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Page History: AutoOCO Order

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Page Revision: 2013/02/28 10:12

An AutoOCO (Automatic One Cancels Other) consists of three component: a Trigger order and the two components of a traditional OCO Order. When the Trigger order is filled, the OCO order (consisting of a Limit order and a Stop order) is activated and consequently submitted to the exchange.

For the OCO, the Limit price is entered as a differential (delta) value from the expected trade price of the Trigger order. Likewise, the Stop price is entered as a differential (delta) value from the expected trade price of the Trigger component but in the opposite direction (StopPrice = -LimitPrice). When one component of the OCO gets filled the other is cancelled. If one is partially filled then the volume on the other is reduced accordingly.

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

Following are the most relevant tags to build an AutoOCO order:

Tag 1385=2	ContingencyType	Specifier of AutoOCO order type
Tag 10101	TriggerPrice	Price at which the OCO order is activated
Tag 44	Price	Price of Limit component of OCO. Must be entered as a differential value from the expected trade price of the Trigger order. May be negative but with the opposite sign of Stop Price (Tag 99).
Tag 99	StopPx	Price of Stop component of OCO. Must be entered as a differential value from the expected trade price of the Trigger order. May be negative but with the opposite sign of Limit Price (Tag 44).
Tag 48	SecurityID	Market for which the order is sent
Tag 55	Symbol	Contract for which the order is sent
Tag 200	SecurityExchange	Exchange for which the order is sent
Tag 167	SecurityType	Security Type (e.g. Futures) of this specific market

Please note:

• The Volume for the two copmonents of the OCO should be specified as 0. The T4 FIX API works out what the required OCO volumes based on the trigger order.
  
  
• The Side for the OCO components is specified as the opposite of the Trigger Side. For example, if Trigger Order side is Buy, the components of the OCO would be Sells.
  
  
• Prices for the two OCO orders are specified as a differential from the expected fill price of the trigger order. This allows not knowing what price the trigger order will fill at, for example, if you use a market order, or even a Trailing StopMarket, as the trigger order.
  
  
• The sign of the Prices for the OCO orders is determined by the its corresponding Sides (which in turn depend on the Trigger order Side). For instance, if the Trigger order Side is a Buy, then the Side of the OCO components would be a Sell. Therefore, the differential Price for the Sell Limit component of the OCO will need to be positive. Similarly, the differential Price for the Sell Stop component of the OCO will need to be negative.
  

The Trigger order can be any order type, including Activation, Stop and Trailing Stop. OCO's orders can also be GTC's, StopLimit or Trailing. Activation is not supported with the OCO components. 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.

Sample

In this example, a buy AutoOCO order is submitted at the Trigger Price of 149700 (Tag 10101=149700) - as specified in first component. The contingent Sell OCO order is suspended with a differential Limit price (Tag 44) of 50 (as shown in second component) and with a differential Stop price (Tag 99) of -25 (as shown in third component). The Buy Trigger order is filled at the price of of 149675 (Tag 31=149675). Subsequently, a Sell OCO order is activated and submitted to the exchange. While the OCO works at the exchange, the Stop component is transacted first and filled at the price of 149600 (Tag 31=149600). Per the trading of the OCO Stop component, the OCO Limit component is cancelled.

AutoOCO Order

>> 2/28/2013 10:00:28 AM   [FIXNEWORDERLIST] 34=36|49=T4Example|56=T4|50=TraderName|52=20130228-16:00:28.220|66=fnl-634976424282209555|1385=2|1=Account1|48=CME_20130300_ESH3|55=ES|207=CME_Eq|167=FUT|433=1|68=3|11=auto-1-634976424282209555|54=1|38=1|40=2|59=0|21=2|60=20130228-16:00:28.220|204=0|10101=149900|11=auto-2-634976424282209555|54=2|38=0|40=2|44=25|59=0|21=2|60=20130228-16:00:28.220|204=0|10102=1|11=auto-3-634976424282209555|54=2|38=0|40=3|99=-50|59=0|21=2|60=20130228-16:00:28.220|204=0|10102=1|
[FIXNEWORDERLIST]
[MsgSeqNum] 34 = 36
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130228-16:00:28.220
[ListID] 66 = fnl-634976424282209555
[ContingencyType] 1385 = 2 (AUTO_OCO)
[Account] 1 = Account1
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[SecurityType] 167 = FUT (FUTURE)
[ListExecInstType] 433 = 1 (IMMEDIATE)
[TotNoOrders] 68 = 3
[ClOrdID] 11 = auto-1-634976424282209555
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130228-16:00:28.220
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TriggerPrice] 10101 = 149900
[ClOrdID] 11 = auto-2-634976424282209555
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 25
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130228-16:00:28.220
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)
[ClOrdID] 11 = auto-3-634976424282209555
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 0
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = -50
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130228-16:00:28.220
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)

AutoOCO Order Response - Limit Component of OCO Suspended - Activation Pending

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3172|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.236|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=0.634976424329381250.2.4.C953978B|150=9|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=0|40=2|44=25|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130228-16:00:32.942|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3172
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.236
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 0.634976424329381250.2.4.C953978B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 25
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130228-16:00:32.942
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Suspended - Activation Pending

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3173|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.236|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=0.634976424329381250.2.4.44A5B4C5|150=9|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=0|40=3|99=-50|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130228-16:00:32.946|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3173
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.236
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 0.634976424329381250.2.4.44A5B4C5
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = -50
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130228-16:00:32.946
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Trigger Component is Working

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3174|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.267|143=US,IL|1=Account1|11=auto-1-634976424282209555|66=fnl-634976424282209555|17=48121.6421180467_ESH3.6349764243297000006.1.72979F9E|150=0|37=72979F9E-3112-4343-8EDE-428539EB1BE4|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=149900|60=20130228-16:00:32.970|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3174
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.267
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-1-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48121.6421180467_ESH3.6349764243297000006.1.72979F9E
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 72979F9E-3112-4343-8EDE-428539EB1BE4
[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 = 149900
[TransactTime] 60 = 20130228-16:00:32.970
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Trigger Component is Filled

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3176|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.470|143=US,IL|1=Account1|11=auto-1-634976424282209555|66=fnl-634976424282209555|17=64205:2857344TN0022499.63497642432970000021.2.72979F9E|150=F|37=72979F9E-3112-4343-8EDE-428539EB1BE4|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=149900|31=149900|32=1|14=1|151=0|60=20130228-16:00:33.141|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3176
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.470
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-1-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 64205:2857344TN0022499.63497642432970000021.2.72979F9E
[ExecType] 150 = F
[OrderID] 37 = 72979F9E-3112-4343-8EDE-428539EB1BE4
[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 = 149900
[LastPx] 31 = 149900
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130228-16:00:33.141
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Passed Risk Assessment for Activation

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3179|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.720|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=0.634976424334381250.2.4.44A5B4C5|150=9|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=3|99=149850|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130228-16:00:32.946|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3179
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.720
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 0.634976424334381250.2.4.44A5B4C5
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 149850
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130228-16:00:32.946
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Passed Risk Assessment for Activation

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3180|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.751|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=0.634976424334381250.2.4.C953978B|150=9|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=2|44=149925|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130228-16:00:32.942|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3180
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.751
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 0.634976424334381250.2.4.C953978B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130228-16:00:32.942
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Activated (Sent to the exchange)

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3181|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.766|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=48122..04.4.44A5B4C5|150=9|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=3|99=149850|58=AutoOCO Activated|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3181
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.766
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48122..04.4.44A5B4C5
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 149850
[Text] 58 = AutoOCO Activated
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange)

<< 2/28/2013 10:00:28 AM  [fixexecutionreport] 34=3182|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.766|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=48123..04.4.C953978B|150=9|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=9|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=2|44=149925|58=AutoOCO Activated|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3182
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.766
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48123..04.4.C953978B
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[Text] 58 = AutoOCO Activated
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Working

<< 2/28/2013 10:00:29 AM  [fixexecutionreport] 34=3183|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:28.766|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=48122.6421180469_ESH3.6349764243346600006.1.44A5B4C5|150=0|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=3|99=149850|60=20130228-16:00:33.466|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3183
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:28.766
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48122.6421180469_ESH3.6349764243346600006.1.44A5B4C5
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 149850
[TransactTime] 60 = 20130228-16:00:33.466
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Working

<< 2/28/2013 10:00:29 AM  [fixexecutionreport] 34=3184|49=T4|56=T4Example|50=T4FIX|52=20130228-16:00:29.000|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=48123.6421180470_ESH3.6349764243346800006.1.C953978B|150=0|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=2|44=149925|60=20130228-16:00:33.468|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3184
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:00:29.000
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48123.6421180470_ESH3.6349764243346800006.1.C953978B
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[TransactTime] 60 = 20130228-16:00:33.468
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Triggered

<< 2/28/2013 10:02:03 AM  [fixexecutionreport] 34=3328|49=T4|56=T4Example|50=T4FIX|52=20130228-16:02:03.100|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=48122.6421180469_ESH3.6349764252782300006.1.44A5B4C5|150=0|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=2|44=149550|60=20130228-16:02:07.823|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3328
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:02:03.100
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48122.6421180469_ESH3.6349764252782300006.1.44A5B4C5
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149550
[TransactTime] 60 = 20130228-16:02:07.823
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Stop Component of OCO Filled

<< 2/28/2013 10:02:03 AM  [fixexecutionreport] 34=3330|49=T4|56=T4Example|50=T4FIX|52=20130228-16:02:03.271|143=US,IL|1=Account1|11=auto-3-634976424282209555|66=fnl-634976424282209555|17=64205:2858346TN0022509.63497642527823000021.2.44A5B4C5|150=F|37=44A5B4C5-E536-4BA0-AC04-48420170E627|39=2|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=1|40=2|44=149550|31=149775|32=1|14=1|151=0|60=20130228-16:02:07.985|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3330
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:02:03.271
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 64205:2858346TN0022509.63497642527823000021.2.44A5B4C5
[ExecType] 150 = F
[OrderID] 37 = 44A5B4C5-E536-4BA0-AC04-48420170E627
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149550
[LastPx] 31 = 149775
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130228-16:02:07.985
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Passed Risk Assessment

<< 2/28/2013 10:02:03 AM  [fixexecutionreport] 34=3332|49=T4|56=T4Example|50=T4FIX|52=20130228-16:02:03.755|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=48123.6421180470_ESH3.63497642433468000014.1.C953978B|150=6|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=6|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=0|40=2|44=149925|58=AutoOCO Pull: PullRiskSuccess. Pull passed risk management|60=20130228-16:00:32.942|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3332
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:02:03.755
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48123.6421180470_ESH3.63497642433468000014.1.C953978B
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[OrdStatus] 39 = 6 (PENDING_CANCEL)
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[Text] 58 = AutoOCO Pull: PullRiskSuccess. Pull passed risk management
[TransactTime] 60 = 20130228-16:00:32.942
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Cancellation Submitted to the Exchange

<< 2/28/2013 10:02:03 AM  [fixexecutionreport] 34=3333|49=T4|56=T4Example|50=T4FIX|52=20130228-16:02:03.755|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=48124.6421180470_ESH3.63497642433468000016.1.C953978B|150=6|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=6|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=0|40=2|44=149925|58=AutoOCO Pull|60=20130228-16:00:33.468|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3333
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:02:03.755
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48124.6421180470_ESH3.63497642433468000016.1.C953978B
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[OrdStatus] 39 = 6 (PENDING_CANCEL)
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[Text] 58 = AutoOCO Pull
[TransactTime] 60 = 20130228-16:00:33.468
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

AutoOCO Order Response - Limit Component of OCO Cancelled

<< 2/28/2013 10:02:03 AM  [fixexecutionreport] 34=3334|49=T4|56=T4Example|50=T4FIX|52=20130228-16:02:03.771|143=US,IL|1=Account1|11=auto-2-634976424282209555|66=fnl-634976424282209555|17=48124.6421180470_ESH3.63497642528489000018.2.C953978B|150=4|37=C953978B-631B-4AA7-A7B5-5F2310AA1A80|39=4|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=2|167=FUT|38=0|40=2|44=149925|60=20130228-16:02:08.489|21=1|204=0|1385=2|10101=149900|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 3334
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130228-16:02:03.771
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-634976424282209555
[ListID] 66 = fnl-634976424282209555
[ExecID] 17 = 48124.6421180470_ESH3.63497642528489000018.2.C953978B
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = C953978B-631B-4AA7-A7B5-5F2310AA1A80
[OrdStatus] 39 = 4 (CANCELED)
[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 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149925
[TransactTime] 60 = 20130228-16:02:08.489
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149900

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

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