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.
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]
Last Traded Price
Trailing If Touched
Leave As Is
Go To Market
Merge with New
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.
The syntax for the slicer section in the order summary is as follows:
<Slicer Type> d<Disclosed Qty> v<Variance %> i<Interval> <Leftover Action>,
Order Type and Price Section
The syntax for the order type and price section in the order summary is as follows:
<Order Type> <Price>,
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.
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  Ask, VolSlice d100 v23% i1500 MARKET, LIM [Ask -1], GTD
- Sell 10000, T_LIM  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.