A Complete Volume order (also known as Fill Or Kill or FOK) is submitted to the exchange and it is either filled completely or cancelled immediately.
A Complete Volume Order is entered with the
New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Complete Volume Order.
| Tag 59=4 | TimeInForce | Time In Force specifier of Fill or Kill (Complete Volume) |
|---|
| 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 |
|---|
| Tag 167 | SecurityType | Security Type (e.g. Futures) of this specific market |
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SampleIn this example, a 10-lot Complete Volume order is submitted for a limit price (Tag 44) of 44000 or better. As it is a buy order, a better price indicates a price lower than 44000.
Complete Volume Order
>> 2/25/2013 2:32:26 PM [FIXNEWORDER] 34=29|49=T4Example|56=T4|50=Ernesto|52=20130225-20:32:26.505|1=Account1|11=fn-634973995465059974|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|54=1|38=10|40=2|44=44000|59=4|167=FUT|21=1|60=20130225-20:32:26.505|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 29
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130225-20:32:26.505
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973995465059974
[SecurityID] 48 = CBOE_20130300_AAPL1C
[Symbol] 55 = AAPL
[SecurityExchange] 207 = CBOE_SF
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 44000
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130225-20:32:26.505
[CustomerOrFirm] 204 = 0 (CUSTOMER)
Complete Volume Order Response
<< 2/25/2013 2:32:26 PM [fixexecutionreport] 34=102|49=T4|56=T4Example|50=T4FIX|52=20130225-20:32:26.568|1=Account1|11=fn-634973995465059974|17=9.66040:1836240153.6349739954900000006.1.61E85F9C|150=0|37=61E85F9C-8FD9-4202-8A17-E52B5F2A921B|39=0|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|200=201303|59=4|107=Apple Computer Inc. Mar13 1C|54=1|167=FUT|38=10|40=2|44=44000|60=20130225-20:32:29.000|21=1|204=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 102
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-20:32:26.568
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973995465059974
[ExecID] 17 = 9.66040:1836240153.6349739954900000006.1.61E85F9C
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 61E85F9C-8FD9-4202-8A17-E52B5F2A921B
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CBOE_20130300_AAPL1C
[Symbol] 55 = AAPL
[SecurityExchange] 207 = CBOE_SF
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityDesc] 107 = Apple Computer Inc. Mar13 1C
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 44000
[TransactTime] 60 = 20130225-20:32:29.000
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 1 (FIRM)
Further details on the tags used for this order type are described in the dictionary of the
New Order Single message.