OCO Order

Modified on 2016/05/13 12:27 by ernestoaparcedo — Categorized as: Uncategorized

An OCO (One Cancels Other or Order Cancels Order) consists of a buy limit order below the market and a buy stop order above the market, or a sell limit order above the market and a sell stop order below the market. When one gets filled the other is cancelled. If one is partially filled then the volume on the other is reduced accordingly.

An OCO Order is submitted with the New Order List (Tag 35=E) message.

Following are the most relevant tags to build an OCO order.

Tag 1385=1	ContingencyType	Specifier of OCO order type
Tag 44	Price	Price of Limit component of OCO. Must be below last traded price for Buys and above for Sells.
Tag 99	Stop Price	Price of Stop component of OCO. Must be above last traded price for Buys and below for Sells.
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

OCO orders can also be GTC's, StopLimit or Trailing. Activation is not supported with OCO orders. 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 OCO order must pertain to the same account and market.

Sample

In this example, a buy OCO order is submitted at the Limit Component Price of 157850 (Tag 44 =157850) with a Stop Component Price of 157900 (Tag 99 = 157900). The Stop component is filled and subsequently the Limit component is canceled.

OCO Order

>> 4/26/2013 9:17:40 AM   [FIXNEWORDERLIST] 34=1871|49=T4Example|56=T4|50=Account1|52=20130426-14:17:40.583|66=fnl-635025646605836934|1385=1|433=1|68=2|11=oco-1-635025646605836934|1=Account1|54=1|38=1|48=CME_20130600_ESM3|55=ES|207=CME_Eq|40=2|44=157850|59=0|21=2|60=20130426-14:17:40.583|11=oco-2-635025646605836934|1=Account1|54=1|38=1|48=CME_20130600_ESM3|55=ES|207=CME_Eq|40=3|99=157900|59=0|21=2|60=20130426-14:17:40.583|
[FIXNEWORDERLIST]
[MsgSeqNum] 34 = 1871
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = Account1
[SendingTime] 52 = 20130426-14:17:40.583
[ListID] 66 = fnl-635025646605836934
[ContingencyType] 1385 = 1 (OCO)
[ListExecInstType] 433 = 1 (IMMEDIATE)
[TotNoOrders] 68 = 2
[ClOrdID] 11 = oco-1-635025646605836934
[Account] 1 = Account1
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157850
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130426-14:17:40.583
[ClOrdID] 11 = oco-2-635025646605836934
[Account] 1 = Account1
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 157900
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130426-14:17:40.583

OCO Order Response - Limit Component Working

<< 4/26/2013 9:17:40 AM  [fixexecutionreport] 34=130733|49=T4|56=T4Example|50=T4FIX|52=20130426-14:17:40.677|143=US,IL|1=Account1|11=oco-1-635025646605836934|66=fnl-635025646605836934|17=48323.6446981231_ESM3.6350256466290500006.1.77A1CE19|150=0|37=77A1CE19-9041-4620-80AB-40BFABB45048|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=157850|60=20130426-14:17:42.905|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 130733
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:17:40.677
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-1-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48323.6446981231_ESM3.6350256466290500006.1.77A1CE19
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 77A1CE19-9041-4620-80AB-40BFABB45048
[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 = 157850
[TransactTime] 60 = 20130426-14:17:42.905
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Stop Component Working

<< 4/26/2013 9:17:40 AM  [fixexecutionreport] 34=130735|49=T4|56=T4Example|50=T4FIX|52=20130426-14:17:40.880|143=US,IL|1=Account1|11=oco-2-635025646605836934|66=fnl-635025646605836934|17=48324.6446981232_ESM3.6350256466290900006.1.824FCFDB|150=0|37=824FCFDB-D4D3-4207-B4A9-2FF07C1FE813|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=157900|60=20130426-14:17:42.909|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 130735
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:17:40.880
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-2-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48324.6446981232_ESM3.6350256466290900006.1.824FCFDB
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 824FCFDB-D4D3-4207-B4A9-2FF07C1FE813
[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 = 157900
[TransactTime] 60 = 20130426-14:17:42.909
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Stop Component activated to Limit

<< 4/26/2013 9:20:46 AM  [fixexecutionreport] 34=131009|49=T4|56=T4Example|50=T4FIX|52=20130426-14:20:46.286|143=US,IL|1=Account1|11=oco-2-635025646605836934|66=fnl-635025646605836934|17=48324.6446981232_ESM3.6350256484851300006.1.824FCFDB|150=0|37=824FCFDB-D4D3-4207-B4A9-2FF07C1FE813|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=158200|60=20130426-14:20:48.513|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 131009
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:20:46.286
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-2-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48324.6446981232_ESM3.6350256484851300006.1.824FCFDB
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 824FCFDB-D4D3-4207-B4A9-2FF07C1FE813
[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 = 158200
[TransactTime] 60 = 20130426-14:20:48.513
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Stop Component Filled

<< 4/26/2013 9:20:46 AM  [fixexecutionreport] 34=131012|49=T4|56=T4Example|50=T4FIX|52=20130426-14:20:46.489|143=US,IL|1=Account1|11=oco-2-635025646605836934|66=fnl-635025646605836934|17=64229:5559243TN0374282.63502564848513000021.2.824FCFDB|150=F|37=824FCFDB-D4D3-4207-B4A9-2FF07C1FE813|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=158200|31=157900|32=1|14=1|151=0|60=20130426-14:20:48.626|21=1|204=0|337=TRADE|375=CME000A|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 131012
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:20:46.489
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-2-635025646605836934
[ExecID] 17 = 64229:5559243TN0374282.63502564848513000021.2.824FCFDB
[ExecType] 150 = F
[OrderID] 37 = 824FCFDB-D4D3-4207-B4A9-2FF07C1FE813
[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 = 158200
[LastPx] 31 = 157900
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130426-14:20:48.626
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Limit Component pending cancel (Risk assessment success)

<< 4/26/2013 9:20:46 AM  [fixexecutionreport] 34=131013|49=T4|56=T4Example|50=T4FIX|52=20130426-14:20:46.816|143=US,IL|1=Account1|11=oco-1-635025646605836934|66=fnl-635025646605836934|17=48323.6446981231_ESM3.63502564662905000014.1.77A1CE19|150=6|37=77A1CE19-9041-4620-80AB-40BFABB45048|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=157850|58=OCO Pull: PullRiskSuccess. Pull passed risk management|60=20130426-14:17:42.783|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 131013
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:20:46.816
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-1-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48323.6446981231_ESM3.63502564662905000014.1.77A1CE19
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = 77A1CE19-9041-4620-80AB-40BFABB45048
[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 = 157850
[Text] 58 = OCO Pull: PullRiskSuccess. Pull passed risk management
[TransactTime] 60 = 20130426-14:17:42.783
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Limit Component pending cancel (submitted to exchange)

<< 4/26/2013 9:20:46 AM  [fixexecutionreport] 34=131014|49=T4|56=T4Example|50=T4FIX|52=20130426-14:20:46.832|143=US,IL|1=Account1|11=oco-1-635025646605836934|66=fnl-635025646605836934|17=48325.6446981231_ESM3.63502564662905000016.1.77A1CE19|150=6|37=77A1CE19-9041-4620-80AB-40BFABB45048|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=157850|58=OCO Pull|60=20130426-14:17:42.905|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 131014
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:20:46.832
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-1-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48325.6446981231_ESM3.63502564662905000016.1.77A1CE19
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = 77A1CE19-9041-4620-80AB-40BFABB45048
[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 = 157850
[Text] 58 = OCO Pull
[TransactTime] 60 = 20130426-14:17:42.905
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

OCO Order Response - Limit Component Cancelled

<< 4/26/2013 9:20:46 AM  [fixexecutionreport] 34=131015|49=T4|56=T4Example|50=T4FIX|52=20130426-14:20:46.848|143=US,IL|1=Account1|11=oco-1-635025646605836934|66=fnl-635025646605836934|17=48325.6446981231_ESM3.63502564849076000018.2.77A1CE19|150=4|37=77A1CE19-9041-4620-80AB-40BFABB45048|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=157850|60=20130426-14:20:49.076|21=1|204=0|1385=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 131015
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-14:20:46.848
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = oco-1-635025646605836934
[ListID] 66 = fnl-635025646605836934
[ExecID] 17 = 48325.6446981231_ESM3.63502564849076000018.2.77A1CE19
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = 77A1CE19-9041-4620-80AB-40BFABB45048
[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 = 157850
[TransactTime] 60 = 20130426-14:20:49.076
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 1 (OCO)

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