Page History: Activation On Market Mode Order

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Page Revision: 2013/02/22 17:28

On Market Mode Activation Orders will be held (i.e. suspended) in the T4 FIX API server until the specific market mode event (as entered with the Activation Value - Tag 10103) occurs. At this trigger point, the order is released to the exchange.

An Activation Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build an On Market Mode Activation Order.

Tag 10102=4	Activation Type	Specifier of Activation Order - On Market Mode
Tag 10103	Activation Value	Market Mode Event to trigger the activation order
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

The format of the ActivationValue (Tag 10103) is: "Market Mode;Cancel Time"

mode	Required. The market mode to activate the order on.
cancel time	Optional. The time to cancel the order if the order is still working or not yet activated. The time can be specified as either a full date time in the format "dd MMM yyyy HH:mm:ss" or as a number of seconds from now.

Examples of ActivationValue:

"Open" - activates when the market opens.
"PreOpen" - activates when the market goes pre-open.
"Open;05 Jul 2012 18:00:00" - activates the order when the market opens. The order is cancelled at the specified time (all times are U.S. Central Time) if it has not triggered yet and also if it has triggered but is still working. Using the datetime format of "dd MMM yyyy HH:mm:ss" is highly recommended.
"Open;100" - activates the order when the market opens. The second paramter specifies the cancel time but as a number of seconds from the current time. In this case it is 100 seconds from now. At that time the order will be cancelled if it is working or not yet triggered.

Sample

In this example, the activation order is submitted, accepted by the T4 FIXAPI and awaits trigger for Market Open. When the market opens, the order is submitted to the exchange as a market order.

Activation Order - On Market Mode

>> 2/22/2013 5:08:06 PM   [FIXNEWORDER] 34=16|49=T4Example|56=T4|50=TraderName|52=20130222-23:08:06.007|1=Account1|11=fn-634971496860072990|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=1|59=0|167=FUT|21=1|60=20130222-23:08:06.007|204=0|10102=4|10103=PreOpen|
[FIXNEWORDER]
[MsgSeqNum] 34 = 16
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130222-23:08:06.007
[Account] 1 = Account1
[ClOrdID] 11 = fn-634971496860072990
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-23:08:06.007
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 4 (ON_MARKET_MODE)
[ActivationValue] 10103 = Open

<span style="color:green;">Activation Order - Response Awaiting Trigger</span><br/>

<< 2/22/2013 5:08:06 PM fixexecutionreport 34=66|49=T4|56=T4Example|50=T4FIX|52=20130222-23:08:06.038|143=US,IL|1=Account1|11=fn-634971496860072990|17=0.634971496874862500.2.4.8E0C143A|150=9|37=8E0C143A-2B30-4E34-A79A-21349C6478B0|39=9|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=1|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130222-23:08:07.470|21=1|204=0|10102=4|10103=PreOpen| FIXEXECUTIONREPORT MsgSeqNum 34 = 66 SenderCompID 49 = T4 TargetCompID 56 = T4Example SenderSubID 50 = T4FIX SendingTime 52 = 20130222-23:08:06.038 TargetLocationID 143 = US,IL Account 1 = Account1 ClOrdID 11 = fn-634971496860072990 ExecID 17 = 0.634971496874862500.2.4.8E0C143A ExecType 150 = 9 (SUSPENDED) OrderID 37 = 8E0C143A-2B30-4E34-A79A-21349C6478B0 OrdStatus 39 = 9 (SUSPENDED) 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 = 1 (MARKET) Text 58 = Activation Pending: SubmissionRiskSuccess. Order Held TransactTime 60 = 20130222-23:08:07.470 HandlInst 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION) CustomerOrFirm 204 = 0 (CUSTOMER) ActivationType 10102 = 4 (ON_MARKET_MODE) ActivationValue 10103 = Open @@

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

Page History: Activation On Market Mode Order

Page Revision: 2013/02/22 17:28

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