Page History: Complete Volume Order
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Page Revision: 2013/02/22 18:40
A Complete Volume order (also known as Fill Or Kill or FOK) is submitted to the exchange and it is either filled completely or cancelled immediately.
A Complete Volume Order is entered with the
New Order Single (Tag 35=D) message. Following are the most relevant tags to build a Complete Volume Order.
| Tag 59 | TimeInForce | Time In Force specifier of Fill or Kill (Complete Volume) |
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| Tag 48 | SecurityID | Market for which the order is sent |
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| Tag 55 | Symbol | Contract for which the order is sent |
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| Tag 200 | SecurityExchange | Exchange for which the order is sent |
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| Tag 167 | SecurityType | Security Type (e.g. Futures) of this specific market |
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SampleIn this example, a 3-lot FOK order is submitted for a limit price (Tag 44) of 149725 or better. As it is a buy order, a better price indicates a price lower than 149725.
Limit Order
>> 2/22/2013 6:30:46 PM [FIXNEWORDER] 34=167|49=T4Test|56=test|50=Ernesto|52=20130223-00:30:46.457|1=ernesto|11=fn-634971546464574324|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=3|40=2|44=149200|59=4|167=FUT|21=1|60=20130223-00:30:46.457|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 167
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SenderSubID] 50 = Ernesto
[SendingTime] 52 = 20130223-00:30:46.457
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634971546464574324
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 3
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149200
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130223-00:30:46.457
[CustomerOrFirm] 204 = 0 (CUSTOMER)
Limit Order Response
<< 2/22/2013 6:30:46 PM [fixexecutionreport] 34=237|49=test|56=T4Test|50=T4FIX|52=20130223-00:30:46.473|143=US,IL|1=ernesto|11=fn-634971546464574324|17=0.634971546479081250.3.3.CC7A0BF5|150=8|37=CC7A0BF5-52D7-406F-ACE0-B0FA4819F659|39=8|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=4|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=3|40=2|44=149200|58=Failed to send to any executing group login|60=20130223-00:30:47.908|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 237
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130223-00:30:46.473
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634971546464574324
[ExecID] 17 = 0.634971546479081250.3.3.CC7A0BF5
[ExecType] 150 = 8 (REJECTED)
[OrderID] 37 = CC7A0BF5-52D7-406F-ACE0-B0FA4819F659
[OrdStatus] 39 = 8 (REJECTED)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 3
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 149200
[Text] 58 = Failed to send to any executing group login
[TransactTime] 60 = 20130223-00:30:47.908
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
Further details on the tags used for this order type are described in the dictionary of the
New Order Single message.