An Immediate-Or-Cancel Order (also known as Immediate-Or-Cancel IOC) is submitted to the exchange, filled as much as it can be and the remaining volume (if any) cancelled immediately.
An Immediate-Or-Cancel Order is entered with the
New Order Single (Tag 35=D) message. Following are the most relevant tags to build an Immediate-Or-Cancel Order.
| Tag 59=3 | TimeInForce | Time In Force specifier of Immediate-Or-Cancel (IOC) |
|---|
| 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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SampleIn this example, a 10-lot Complete Volume order is submitted for a limit price (Tag 44) of 62500 or better. As it is a buy order, a better price indicates a price lower than 62500.
IOC Order
>> 2/25/2013 10:29:07 AM [FIXNEWORDER] 34=186|49=T4Example|56=T4|50=TraderName|52=20130225-16:29:07.491|1=Account1|11=fn-634973849474913554|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=2|38=10|40=2|44=150900|59=3|167=FUT|21=1|60=20130225-16:29:07.491|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 186
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130225-16:29:07.491
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973849474913554
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 150900
[TimeInForce] 59 = 3 (IMMEDIATE_OR_CANCEL)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130225-16:29:07.491
[CustomerOrFirm] 204 = 0 (CUSTOMER)
IOC Order Response
<< 2/25/2013 10:29:07 AM [fixexecutionreport] 34=19682|49=T4|56=T4Example|50=T4FIX|52=20130225-16:29:07.662|143=US,IL|1=Account1|11=fn-634973849474913554|17=47990.6420058920_ESH3.6349738495015100006.1.D596F0C5|150=0|37=D596F0C5-2F16-44E3-B8E6-6972E840CF48|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=3|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=10|40=2|44=150900|60=20130225-16:29:10.151|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 19682
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-16:29:07.662
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973849474913554
[ExecID] 17 = 47990.6420058920_ESH3.6349738495015100006.1.D596F0C5
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = D596F0C5-2F16-44E3-B8E6-6972E840CF48
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 3 (IMMEDIATE_OR_CANCEL)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 150900
[TransactTime] 60 = 20130225-16:29:10.151
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
Further details on the tags used for this order type are described in the dictionary of the
New Order Single message.