Trailing Stop Order

Modified on 2016/05/13 12:30 by ernestoaparcedo — Categorized as: Uncategorized

A Traling Stop Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Traling Stop Order.

Tag 40=3	OrdType	Specifier of Stop Order Type
Tag 99	StopPx	Stop Price
Tag 10100	TrailinDelta	Market Trailing Delta
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 stop order is submitted at the trigger price specified by StopPx (Tag 99). If the market moves away from the trigger price then the order trigger price is revised by the specified number of trailing ticks away from the market (TrailingDelta - Tag 10100). If the market moves towards the trigger then no revisions are made. Revisions happen no more than once every 10 seconds.

Please note that the exchanges generally place limits on market orders which effectively makes Market orders a limit order with a 10 or 20 tick price limit on it. Hence, you are not guaranteed a fill with a market order in a market that is moving very fast. Please check with the exchange you are trading to determine what their current limits are.

Traling Stop Order

>> 2/21/2013 6:09:06 PM [FIXNEWORDER] 34=176|49=T4Example|56=T4|50=TraderName|52=20130222-00:09:06.536|1=Account1|11=fn-634970669465362439|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=3|99=149975|59=0|167=FUT|21=1|60=20130222-00:09:06.536|204=0|10100=50|
[FIXNEWORDER]
[MsgSeqNum] 34 = 176
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130222-00:09:06.536
[Account] 1 = Account1
[ClOrdID] 11 = fn-634970669465362439
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 149975
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-00:09:06.536
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TrailingDelta] 10100 = 50

Traling Stop Order Response

<< 2/21/2013 6:09:06 PM [fixexecutionreport] 34=229|49=T4|56=T4Example|50=T4FIX|52=20130222-00:09:06.567|143=US,IL|1=Account1|11=fn-634970669465362439|17=48015.6417507600_ESH3.6349706694770700006.1.8043F39D|150=0|37=8043F39D-2B87-4B51-A22A-7FBFEBAF7093|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=3|99=149975|60=20130222-00:09:07.707|21=1|204=0|10100=50|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 229
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-00:09:06.567
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634970669465362439
[ExecID] 17 = 48015.6417507600_ESH3.6349706694770700006.1.8043F39D
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 8043F39D-2B87-4B51-A22A-7FBFEBAF7093
[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 = 3 (STOP)
[StopPx] 99 = 149975
[TransactTime] 60 = 20130222-00:09:07.707
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TrailingDelta] 10100 = 50

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