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Page Revision: 2013/02/22 12:49

A Flatten order can be used to flatten a current position regardless of what that position is (in terms of side or quantity). The T4 FIX API server figures out the volume and Buy/Sell parameters. If a position does not currently exist for the SecurityID (Tag 48) of the submitted flatten order, the order is rejected. A Flatten Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Flatten order.

Tag 40=F	OrdType	Specifier of Flatten Order Type
Tag 38	OrderQty	Set to 0 to have the T4 FIX API server determine the volume needed to flatten the position. A finite quantity can also be entered.
Tag 54	Side	Set to 0 (UNDEFINED) to have the T4 FIX API server determine whether it should be buying or selling to flatten the position.
Tag 48	SecurityID	Market for which the order is sent for
Tag 55	Symbol	Contract for which the order is sent for
Tag 200	SecurityExchange	Exchange for which the order is sent for
Tag 167	SecurityType	Security Type (e.g. Futures) of this specific market

OrderQty Considerations

Specifying the OrderQty (Tag 38) to 0 also allows the API server to bypass certain risk management checks. For example, if you have a Max Clip Size of 10 but a Max Position of 20 and are currently 15 long, the server can submit a 15 lot sell without being rejected due to exceeding the Max Clip Size of 10.

If a non-zero OrderQty (Tag 28) is specified, this order quantity acts as the maximum volume the server will submit. In the prior example, if a order quantity of 12 is specified then only a 12-lot order would be submitted (instead of a 15 lot order). For example, if at the time of submitting a flatten order, a long position of 15 is held, then an OrderQty of 15 can be specified so that only that 15 (or less) would get flattened (in the event that more fills came in while submitting the order). Note, the specificaiton of OrderQty leads to a check against risk management. The order may be rejected if it does not pass risk assessment (e.g. exceed Max Clip size).

Side Considerations

An Undefined Side (Tag 54=0) allows the server determine the side to flatten the position. If a Side of BUY (Tag54=1) or SELL (Tag54=2) is specifid, the T4 FIX API server will only flatten if the position is in the correct direction, e.g. if a long position is held, sending Side of BUY (Tag 54=1) then the T4 FIX API server will not submit an order to the exchange.

Sample

In this example, the Flatten order is submitted for by entering OrderType (Tag 40) equal to F. Note that the Price (Tag 44) is not entered.

Flatten Order

>> 2/22/2013 12:14:29 PM   [FIXNEWORDER] 34=75|49=T4Example|56=T4|50=Ernesto|52=20130222-18:14:29.056|1=Account1|11=fn-634971320690565608|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=N|59=0|167=FUT|21=1|60=20130222-18:14:29.056|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 75
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = Account1
[SendingTime] 52 = 20130222-18:14:29.056
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634971320690565608
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = N (JOIN)
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-18:14:29.056
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Response - Awaiting Trigger

<< 2/22/2013 12:14:29 PM  [fixexecutionreport] 34=175|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.056|143=US,IL|1=Account1|11=fn-634971320690565608|17=0.634971320704368750.2.1.79A2601F|150=A|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|39=A|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=N|58=Join Awaiting Trigger|60=20130222-18:14:30.436|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 175
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:14:29.056
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971320690565608
[ExecID] 17 = 0.634971320704368750.2.1.79A2601F
[ExecType] 150 = A (PENDING_NEW)
[OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89
[OrdStatus] 39 = A (PENDING_NEW)
[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 = N (JOIN)
[Text] 58 = Join Awaiting Trigger
[TransactTime] 60 = 20130222-18:14:30.436
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Response

<< 2/22/2013 12:14:29 PM  [fixexecutionreport] 34=176|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.087|143=US,IL|1=Account1|11=fn-634971320690565608|17=48084.6419495592_ESH3.6349713207052200006.1.79A2601F|150=0|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|39=0|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=149875|60=20130222-18:14:30.522|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 176
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:14:29.087
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971320690565608
[ExecID] 17 = 48084.6419495592_ESH3.6349713207052200006.1.79A2601F
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89
[OrdStatus] 39 = 0 (NEW)
[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 = 149875
[TransactTime] 60 = 20130222-18:14:30.522
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Flatten Order Fill

<< 2/22/2013 12:14:29 PM  [fixexecutionreport] 34=177|49=T4|56=T4Example|50=T4FIX|52=20130222-18:14:29.945|143=US,IL|1=Account1|11=fn-634971320690565608|17=64201:7485971TN0604888.63497132071356000021.2.79A2601F|150=F|37=79A2601F-8928-4C40-8C5A-86C2F65E0E89|39=2|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=149875|31=149875|32=1|14=1|151=0|60=20130222-18:14:31.343|21=1|204=0|337=TRADE|375=CME000A|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 177
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-18:14:29.945
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971320690565608
[ExecID] 17 = 64201:7485971TN0604888.63497132071356000021.2.79A2601F
[ExecType] 150 = F
[OrderID] 37 = 79A2601F-8928-4C40-8C5A-86C2F65E0E89
[OrdStatus] 39 = 2 (FILLED)
[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 = 149875
[LastPx] 31 = 149875
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130222-18:14:31.343
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A

Further details on the tags used for this order type are described in the dictionary of the New Order Single message.

Page History: Flatten Order

Page Revision: 2013/02/22 12:49

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