Complete Volume Order

Modified on 2016/05/13 12:31 by ernestoaparcedo — Categorized as: Uncategorized

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=4	TimeInForce	Time In Force specifier of Fill or Kill (Complete Volume)
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

Sample

In this example, a 10-lot Complete Volume order is submitted for a limit price (Tag 44) of 44000 or better. As it is a buy order, a better price indicates a price lower than 44000.

Complete Volume Order

>> 2/25/2013 2:32:26 PM   [FIXNEWORDER] 34=29|49=T4Example|56=T4|50=Ernesto|52=20130225-20:32:26.505|1=Account1|11=fn-634973995465059974|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|54=1|38=10|40=2|44=44000|59=4|167=FUT|21=1|60=20130225-20:32:26.505|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 29
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130225-20:32:26.505
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973995465059974
[SecurityID] 48 = CBOE_20130300_AAPL1C
[Symbol] 55 = AAPL
[SecurityExchange] 207 = CBOE_SF
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 44000
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130225-20:32:26.505
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Complete Volume Order Response

<< 2/25/2013 2:32:26 PM  [fixexecutionreport] 34=102|49=T4|56=T4Example|50=T4FIX|52=20130225-20:32:26.568|1=Account1|11=fn-634973995465059974|17=9.66040:1836240153.6349739954900000006.1.61E85F9C|150=0|37=61E85F9C-8FD9-4202-8A17-E52B5F2A921B|39=0|48=CBOE_20130300_AAPL1C|55=AAPL|207=CBOE_SF|200=201303|59=4|107=Apple Computer Inc. Mar13 1C|54=1|167=FUT|38=10|40=2|44=44000|60=20130225-20:32:29.000|21=1|204=1|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 102
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-20:32:26.568
[Account] 1 = Account1
[ClOrdID] 11 = fn-634973995465059974
[ExecID] 17 = 9.66040:1836240153.6349739954900000006.1.61E85F9C
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 61E85F9C-8FD9-4202-8A17-E52B5F2A921B
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CBOE_20130300_AAPL1C
[Symbol] 55 = AAPL
[SecurityExchange] 207 = CBOE_SF
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 4 (FILL_OR_KILL)
[SecurityDesc] 107 = Apple Computer Inc. Mar13 1C
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 10
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 44000
[TransactTime] 60 = 20130225-20:32:29.000
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 1 (FIRM)

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