On Price Activation Orders will be held (i.e. suspended) in the T4 FIX API server until the market trades at or below (or at or above) the activation price (as entered with the Activation Value - Tag 10103). 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 Price Activation Order.
| Tag 10102=3 (or 10102=2) | Activation Type | Specifier of Activation Order of At-Or-Below-TradePrice (or At-Or-Above-TradePrice) |
|---|
| Tag 10103 | Activation Value | Set to the Activation price (in ticks) |
|---|
| Tag 48 | SecurityID | Market for which the order is sent |
|---|
| Tag 55 | Symbol | Contract for which the order is sent |
|---|
| Tag 207 | SecurityExchange | Exchange for which the order is sent |
|---|
| Tag 167 | SecurityType | Security Type (e.g. Futures) of this specific market |
|---|
The format of the ActivationValue is "Ticks;Activation Cancel Time;Cancel Time;volume"
| Ticks | Required. The price in ticks trading that causes the order to be activated. |
|---|
| Activation Cancel Time | Optional. The time to cancel the order if it has 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. |
|---|
| Cancel Time | Optional. The time to cancel the order after it has been 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. |
|---|
| Volume | Optional. The last trade total volume at the activation price that needs to have traded before the order is activated. So to have the order activate when the last trade total volume for the activation price is 1000 or more specify 1000 here. Note that if the market trades through the activation price the order will be activated regardless of volume. |
|---|
Examples for ActivationValue:
- "12867" - activates the order when the specified price (must be entered as Ticks and not as display price) as long as the market is in a pre-open, open or other mode that allows order submission.
- "12867;100" - activates the order when the specified price (must be entered as Ticks and not as display price) as long as the market is in a pre-open, open or other mode that allows order submission. If the order has not been activated within 100 seconds it is cancelled.
- "12867;100;05 Jul 2012 18:00:00" - activates the order when the specified price (must be entered as Ticks and not as display price) as long as the market is in a pre-open, open or other mode that allows order submission. If the order has not been activated within 100 seconds it is cancelled. If the order is activated but not completed by 05 Jul 2012 18:00:00 then the order is cancelled.
- "12867;;1000" - activates the order when the specified price (must be entered as Ticks and not as display price) has traded 1000 or more lots since that price became the last traded price, as long as the market is in a pre-open, open or other mode that allows order submission.
SampleIn this example, the activation order is submitted, accepted by the T4 FIX API and awaits activation until the market trades at the input price (ActivationValue - Tag 10103) of 149250. When a trade occurs at 149250, the order is activated and submitted to the exchange as a Buy (Tag 54=1) Limit Order (Tag 40=2) at the price of 149200 (Tag 44).
Activation Order - On Price
>> 2/22/2013 6:06:57 PM [FIXNEWORDER] 34=123|49=T4Example|56=test|50=TraderName|52=20130223-00:06:57.467|1=Account1|11=fn-634971532174672718|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=2|44=149200|59=0|167=FUT|21=1|60=20130223-00:06:57.467|204=0|10102=3|10103=149250|
[FIXNEWORDER]
[MsgSeqNum] 34 = 123
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130223-00:06:57.467
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971532174672718
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149200
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130223-00:06:57.467
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 3 (AT_OR_BELOW_TRADEPRICE)
[ActivationValue] 10103 = 149250
Activation Order - Response Awaiting Activation
<< 2/22/2013 6:06:57 PM [fixexecutionreport] 34=193|49=T4|56=T4Example|50=T4FIX|52=20130223-00:06:57.482|143=US,IL|1=Account1|11=fn-634971532174672718|17=0.634971532189550000.2.4.FB5A187A|150=9|37=FB5A187A-35A1-40A8-8389-5655979CA6C2|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=2|44=149200|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130223-00:06:58.955|21=1|204=0|10102=3|10103=149250|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 193
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130223-00:06:57.482
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971532174672718
[ExecID] 17 = 0.634971532189550000.2.4.FB5A187A
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = FB5A187A-35A1-40A8-8389-5655979CA6C2
[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 = 2 (LIMIT)
[Price] 44 = 149200
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130223-00:06:58.955
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 3 (AT_OR_BELOW_TRADEPRICE)
[ActivationValue] 10103 = 149250
Further details on the tags used for this order type are described in the dictionary of the
New Order Single message.