An AutoOCO (Automatic One Cancels Other) consists of three components: a Trigger order and the two components of a traditional
OCO Order. When the Trigger order is filled, the OCO order (consisting of a Limit order and a Stop order) is activated and consequently submitted to the exchange. An AutoOCO Order is submitted with the
New Order List (Tag 35=E) message.
For the OCO with Contigency Type of AutoOCO (Tag 1385=2), the Limit price is entered as a differential (delta) value from the expected trade price of the Trigger order. Likewise, the Stop price is entered as a differential (delta) value from the expected trade price of the Trigger order but in the opposite direction (StopPrice = -LimitPrice). When one component of the OCO gets filled the other is cancelled. If one is partially filled then the volume on the other is reduced accordingly. If Contingency Type is AutoOCO_P (Tag 1385=7), the limit and stop prices can be entered as full absolute values (not differential).
Following are the most relevant tags to build an AutoOCO order:
| Tag 1385=2/7 | ContingencyType | Specifier of AutoOCO order type |
|---|
| Tag 10101 | TriggerPrice | Trigger Price at which the OCO order is activated |
|---|
| Tag 10104 | TriggerStop | Trigger Stop Price at which the OCO order is activated |
|---|
| Tag 10105 | TriggerStopTrail | Trail for Trigger Stop Price for which the OCO order is activated |
|---|
| Tag 44 | Price | Price of Limit component of OCO. If ContingencyType is AutoOCO (Tag 1385=2), limit price must be entered as a differential value from the expected trade price of the Trigger order. May be negative but with the opposite sign of Stop Price (Tag 99). If ContingencyType is AutoOCO_P (Tag 1385=7), limit price must be entered as an absolute limit price.
|
|---|
| Tag 99 | StopPx | Price of Stop component of OCO. If ContingencyType is AutoOCO (Tag 1385=2), stop price must be entered as a differential value from the expected trade price of the Trigger order. May be negative but with the opposite sign of Limit Price (Tag 44). If ContingencyType is AutoOCO_P (Tag 1385=7), stop price must be entered as an absolute stop price.
|
|---|
| 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 |
|---|
Please note:
- The Volume for the two components of the OCO should be specified as 0. The T4 FIX API works out the required OCO volumes based on the trigger order.
- The Side for the OCO components is specified as the opposite of the Trigger Side. For example, if the trigger order side is Buy, the components of the OCO would be Sells.
- if Contingency Type is set to AutoOCO (Tag 1385=2), prices for the two OCO orders are specified as a differential from the expected trade price of the trigger order. This allows not knowing what price the trigger order will fill at, for example, if you use a market order, or even a Trailing StopMarket, as the trigger order. If Contingency Type is set to AutoOCO_P (Tag 1385=7), the stop and limit prices can be entered as absolute values.
- The sign of the prices for the OCO orders is determined by their corresponding Sides (which in turn depend on the Trigger order Side). For instance, if the Trigger order Side is a Buy, then the Side of the OCO components would be a Sell. Therefore, the Price for the Sell Limit component of the OCO will need to be positive. Appropriately, the Price for the Sell Stop component of the OCO will need to be negative.
The Trigger order can be any order type, including Activation, Stop and Trailing Stop. OCO's orders can also be GTC's, StopLimit or Trailing. Activation is not supported with the OCO components. The Limit component of the OCO can be specified as either a Limit (Tag 40=2) or a Market-if-Touched (Tag 40=J) order type. Please note that OCO's are not intended to be used where both orders are very close together, for example at consecutive prices or at the best bid and best offer prices. For this scenario, it is likely that both components would get filled in an active market. All components of an AutoOCO order must pertain to the same account and market.
SampleIn this example, a sell AutoOCO order is submitted with a Trigger Price of 157875 (Tag 10101=157875) (as shown in first component). The contingent Buy OCO order is suspended with a differential Limit price (Tag 44) of -25 (as shown in second component) and with a differential Stop price (Tag 99) of 25 (as shown in third component). The Limit price of the Trigger order is replaced closer to the market (Tag 44 = 157850). Subsequently, the Sell Trigger order is filled at the price of of 157850 (Tag 31=157850). Subsequently, a Buy OCO order is activated and submitted to the exchange. While the OCO works at the exchange, the Stop component is transacted first and filled at the price of 157875 (Tag 31=157875). Per the trading of the OCO Stop component, the OCO Limit component is cancelled.
AutoOCO Order
>> 4/26/2013 10:08:02 AM [FIXNEWORDERLIST] 34=1972|49=T4Example|56=T4|50=Account1|52=20130426-15:08:02.873|66=fnl-635025676828739888|1385=2|433=1|68=3|11=auto-1-635025676828739888|1=Account1|54=2|38=1|48=CME_20130600_ESM3|55=ES|207=CME_Eq|40=2|59=0|21=2|60=20130426-15:08:02.873|204=0|10101=157875|11=auto-2-635025676828739888|1=Account1|54=1|38=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|40=2|44=-25|59=0|21=2|60=20130426-15:08:02.873|204=0|10102=1|11=auto-3-635025676828739888|1=Account1|54=1|38=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|40=3|99=25|59=0|21=2|60=20130426-15:08:02.873|204=0|10102=1|
[FIXNEWORDERLIST]
[MsgSeqNum] 34 = 1972
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = Account1
[SendingTime] 52 = 20130426-15:08:02.873
[ListID] 66 = fnl-635025676828739888
[ContingencyType] 1385 = 2 (AUTO_OCO)
[ListExecInstType] 433 = 1 (IMMEDIATE)
[TotNoOrders] 68 = 3
[ClOrdID] 11 = auto-1-635025676828739888
[Account] 1 = Account1
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 1
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[OrdType] 40 = 2 (LIMIT)
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130426-15:08:02.873
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TriggerPrice] 10101 = 157875
[ClOrdID] 11 = auto-2-635025676828739888
[Account] 1 = Account1
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 0
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = -25
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130426-15:08:02.873
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)
[ClOrdID] 11 = auto-3-635025676828739888
[Account] 1 = Account1
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 0
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 25
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130426-15:08:02.873
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)
AutoOCO Order Response - Limit Component of OCO Suspended - Activation Pending
<< 4/26/2013 10:08:02 AM [fixexecutionreport] 34=135686|49=T4|56=T4Example|50=T4FIX|52=20130426-15:08:02.920|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=0.635025676850775000.2.4.066B9EFB|150=9|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=0|40=2|44=-25|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130426-15:08:05.081|21=1|204=0|1385=2|10101=157875|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135686
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:08:02.920
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 0.635025676850775000.2.4.066B9EFB
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = -25
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130426-15:08:05.081
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157875
AutoOCO Order Response - Stop Component of OCO Suspended - Activation Pending
<< 4/26/2013 10:08:02 AM [fixexecutionreport] 34=135687|49=T4|56=T4Example|50=T4FIX|52=20130426-15:08:02.936|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=0.635025676850775000.2.4.091F876B|150=9|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=0|40=3|99=25|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130426-15:08:05.085|21=1|204=0|1385=2|10101=157875|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135687
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:08:02.936
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 0.635025676850775000.2.4.091F876B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 25
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130426-15:08:05.085
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157875
AutoOCO Order Response - Trigger Component is Working
<< 4/26/2013 10:08:03 AM [fixexecutionreport] 34=135689|49=T4|56=T4Example|50=T4FIX|52=20130426-15:08:02.983|143=US,IL|1=Account1|11=auto-1-635025676828739888|66=fnl-635025676828739888|17=48330.6446988276_ESM3.6350256768515900006.1.8436F64F|150=0|37=8436F64F-ACF7-4F9A-8753-0B54F6484D12|39=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=2|167=FUT|38=1|40=2|44=157875|60=20130426-15:08:05.159|21=1|204=0|1385=2|10101=157875|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135689
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:08:02.983
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-1-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48330.6446988276_ESM3.6350256768515900006.1.8436F64F
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157875
[TransactTime] 60 = 20130426-15:08:05.159
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157875
Request a Replace of Limit Price of Trigger Component
>> 4/26/2013 10:09:08 AM [FIXCANCELREPLACE] 34=1975|49=T4Example|56=test|50=Account1|52=20130426-15:09:08.191|1=Account1|11=fr-635025677481913035|41=auto-1-635025676828739888|37=8436F64F-ACF7-4F9A-8753-0B54F6484D12|48=CME_20130600_ESM3|55=ES|207=CME_Eq|54=2|38=1|40=2|44=157850|59=0|167=FUT|21=1|60=20130426-15:09:08.191|204=0|
[FIXCANCELREPLACE]
[MsgSeqNum] 34 = 1975
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = test
[SenderSubID] 50 = Account1
[SendingTime] 52 = 20130426-15:09:08.191
[Account] 1 = Account1
[ClOrdID] 11 = fr-635025677481913035
[OrigClOrdID] 41 = auto-1-635025676828739888
[OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157850
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130426-15:09:08.191
[CustomerOrFirm] 204 = 0 (CUSTOMER)
Limit Price of Trigger Component is replaced
<< 4/26/2013 10:09:08 AM [fixexecutionreport] 34=135790|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:08.285|143=US,IL|1=Account1|11=fr-635025677481913035|41=auto-1-635025676828739888|66=fnl-635025676828739888|17=48332.6446988276_ESM3.63502567750525000012.1.8436F64F|150=5|37=8436F64F-ACF7-4F9A-8753-0B54F6484D12|39=5|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=2|167=FUT|38=1|40=2|44=157850|60=20130426-15:09:10.525|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135790
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:08.285
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fr-635025677481913035
[OrigClOrdID] 41 = auto-1-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48332.6446988276_ESM3.63502567750525000012.1.8436F64F
[ExecType] 150 = 5 (REPLACE)
[OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12
[OrdStatus] 39 = 5 (REPLACED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157850
[TransactTime] 60 = 20130426-15:09:10.525
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Trigger Component is Filled
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135809|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.319|143=US,IL|1=Account1|11=fr-635025677481913035|41=auto-1-635025676828739888|66=fnl-635025676828739888|17=64229:5573055TN0375310.63502567764558000021.2.8436F64F|150=F|37=8436F64F-ACF7-4F9A-8753-0B54F6484D12|39=2|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=2|167=FUT|38=1|40=2|44=157850|31=157850|32=1|14=1|151=0|60=20130426-15:09:24.499|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135809
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.319
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fr-635025677481913035
[OrigClOrdID] 41 = auto-1-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 64229:5573055TN0375310.63502567764558000021.2.8436F64F
[ExecType] 150 = F
[OrderID] 37 = 8436F64F-ACF7-4F9A-8753-0B54F6484D12
[OrdStatus] 39 = 2 (FILLED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157850
[LastPx] 31 = 157850
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130426-15:09:24.499
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Passed Risk Assessment for Activation
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135811|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.506|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=0.635025677646868750.2.4.066B9EFB|150=9|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=157825|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130426-15:08:05.081|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135811
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.506
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 0.635025677646868750.2.4.066B9EFB
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130426-15:08:05.081
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Stop Component of OCO Passed Risk Assessment for Activation
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135812|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.584|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=0.635025677646868750.2.4.091F876B|150=9|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=3|99=157875|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130426-15:08:05.085|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135812
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.584
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 0.635025677646868750.2.4.091F876B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 157875
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130426-15:08:05.085
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange)
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135813|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.615|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=48333..04.4.066B9EFB|150=9|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=157825|58=AutoOCO Activated|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135813
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.615
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48333..04.4.066B9EFB
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[Text] 58 = AutoOCO Activated
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange)
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135814|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.631|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=48334..04.4.091F876B|150=9|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=9|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=3|99=157875|58=AutoOCO Activated|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135814
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.631
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48334..04.4.091F876B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 9 (SUSPENDED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 157875
[Text] 58 = AutoOCO Activated
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Working
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135815|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.631|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=48333.6446988499_ESM3.6350256776476900006.1.066B9EFB|150=0|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=157825|60=20130426-15:09:24.769|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135815
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.631
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48333.6446988499_ESM3.6350256776476900006.1.066B9EFB
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[TransactTime] 60 = 20130426-15:09:24.769
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Stop Component of OCO Working
<< 4/26/2013 10:09:22 AM [fixexecutionreport] 34=135817|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:22.709|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=48334.6446988500_ESM3.6350256776477300006.1.091F876B|150=0|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=3|99=157875|60=20130426-15:09:24.773|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135817
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:22.709
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48334.6446988500_ESM3.6350256776477300006.1.091F876B
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 157875
[TransactTime] 60 = 20130426-15:09:24.773
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Stop Component of OCO Triggered
<< 4/26/2013 10:09:26 AM [fixexecutionreport] 34=135823|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:26.983|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=48334.6446988500_ESM3.6350256776922200006.1.091F876B|150=0|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=0|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=158175|60=20130426-15:09:29.222|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135823
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:26.983
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48334.6446988500_ESM3.6350256776922200006.1.091F876B
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 158175
[TransactTime] 60 = 20130426-15:09:29.222
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Stop Component of OCO Filled
<< 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135825|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:27.202|143=US,IL|1=Account1|11=auto-3-635025676828739888|66=fnl-635025676828739888|17=64229:5573075TN0375312.63502567769222000021.2.091F876B|150=F|37=091F876B-384B-4C2F-B7D1-B1F1EF820508|39=2|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=158175|31=157875|32=1|14=1|151=0|60=20130426-15:09:29.390|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135825
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:27.202
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 64229:5573075TN0375312.63502567769222000021.2.091F876B
[ExecType] 150 = F
[OrderID] 37 = 091F876B-384B-4C2F-B7D1-B1F1EF820508
[OrdStatus] 39 = 2 (FILLED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 158175
[LastPx] 31 = 157875
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130426-15:09:29.390
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Passed Risk Assessment
<< 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135827|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:27.498|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=48333.6446988499_ESM3.63502567764769000014.1.066B9EFB|150=6|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=6|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=0|40=2|44=157825|58=AutoOCO Pull: PullRiskSuccess. Pull passed risk management|60=20130426-15:08:05.081|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135827
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:27.498
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48333.6446988499_ESM3.63502567764769000014.1.066B9EFB
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 6 (PENDING_CANCEL)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[Text] 58 = AutoOCO Pull: PullRiskSuccess. Pull passed risk management
[TransactTime] 60 = 20130426-15:08:05.081
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Cancel Request Submitted to the Exchange
<< 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135828|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:27.498|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=48335.6446988499_ESM3.63502567764769000016.1.066B9EFB|150=6|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=6|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=0|40=2|44=157825|58=AutoOCO Pull|60=20130426-15:09:24.769|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135828
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:27.498
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48335.6446988499_ESM3.63502567764769000016.1.066B9EFB
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 6 (PENDING_CANCEL)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[Text] 58 = AutoOCO Pull
[TransactTime] 60 = 20130426-15:09:24.769
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
AutoOCO Order Response - Limit Component of OCO Cancelled
<< 4/26/2013 10:09:27 AM [fixexecutionreport] 34=135829|49=T4|56=T4Example|50=T4FIX|52=20130426-15:09:27.560|143=US,IL|1=Account1|11=auto-2-635025676828739888|66=fnl-635025676828739888|17=48335.6446988499_ESM3.63502567769807000018.2.066B9EFB|150=4|37=066B9EFB-6307-4DF7-AC14-D49D6E0E170D|39=4|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=0|40=2|44=157825|60=20130426-15:09:29.807|21=1|204=0|1385=2|10101=157850|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 135829
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-15:09:27.560
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025676828739888
[ListID] 66 = fnl-635025676828739888
[ExecID] 17 = 48335.6446988499_ESM3.63502567769807000018.2.066B9EFB
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = 066B9EFB-6307-4DF7-AC14-D49D6E0E170D
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157825
[TransactTime] 60 = 20130426-15:09:29.807
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157850
Further details on the tags used for this order type are described in the dictionary of the
New Order List message.