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Page History: MarketIfTouched Order

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Page Revision: 2013/02/25 15:42

A MarketIfTouched Order is submitted to T4 FIX API servers to suspend and await further exchange execution (as a market order) when a trigger price is hit. Once a trade occurs at the trigger price, the T4 FIX API server release the MarketIfTouched order as a Market Order (Tag 40=0) to the exchange.

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

Tag 40=J	OrdType	Specifier of MarketIfTouched Order Type
Tag 44	Price	Trade Price at which the suspended order is sent to the exchange as a market order
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

Sample

In this example, the order is submitted with a trigger price (Tag 44) of 150825, suspended and waiting for the market to hit the trigger price. If the trigger price of 150825 is traded, the suspended order is submitted to the exchange as a market order (Tag 40=0). The market order is subsequently filled.

Market-If-Touched Order

>> 2/25/2013 3:30:16 PM   [FIXNEWORDER] 34=37|49=T4Test|56=test|50=Ernesto|52=20130225-21:30:16.414|1=ernesto|11=fn-634974030164143822|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=J|44=150825|59=0|167=FUT|21=1|60=20130225-21:30:16.414|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 37
[SenderCompID] 49 = T4Test
[TargetCompID] 56 = test
[SenderSubID] 50 = Ernesto
[SendingTime] 52 = 20130225-21:30:16.414
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634974030164143822
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = J (MARKET_IF_TOUCHED)
[Price] 44 = 150825
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130225-21:30:16.414
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order

<< 2/25/2013 3:30:16 PM  [fixexecutionreport] 34=120|49=test|56=T4Test|50=T4FIX|52=20130225-21:30:16.424|143=US,IL|1=ernesto|11=fn-634974030164143822|17=0.634974030189868750.2.1.24CFF6CF|150=A|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=A|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=J|44=150825|58=MIT Awaiting Trigger|60=20130225-21:30:18.986|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 120
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:30:16.424
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 0.634974030189868750.2.1.24CFF6CF
[ExecType] 150 = A (PENDING_NEW)
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[OrdStatus] 39 = A (PENDING_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 = J (MARKET_IF_TOUCHED)
[Price] 44 = 150825
[Text] 58 = MIT Awaiting Trigger
[TransactTime] 60 = 20130225-21:30:18.986
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order

<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=122|49=test|56=T4Test|50=T4FIX|52=20130225-21:31:00.695|143=US,IL|1=ernesto|11=fn-634974030164143822|17=47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF|150=0|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|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=1|60=20130225-21:31:03.332|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 122
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.695
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[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 = 1 (MARKET)
[TransactTime] 60 = 20130225-21:31:03.332
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order

<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=123|49=test|56=T4Test|50=T4FIX|52=20130225-21:31:00.913|143=US,IL|1=ernesto|11=fn-634974030164143822|17=64205:719653TN0041137.63497403063332000021.2.24CFF6CF|150=F|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|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=1|31=150825|32=1|14=1|151=0|60=20130225-21:31:03.471|21=1|204=0|337=TRADE|375=CME000A|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 123
[SenderCompID] 49 = test
[TargetCompID] 56 = T4Test
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.913
[TargetLocationID] 143 = US,IL
[Account] 1 = ernesto
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 64205:719653TN0041137.63497403063332000021.2.24CFF6CF
[ExecType] 150 = F
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[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 = 1 (MARKET)
[LastPx] 31 = 150825
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130225-21:31:03.471
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A

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

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