Activation On Market Mode Order

Modified on 2016/05/13 12:28 by ernestoaparcedo — Categorized as: Uncategorized

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 activation 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 activate the order
Tag 48	SecurityID	Market for which the order is sent
Tag 55	Symbol	Contract for which the order is sent
Tag 207	SecurityExchange	Exchange for which the order is sent
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 activation by the trigger of 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

Activation Order - Response Awaiting Activation

<< 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.