Page History: AutoOCO Order
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Page Revision: 2013/02/27 11:37
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 order price is entered as a differential value (delta) from the traded price of the Trigger component. Likewise, the Stop order price is entered as a differential value (delta) from the traded 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 | Trigger Price | Limit 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 Trigger Trade price. May be negative but in the opposite direction of Stop Price.
|
|---|
| Tag 99 | Stop Price | Price of Stop component of OCO. Must be entered as a differential value from the expected Trigger Trade price. May be negative but in the opposite direction of Limit Price.
|
|---|
| 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:
Volumes for the two OCO orders should be specified as 0. The system works out what the volumes need to be 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.
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 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 (as a result of the input Trigger Side). For instance, if the Trigger order Side is a Buy, then the Side of the OCO components would be Sell. Consequently, the differential Price (from the Trigger Trade Price) for the Sell Limit component of the OCO will need to be positive. Similarly, the differential Price (from the Trigger Trade Price) for the Sell Stop component of the OCO will need to be negative.
be opposideof the Iare specified as a differential from the 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 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
SampleIn this example, a buy OCO order is submitted at the Limit Component Price of 149650 (Tag 44 =149650) with a Stop Component Price of 149675 (Tag 99 = 149675). The Limit component is filled and subsequently the Stop component is canceled.
AutoOCO Order
>> 2/27/2013 11:00:01 AM [FIXNEWORDERLIST] 34=42|49=T4Test|56=test|50=Ernesto|52=20130227-17:00:01.911|66=fnl-634975596019116300|433=1|1385=2|1=ernesto|48=CME_20130300_ESH3|55=ES|207=CME_Eq|167=FUT|68=3|11=auto-1-634975596019116300|54=1|38=1|40=2|59=0|21=2|60=20130227-17:00:01.911|204=0|10101=149700|11=auto-2-634975596019116300|54=2|38=0|40=2|44=50|59=0|21=2|60=20130227-17:00:01.911|204=0|10102=1|11=auto-3-634975596019116300|54=2|38=0|40=3|99=-25|59=0|21=2|60=20130227-17:00:01.911|204=0|10102=1|
[FIXNEWORDERLIST]
[MsgSeqNum] 34 = 42
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SenderSubID] 50 = Ernesto
[SendingTime] 52 = 20130227-17:00:01.911
[ListID] 66 = fnl-634975596019116300
[ListExecInstType] 433 = 1 (IMMEDIATE)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[Account] 1 = ernesto
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[SecurityType] 167 = FUT (FUTURE)
[TotNoOrders] 68 = 3
[ClOrdID] 11 = auto-1-634975596019116300
[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 = 20130227-17:00:01.911
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TriggerPrice] 10101 = 149700
[ClOrdID] 11 = auto-2-634975596019116300
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 50
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130227-17:00:01.911
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)
[ClOrdID] 11 = auto-3-634975596019116300
[Side] 54 = 2 (SELL)
[OrderQty] 38 = 0
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = -25
[TimeInForce] 59 = 0 (DAY)
[HandlInst] 21 = 2 (AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)
[TransactTime] 60 = 20130227-17:00:01.911
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ActivationType] 10102 = 1 (IMMEDIATE)
AutoOCO Order Response - Limit Component of OCO Suspended - Activation Pending
<< 2/27/2013 11:00:01 AM [fixexecutionreport] 34=836|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:01.927|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=0.634975596045118750.2.4.BF7AF45F|150=9|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=50|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130227-17:00:04.515|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 836
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:01.927
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 0.634975596045118750.2.4.BF7AF45F
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 50
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130227-17:00:04.515
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Stop Component of OCO Suspended - Activation Pending
<< 2/27/2013 11:00:02 AM [fixexecutionreport] 34=837|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:01.927|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=0.634975596045118750.2.4.AA859660|150=9|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=-25|58=Activation Pending: SubmissionRiskSuccess. Order Held|60=20130227-17:00:04.519|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 837
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:01.927
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 0.634975596045118750.2.4.AA859660
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = -25
[Text] 58 = Activation Pending: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130227-17:00:04.519
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Trigger Component is Working
<< 2/27/2013 11:00:02 AM [fixexecutionreport] 34=838|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:01.974|143=US,IL|1=ernesto|11=auto-1-634975596019116300|17=48064.6420809843_ESH3.6349755960529100006.1.75BB31E2|150=0|37=75BB31E2-038E-4C4B-9BFD-7CF13CEFE688|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=149700|60=20130227-17:00:05.291|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 838
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:01.974
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-1-634975596019116300
[ExecID] 17 = 48064.6420809843_ESH3.6349755960529100006.1.75BB31E2
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 75BB31E2-038E-4C4B-9BFD-7CF13CEFE688
[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 = 149700
[TransactTime] 60 = 20130227-17:00:05.291
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Trigger Component is Filled
<< 2/27/2013 11:00:58 AM [fixexecutionreport] 34=1309|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:58.742|143=US,IL|1=ernesto|11=auto-1-634975596019116300|17=64205:2089866TN0028363.63497559662081000021.2.75BB31E2|150=F|37=75BB31E2-038E-4C4B-9BFD-7CF13CEFE688|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=149700|31=149700|32=1|14=1|151=0|60=20130227-17:01:01.340|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1309
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:58.742
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-1-634975596019116300
[ExecID] 17 = 64205:2089866TN0028363.63497559662081000021.2.75BB31E2
[ExecType] 150 = F
[OrderID] 37 = 75BB31E2-038E-4C4B-9BFD-7CF13CEFE688
[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 = 149700
[LastPx] 31 = 149700
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130227-17:01:01.340
[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 = 149700
AutoOCO Order Response - Limit Component of OCO Passed Risk Assessment for Activation
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1313|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:58.992|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=0.634975596615900000.2.4.BF7AF45F|150=9|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130227-17:00:04.515|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1313
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:58.992
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 0.634975596615900000.2.4.BF7AF45F
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130227-17:00:04.515
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Stop Component of OCO Passed Risk Assessment for Activation
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1314|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.007|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=0.634975596615900000.2.4.AA859660|150=9|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=149675|58=AutoOCO Activated: SubmissionRiskSuccess. Order Held|60=20130227-17:00:04.519|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1314
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.007
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 0.634975596615900000.2.4.AA859660
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = 149675
[Text] 58 = AutoOCO Activated: SubmissionRiskSuccess. Order Held
[TransactTime] 60 = 20130227-17:00:04.519
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange)
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1315|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.038|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=48065..04.4.BF7AF45F|150=9|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|58=AutoOCO Activated|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1315
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.038
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 48065..04.4.BF7AF45F
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[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 = 149700
AutoOCO Order Response - Limit Component of OCO Activated (Sent to the exchange)
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1317|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.179|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=48066..04.4.AA859660|150=9|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=149675|58=AutoOCO Activated|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1317
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.179
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 48066..04.4.AA859660
[ExecType] 150 = 9 (SUSPENDED)
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = 149675
[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 = 149700
AutoOCO Order Response - Limit Component of OCO Working
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1318|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.194|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=48065.6420812757_ESH3.6349755966235100006.1.BF7AF45F|150=0|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|60=20130227-17:01:02.351|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1318
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.194
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 48065.6420812757_ESH3.6349755966235100006.1.BF7AF45F
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[TransactTime] 60 = 20130227-17:01:02.351
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Stop Component of OCO Working
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1320|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.210|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=48066.6420812758_ESH3.6349755966235900006.1.AA859660|150=0|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=149675|60=20130227-17:01:02.359|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1320
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.210
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 48066.6420812758_ESH3.6349755966235900006.1.AA859660
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = 149675
[TransactTime] 60 = 20130227-17:01:02.359
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Stop Component of OCO Triggered
<< 2/27/2013 11:00:59 AM [fixexecutionreport] 34=1325|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.803|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=48066.6420812758_ESH3.6349755966309900006.1.AA859660|150=0|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=149375|60=20130227-17:01:03.099|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1325
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.803
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 48066.6420812758_ESH3.6349755966309900006.1.AA859660
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = 149375
[TransactTime] 60 = 20130227-17:01:03.099
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Stop Component of OCO Filled
<< 2/27/2013 11:01:00 AM [fixexecutionreport] 34=1328|49=test|56=T4Test|50=T4FIX|52=20130227-17:00:59.974|143=US,IL|1=ernesto|11=auto-3-634975596019116300|17=64205:2089994TN0028379.63497559663099000021.2.AA859660|150=F|37=AA859660-6E9A-47D4-938E-9FC842E34613|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=149375|31=149600|32=1|14=1|151=0|60=20130227-17:01:02.574|21=1|204=0|337=TRADE|375=CME000A|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1328
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:00:59.974
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-3-634975596019116300
[ExecID] 17 = 64205:2089994TN0028379.63497559663099000021.2.AA859660
[ExecType] 150 = F
[OrderID] 37 = AA859660-6E9A-47D4-938E-9FC842E34613
[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 = 149375
[LastPx] 31 = 149600
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130227-17:01:02.574
[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 = 149700
AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Passed Risk Assessment
<< 2/27/2013 11:01:00 AM [fixexecutionreport] 34=1329|49=test|56=T4Test|50=T4FIX|52=20130227-17:01:00.006|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=48065.6420812757_ESH3.63497559662351000014.1.BF7AF45F|150=6|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|58=AutoOCO Pull: PullRiskSuccess. Pull passed risk management|60=20130227-17:00:04.515|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1329
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:01:00.006
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 48065.6420812757_ESH3.63497559662351000014.1.BF7AF45F
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[Text] 58 = AutoOCO Pull: PullRiskSuccess. Pull passed risk management
[TransactTime] 60 = 20130227-17:00:04.515
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Limit Component of OCO Pending Cancellation - Cancellation Submitted to the Exchange
<< 2/27/2013 11:01:00 AM [fixexecutionreport] 34=1331|49=test|56=T4Test|50=T4FIX|52=20130227-17:01:00.006|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=48067.6420812757_ESH3.63497559662351000016.1.BF7AF45F|150=6|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|58=AutoOCO Pull|60=20130227-17:01:02.351|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1331
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:01:00.006
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 48067.6420812757_ESH3.63497559662351000016.1.BF7AF45F
[ExecType] 150 = 6 (PENDING_CANCEL)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[Text] 58 = AutoOCO Pull
[TransactTime] 60 = 20130227-17:01:02.351
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
AutoOCO Order Response - Limit Component of OCO Cancelled
<< 2/27/2013 11:01:00 AM [fixexecutionreport] 34=1332|49=test|56=T4Test|50=T4FIX|52=20130227-17:01:00.021|143=US,IL|1=ernesto|11=auto-2-634975596019116300|17=48067.6420812757_ESH3.63497559663351000018.2.BF7AF45F|150=4|37=BF7AF45F-7AB6-4238-BDCD-3FC729493AA1|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=149750|60=20130227-17:01:03.351|21=1|204=0|1385=2|10101=149700|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 1332
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130227-17:01:00.021
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = auto-2-634975596019116300
[ExecID] 17 = 48067.6420812757_ESH3.63497559663351000018.2.BF7AF45F
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = BF7AF45F-7AB6-4238-BDCD-3FC729493AA1
[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 = 149750
[TransactTime] 60 = 20130227-17:01:03.351
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 149700
Further details on the tags used for this order type are described in the dictionary of the
New Order List message.