Join Order

Modified on 2016/05/13 12:32 by ernestoaparcedo — Categorized as: Uncategorized

A Join order submits a limit order at the best bid or offer price, joining at the best price. A Join Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Join order.

Tag 40=N	OrdType	Specifier of Join Order Type
Tag 54	Side	Set to 1 (BUY) to join the best bid. Set to 2 (SELL) to join the best offer.
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

Sample

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

Join 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)

Join 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)

Join 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)

Join 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.