MarketIfTouched Order

Modified on 2016/05/13 12:33 by ernestoaparcedo — Categorized as: Uncategorized

A MarketIfTouched (MIT) Order is submitted to T4 FIX API server to suspend and await subsequent exchange submittal when a trigger price is hit. Once a trade occurs at the trigger price, the T4 FIX API server releases (to the exchange) the MarketIfTouched Order as a Market Order (Tag 40=0).

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

Tag 40=J	OrdType	Specifier of MarketIfTouched Order Type
Tag 44	Price	Trade (Trigger) Price at which the suspended market order is sent to the exchange
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, the order is submitted with a trigger price (Tag 44) of 150825, suspended and waits for the market to hit the trigger price. When 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=T4Example|56=T4|50=TraderName|52=20130225-21:30:16.414|1=Account1|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 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130225-21:30:16.414
[Account] 1 = Account1
[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 - Awaiting Trigger

<< 2/25/2013 3:30:16 PM  [fixexecutionreport] 34=120|49=T4|56=T4Example|50=T4FIX|52=20130225-21:30:16.424|143=US,IL|1=Account1|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 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:30:16.424
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[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 - Triggered and Working

<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=122|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.695|143=US,IL|1=Account1|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 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.695
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[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 - Filled

<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=123|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.913|143=US,IL|1=Account1|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 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.913
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[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.