On Market Mode Activation Orders will be held (i.e. suspended) in the T4 FIX API server until the specific market mode event (as entered with the Activation Value - Tag 10103) occurs. At this activation point, the order is released to the exchange.
An Activation Order is entered with the
New Order Single (Tag 35=D) message. Following are the most relevant tags to build an On Market Mode Activation Order.
| Tag 10102=4 | Activation Type | Specifier of Activation Order - On Market Mode |
|---|
| Tag 10103 | Activation Value | Market Mode Event to activate the order |
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| Tag 48 | SecurityID | Market for which the order is sent |
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| Tag 55 | Symbol | Contract for which the order is sent |
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| Tag 207 | SecurityExchange | Exchange for which the order is sent |
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| Tag 167 | SecurityType | Security Type (e.g. Futures) of this specific market |
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The format of the ActivationValue (Tag 10103) is: "Market Mode;Cancel Time"
| Mode | Required. The market mode to activate the order on. |
|---|
| Cancel Time | Optional. The time to cancel the order if the order is still working or not yet activated. The time can be specified as either a full date time in the format "dd MMM yyyy HH:mm:ss" or as a number of seconds from now. |
|---|
Examples of ActivationValue:
- "Open" - activates when the market opens.
- "PreOpen" - activates when the market goes pre-open.
- "Open;05 Jul 2012 18:00:00" - activates the order when the market opens. The order is cancelled at the specified time (all times are U.S. Central Time) if it has not triggered yet and also if it has triggered but is still working. Using the datetime format of "dd MMM yyyy HH:mm:ss" is highly recommended.
- "Open;100" - activates the order when the market opens. The second paramter specifies the cancel time but as a number of seconds from the current time. In this case it is 100 seconds from now. At that time the order will be cancelled if it is working or not yet triggered.
SampleIn this example, the activation order is submitted, accepted by the T4 FIXAPI and awaits activation by the trigger of Market Open. When the market opens, the order is submitted to the exchange as a market order.
Activation Order - On Market Mode
>> 2/22/2013 5:08:06 PM [FIXNEWORDER] 34=16|49=T4Example|56=T4|50=TraderName|52=20130222-23:08:06.007|1=Account1|11=fn-634971496860072990|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=1|59=0|167=FUT|21=1|60=20130222-23:08:06.007|204=0|10102=4|10103=PreOpen|
[FIXNEWORDER]
[MsgSeqNum] 34 = 16
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130222-23:08:06.007
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971496860072990
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-23:08:06.007
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 4 (ON_MARKET_MODE)
[ActivationValue] 10103 = Open
Activation Order - Response Awaiting Activation
<< 2/22/2013 5:08:06 PM [fixexecutionreport] 34=66|49=T4|56=T4Example|50=T4FIX|52=20130222-23:08:06.038|143=US,IL|1=Account1|11=fn-634971496860072990|17=0.634971496874862500.2.4.8E0C143A|150=9|37=8E0C143A-2B30-4E34-A79A-21349C6478B0|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=1|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130222-23:08:07.470|21=1|204=0|10102=4|10103=PreOpen|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 66
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-23:08:06.038
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971496860072990
[ExecID] 17 = 0.634971496874862500.2.4.8E0C143A
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 8E0C143A-2B30-4E34-A79A-21349C6478B0
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130222-23:08:07.470
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 4 (ON_MARKET_MODE)
[ActivationValue] 10103 = Open
Further details on the tags used for this order type are described in the dictionary of the
New Order Single message.