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X_TRADER®

Recording Synthetic Orders

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The Audit Trail records exactly how a synthetic order is configured when it is placed. It includes two messages to account for the various parameters.

  • The first message is either an OK or a REJECT and includes the order information.
  • The second message contains the order summary string in the MSG column. If the first message is a REJECT, the order summary is preceded by the reject reason.

The syntax used to identify the order parameters and several examples follow:

Order Summary Syntax

The syntax for the order summary is as follows:  

<Buy/Sell Total Quantity>, <Trigger section>, <Slicer section>, <Order Type and Price>, <Time In Force>, <Optional Start/End Time>  

Commas delineate each section. Spaces delineate fields within a section.

Price Format

Absolute prices appear as decimals, as they always have.

Example: 12345, 97.25

Relative prices appear encased in brackets with the price type and offset and include the + or minus sign.

Example: [LTP +1] , [Bid -3] , [Ask +0] , [Trigger +1]  

Abbreviations

AbbreviationTerm

LTP

Last Traded Price

Bid

Bid

Ask

Ask

MKT

Market

LIM

Limit

STOP

Stop

IT

If Touched

T_STOP

Trailing Stop

T_IT

Trailing If Touched

T_LIM

Trailing Limit

Iceberg

Iceberg

TimeSlice

TimeSlice

VolSlice

VolSlice

d

Disclosed

v

Variance

i

Interval

LEAVE

Leave As Is

MARKET

Go To Market

MERGE

Merge with New

CXL

Cancel

nothing

Today

Trigger Section

The syntax for the trigger section in the order summary is as follows:

<Modifier> <Trigger Price> <TPrice Type> Q<Qualifier (<=,>=)><TPrice Qty>

Examples: The following examples include the Price Section to help explain Market vs Limit orders.

  • Stop Market: STOP 97400 LTP Q>=1, MKT
  • Stop Limit: STOP 97400 Ask Q<=100, LIM 97500,
  • Stop Limit (as offset): STOP 97400 Ask Q<=100, LIM [Bid +2],
  • Market If Touched: IT 97400 LTP Q>=1, MKT,
  • Limit If Touched: IT 97400 LTP Q>=1, LIM 97500,
  • Trailing Stop Market: T_STOP [10] LTP, MKT,
  • Trailing Stop Limit: T_STOP [10] Ask, LIM [Bid +1],
  • Trailing Market If Touched: T_IT [10] LTP, MKT,
  • Trailing Limit If Touched: T_IT [10] Ask, LIM [Bid +1],
  • Trailing Limit: T_LIM [10] Ask,

Slicer Section

The syntax for the slicer section in the order summary is as follows:

<Slicer Type> d<Disclosed Qty> v<Variance %> i<Interval> <Leftover Action>, 

Examples

  • Iceberg: Iceberg d10, (no need to show a zero variance)
  • Time Sliced: TimeSlice d1000 v25% i5000sec LEAVE,
  • Volume Sliced: VolSlice d10 v23% i150 MARKET,

Order Type and Price Section

The syntax for the order type and price section in the order summary is as follows:

<Order Type> <Price>, 

Examples

  • MKT,
  • LIM 97500,
  • LIM [Bid +2],

Start/End Time Section

The syntax for the start/end time section in the order summary is as follows:

  • Start<Start Time> <Start Date (optional)> 
  • End<End Time> <End Date (optional)> <End Behavior> 

Time is formatted as HH:MM:SS representing 24 hour time without am or pm. Date is formatted as DDMonYY (e.g., 05Dec09) and only appears when the date is not the current date.

Examples

  • Start 10:30:00
  • End 14:45:00 CXL
  • Start 10:30:00 End 14:45:00 CXL
  • Start 10:30:00 05Dec09 End 14:45:00 05Dec09 MARKET

Full Order Summary Examples

Typical order summary examples will appear like this:

  • Sell 10000, STOP 97400 LTP Q>=1, MKT, GTD
  • Sell 10000, STOP 97400 LTP Q>=1, LIM 97500, GTD
  • Sell 10000, STOP 97400 Bid Q<=100, LIM [Ask -1], GTC
  • Sell 10000, STOP 97400 Ask Q<=100, LIM [Bid +2], GTD
  • Sell 1000, T_STOP [10] Ask, VolSlice d100 v23% i1500 MARKET, LIM [Ask -1], GTD
  • Sell 10000, T_LIM [10] LTP, TimeSlice d1000 v25% i5000 LEAVE, LIM [Bid +10], GTD
  • Sell 10000, STOP 97400 Ask Q<=100, TimeSlice d1000 v25% i5000 LEAVE, LIM [Bid +10], GTD, Start 10:30:00 05Dec09 End 14:45:00 05Dec09 MARKET

Machine Gun Order Summary Example

A typical Machine Gun order summary example appears like this: 

retry 25 times on a 100 ms interval: Sell 1000, MachineGun r25 i100ms, LIM 97500, GTD, Start 07:59:59.