKV016‡38=1‡39=0‡40=2‡44=176250‡47=A‡

48=00A0LN00ESZ‡54=2‡55=ES‡58=Created from existing‡59=0‡

60=20131031-15:11:42.620‡77=O‡150=0‡151=1‡167=FUT‡198=589O‡

200=201312‡204=0‡207=CME‡442=1‡10455=ESZ3‡10553=MHEAVIN‡11028=N‡

18203=CME‡18216=P15000‡16112=1‡16113=0S1EQF02216114=5‡10=177

TT FIX Adapter also sends an Execution Report (8) message that shows the synthetic parent order is also working, as indicated by the combination of Tag 39 (OrdStatus) = 5 (Replaced) and Tag 16101 (SyntheticOrdStatus) = W (Working).

Response:

8=FIX.4.2‡9=413‡35=8‡34=1867‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-15:11:43.033‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1EQF022:2‡20=0‡21=1‡37=0S1EQF022‡38=1‡39=5‡40=2‡44=176250‡47=A‡

48=00A0LN00ESZ‡54=2‡55=ES‡59=0‡60=20131031-14:52:56‡77=O‡99=176275‡

150=D‡151=1‡167=FUT‡198=1000582‡200=201312‡204=0‡207=CME‡378=4‡442=1‡

10455=ESZ3‡10553=MHEAVIN‡11028=Y‡16101=W‡16108=1‡16125=176275‡16126=2‡

18203=CME‡18208=SSE-FF‡10=124

When the child order gets filled, TT FIX Adapter sends an Execution Report (8) message with Tag 39 (OrdStatus) = 2 (Filled).

Response:

8=FIX.4.2‡9=511‡35=8‡34=1873‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-15:14:40.016‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=176250‡14=1‡

15=USD‡17=elk8ectx0esz‡20=0‡31=176250‡32=1‡37=0S1EKV016‡38=1‡39=2‡40=2‡

44=176250‡47=A‡48=00A0LN00ESZ‡54=2‡55=ES‡58=Fill‡59=0‡

60=20131031-15:14:39.638‡75=20131031‡77=O‡150=2‡151=0‡167=FUT‡

198=589O‡200=201312‡204=0‡207=CME‡375=CME000A‡442=1‡

6038=20131031-15:11:42.566‡10455=ESZ3‡10527=64331:M:271969TN0025032‡

10553=MHEAVIN‡11028=N‡16018=mvi2c0‡18203=CME‡18216=P15000‡16112=1‡

16113=0S1EQF022‡16114=5‡10=099

When all of the child orders (one in this example) are filled, TT FIX Adapter sends an Execution Report (8) message for the fill of the synthetic parent order with Tag 39 (OrdStatus) = 2 (Filled) and Tag 16101 (SyntheticOrdStatus) = F (Filled).

Response:

8=FIX.4.2‡9=485‡35=8‡34=1875‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131031-15:14:40.042‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=176250‡14=1‡

15=USD‡17=SSE-FF527160cc‡20=0‡21=1‡31=176250‡32=1‡37=0S1EQF022‡

38=1‡39=2‡40=2‡44=176250‡47=A‡48=00A0LN00ESZ‡54=2‡55=ES‡58=Fill‡59=0‡

60=20131031-15:14:39‡77=O‡150=2‡151=0‡167=FUT‡198=1000582‡200=201312‡

204=0‡207=CME‡442=1‡6038=20131031-14:52:56.283‡10455=ESZ3‡

10527=1383162060‡10553=MHEAVIN‡11028=Y‡16018=mviao0‡16101=F‡16108=1‡

16125=176275‡16126=2‡18203=CME‡18208=SSE-FF‡10=079

Time Sliced Order

This conversation shows the order acknowledgment and subsequent fill updates for a time sliced order submitted through X_TRADER:

First, the trader submits a time sliced order for 3 CME 6E Dec13 contracts that submits 1 contract every 5 seconds.

When Synthetic SE acknowledges the synthetic order, TT FIX Adapter sends Execution Report (8) message indicating that the synthetic order is being initialized, as indicated by the combination of Tag 39 (OrdStatus) = 0 (New) and Tag 16101 (SyntheticOrdStatus) = I (Initializing). You can tell the order is synthetic, as Tag 21 (HandlInst) = 1 (Automated execution order, private, no Broker intervention). The following tags in this message describe the synthetic order:

  • Tag 16107 (StagedOrderLinkID)=1 indicates the synthetic order is a time slicer order.
  • Tag 16144 (DisclosedQtyValue)=1 shows that 1 contract is disclosed with each order.
  • Tag 16147 (SlicerIntervalValue)=5 and Tag 16148 (SlicerIntervalUnit)=2 indicate that a new sliced order is submitted every 5 seconds..
  • Tag 16154 (LeftActionTrigger)=0 and Tag 16155 (LeftAction)=2 shows that at the end of each slice, remaining order in the slice will be converted to market orders.

Response:

8=FIX.4.2‡9=480‡35=8‡34=83‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131029-15:02:34.552‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1DLX013:0‡20=0‡21=1‡37=0S1DLX013‡38=3‡39=0‡40=2‡44=13791‡47=A‡

48=00A0LN006EZ‡54=2‡55=6E‡

58=Sell 3, TimeSlice dq1 i5Sec MARKET AtTime, LIM 13791, GTD‡

59=0‡60=20131029-15:02:34‡77=O‡150=0‡151=3‡167=FUT‡198=1000456‡

200=201312‡204=0‡207=CME‡210=1‡442=1‡10455=6EZ3‡10553=MHEAVIN‡

11028=Y‡16101=I16107=116144=116147=516148=216154=016155=2

18203=CME‡18208=SSE-FF‡10=251

TT FIX Adapter also sends an Execution Report (8) message for the position reserve order, as indicated by Tag 39 (OrdStatus) = 9 (Suspended), Tag 16114 (LinkType) = 6 (Synthetic Child Position Reserve), and Tag 16113 (LinkID) = 0S1DLX013 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=393‡35=8‡34=82‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131029-15:02:34.546‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD

‡17=0S1DLX014:0‡20=0‡37=0S1DLX014‡38=3‡39=9‡40=2‡44=0‡47=A‡

48=00A0LN006EZ‡54=2‡55=6E‡58=Created from existing‡59=1‡

60=20131029-15:02:34.546‡77=O‡150=0‡151=3‡167=FUT‡198=53W9‡200=201312‡

204=0‡207=CME‡442=1‡10455=6EZ3‡10553=MHEAVIN‡11028=N‡18203=CME‡16112=1‡

16113=0S1DLX01316114=6‡10=153

Before submitting the first child order, Synthetic SE reduces the position reserve quantity. TT FIX Adapter sends an Execution Report (8) message showing the reduction of the quantity of the position reserve order, as indicated by Tag 151 (LeavesQty)=2

Response:

8=FIX.4.2‡9=374‡35=8‡34=84‡49=TT_ORDER‡50=TTORDTTCHIMHEAVIN‡

52=20131029-15:02:34.670‡56=MHEAVIN‡57=NONE‡1=MHEAVIN‡6=0‡14=0‡15=USD‡

17=0S1DLX014:1‡20=0‡37=0S1DLX014‡38=2‡39=9‡40=2‡44=0‡47=A‡

48=00A0LN006EZ‡54=2‡55=6E‡59=1‡60=20131029-15:02:34.670‡77=O‡150=D‡

151=2‡167=FUT‡198=53W9‡200=201312‡204=0‡207=CME‡378=4‡442=1‡10455=6EZ3‡

10553=MHEAVIN‡11028=N‡18203=CME‡16112=1‡16113=0S1DLX013‡16114=6‡10=251

After Synthetic SE submits the child order, TT FIX Adapter sends an Execution Report (8) message for the new native child order with Tag 39 (OrdStatus) = 0 (New), Tag 16114 (LinkType) = 5 (Synthetic Child), and Tag 16113 (LinkID) = 0S1DLX013 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2|9=410|35=8|34=85|49=TT_ORDER|50=TTORDTTCHIMHEAVIN|52=20131029-15:02:34.670|56=MHEAVIN|57=NONE|1=MHEAVIN|6=0|14=0|15=USD|17=0S1D6G083:0|20=0|37=0S1D6G083|38=1|39=0|40=2|44=13791|47=A|48=00A0LN006EZ|54=2|55=6E|58=Created from existing|59=0|60=20131029-15:02:34.360|77=O|150=0|151=1|167=FUT|198=53WA|200=201312|204=0|207=CME|442=1|10455=6EZ3|10553=MHEAVIN|11028=N|18203=CME|18216=P15000|16112=1|16113=0S1DLX013|16114=5|10=156

TT FIX Adapter also sends an Execution Report (8) message that shows the synthetic parent order is working, as indicated by the combination of Tag 39 (OrdStatus) = 5 (Replaced) and Tag 16101 (SyntheticOrdStatus) = W (Working).

Response:

8=FIX.4.2|9=425|35=8|34=86|49=TT_ORDER|50=TTORDTTCHIMHEAVIN|52=20131029-15:02:34.670|56=MHEAVIN|57=NONE|1=MHEAVIN|6=0|14=0|15=USD|17=0S1DLX013:1|20=0|21=1|37=0S1DLX013|38=3|39=5|40=2|44=13791|47=A|48=00A0LN006EZ|54=2|55=6E|59=0|60=20131029-15:02:34|77=O|150=D|151=3|167=FUT|198=1000456|200=201312|204=0|207=CME|210=1|378=4|442=1|10455=6EZ3|10553=MHEAVIN|11028=Y|16101=W|16107=1|16144=1|16147=5|16148=2|16154=0|16155=2|18203=CME|18208=SSE-FF|10=028

In this example, the order was still working in the market when the next time slice was ready to start. Therefore, as specified in the order, Synthetic SE converted the working order to a market order. TT FIX Adapter sends an Execution Report (8) message with Tag 39 (OrdStatus) = 5 (Replaced) Tag 150 (ExecType) = 5 (Restated) to indicate the order was changed. Note that for some markets, changing an order from a limit order to a market order results in a cancel order and a new order instead of a restated one.

Response:

8=FIX.4.2‡9=00391‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡

57=NONE‡34=89‡52=20131029-15:02:39.805‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡

167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡18203=CME‡

18216=P15000‡198=53WD‡37=0S1D6G083‡17=0S1D6G083:1‡200=201312‡151=1‡

14=0‡54=2‡40=2‡77=O‡59=0‡11028=N‡150=D‡20=0‡39=5‡442=1‡378=4‡44=13730‡

38=1‡6=0‡60=20131029-15:02:39.371‡16112=1‡16113=0S1DLX013‡16114=5‡

10=124

When the initial child order was converted to a market order, per the synthetic order instructions, it was immediately filled. TT FIX Adapter sends an Execution Report (8) message with Tag 39 (OrdStatus) = 2 (Filled).

Response:

8=FIX.4.2‡9=00506‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡

57=NONE‡34=90‡52=20131029-15:02:39.805‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡

167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡375=CME000A‡

18203=CME‡18216=P15000‡198=53WD‡37=0S1D6G083‡17=196izj0x9ry5t‡58=Fill‡

10527=62328:M:59345TN0001857‡16018=mved00‡200=201312‡32=1‡151=0‡14=1‡

75=20131029‡54=2‡40=2‡77=O‡59=0‡11028=N‡150=2‡20=0‡39=2‡442=1‡

44=13730‡38=1‡31=13790‡6=13790‡60=20131029-15:02:39.371‡

6038=20131029-15:02:39.318‡16112=1‡16113=0S1DLX013‡16114=5‡10=013

With the first native child order filled, TT FIX Adapter sends an Execution Report (8) message with Tag 39 (OrdStatus) = 1 (Partially Filled) for the parent synthetic order.

Response:

8=FIX.4.2‡9=00505‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡

57=NONE‡34=91‡52=20131029-15:02:39.835‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡

167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡

18208=SSE-FF‡18203=CME‡198=1000456‡37=0S1DLX013‡17=SSE-FF526e8af4‡

58=Fill‡10527=1382976244‡16018=mvelc0‡200=201312‡16107=1‡16144=1‡

16147=5‡16148=2‡16154=0‡16155=2‡32=1‡151=2‡14=1‡16101=W‡54=2‡40=2‡77=O‡

59=0‡21=1‡11028=Y‡150=1‡20=0‡39=1‡442=1‡44=13791‡38=3‡210=1‡31=13790‡

6=13790‡60=20131029-15:02:39‡6038=20131029-15:02:34.253‡10=032

When time arrives to submit the next child order, TT FIX Adapter sends an Execution Report (8) message that shows the reduced quantity for the position reserve order (Tag 151 (LeavesQty)=1).

Response:

8=FIX.4.2‡9=00374‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡

57=NONE‡34=87‡52=20131029-15:02:39.601‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡

167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡18203=CME‡

198=53W9‡37=0S1DLX014‡17=0S1DLX014:2‡200=201312‡151=1‡14=0‡54=2‡40=2‡

77=O‡59=1‡11028=N‡150=D‡20=0‡39=9‡442=1‡378=4‡44=0‡38=1‡6=0‡

60=20131029-15:02:39.601‡16112=1‡16113=0S1DLX013‡16114=6‡10=091

When Synthetic SE sends the next order in the new time slice, TT FIX Adapter sends an Execution Report (8) for the new native child order with Tag 39 (OrdStatus) = 0 (New), Tag 16114 (LinkType) = 5 (Synthetic Child), and Tag 16113 (LinkID) = 0S1DLX013 (the value of Tag 37 (OrderID) for the synthetic parent order).

Response:

8=FIX.4.2‡9=00410‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡57=NONE‡34=88‡52=20131029-15:02:39.633‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡18203=CME‡18216=P15000‡198=53WC‡37=0S1D6G084‡17=0S1D6G084:0‡58=Created from existing‡200=201312‡151=1‡14=0‡54=2‡40=2‡77=O‡59=0‡11028=N‡150=0‡20=0‡39=0‡442=1‡44=13791‡38=1‡6=0‡60=20131029-15:02:39.368‡16112=1‡16113=0S1DLX013‡16114=5‡10=020

This process repeats itself until Synthetic SE processes all of the time slices defined in the parent synthetic order.

When all of the child orders (three in this example) are filled, TT FIX Adapter sends an Execution Report (8) message for the fill of the synthetic parent order, as indicated by the combination of Tag 39 (OrdStatus) = 2 (Filled) and Tag 16101 (SyntheticOrdStatus) = F (Filled).

Response:

8=FIX.4.2‡9=00505‡35=8‡49=TT_ORDER‡56=MHEAVIN‡50=TTORDTTCHIMHEAVIN‡

57=NONE‡34=99‡52=20131029-15:02:49.823‡55=6E‡48=00A0LN006EZ‡10455=6EZ3‡

167=FUT‡207=CME‡15=USD‡1=MHEAVIN‡47=A‡204=0‡10553=MHEAVIN‡

18208=SSE-FF‡18203=CME‡198=1000456‡37=0S1DLX013‡17=SSE-FF526e8af6‡

58=Fill‡10527=1382976246‡16018=mvelc0‡200=201312‡16107=1‡16144=1‡

16147=5‡16148=2‡16154=0‡16155=2‡32=1‡151=0‡14=3‡16101=F‡54=2‡40=2‡77=O‡

59=0‡21=1‡11028=Y‡150=2‡20=0‡39=2‡442=1‡44=13791‡38=3‡210=1‡31=13790‡

6=13790‡60=20131029-15:02:49‡6038=20131029-15:02:34.253‡10=028