FIX messages contain data relevant to the data packet, message, and machine.
Every message sent between a FIX client and TT FIX includes the following parts:
The <FillsGrp> specifies the partial fills included in an Execution Report (8).
Click the links below to navigate to the documentation for that tag.
When sending the instrument component block in a FIX client request, you can specify the instrument in any of the following methods:
You can use the security ID method for all cases. Instead of including the entire instrument block when communicating with TT FIX, client applications can use Tag 48 (SecurityID) and Tag 55 (Symbol).
You can only use the security Alt ID method for contracts for which the exchange populates Tag 455 (SecurityAltID). For those exchanges that support alternate security ID (sometimes called aliases), client applications can use Tag 455 (SecurityAltID) to specify its alternate security ID. As instruments on different exchanges can share the same value for SecurityAltID, including SecurityExchange creates a unique identifier for each instrument.
You can use the security name method for all contracts on all exchanges with the following exceptions. Note that you cannot use the security name method for ICE contracts that use daily, weekly, variable, and undefined delivery terms. You can also identify instruments by specifying its name and characteristics. You might use this method if your application or business practices do not use security IDs.
When the TT FIX returns an instrument component block in a response, it includes tags that provide additional information about the instrument.
The <LegFillsGrp> specifies the partial leg fills included in an Execution Report (8) when connected to a TT FIX 4.4 session.
Click the links below to navigate to the documentation for that tag.
The <LegInstrumentGrp> component block uses the same structure as the instrument component block sent from FIX clients to TT FIX Order Router, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).
Click the links below to navigate to the documentation for that tag.
The LegSecurityAltIDGrp group is used to identify a number alternate security identifiers for an instrument leg.
Click the links below to navigate to the documentation for that tag.
The OrderAttributeGrp group is used to identify order-specific attributes.
Click the links below to navigate to the documentation for that tag.
The Parties group is used to identify and convey information about the entities involved in the financial transaction associated with this FIX message.
Click the links below to navigate to the documentation for that tag.
The Score Parameters group is used to identify and convey information about the TT Trade Surveillance trade surveillance tool.
Click the links below to navigate to the documentation for that tag.
The SecurityAltIDGrp group is used to identify a number alternate security identifiers for an instrument in an Instrument block in response messages.
Click the links below to navigate to the documentation for that tag.
The <StrategyParametersGrp> repeating group contains the parameters and values used by the following synthetic orders and free-form text fields:
The repeating group is used to specify the name, data type and value of every parameter or field required by a synthetic order or free-form text field.
If you want to submit orders and receive updates for TT order type orders,
you must use specific parameters that correspond to the parameters
necessary for the selected TT order type. See
TT order types
in the Trade application help for more details about these orders.
When a TT Order Type order is launched, only certain order parameters can
be modified on the working parent synthetic order:
Note: All TT Order Types must contain the following
StrategyParameterName (tag 958) values in the StrategyParameters repeating
group, along with their corresponding types (tag 959) and values (tag
960):
Based on which TT order type you use, you would include a subset of
supported field names to provide the algo
parameters.
TT Bracket orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. BracketStopLimitOffset
Number of ticks away from the Stop price to submit a Limit order. OcoStopTriggerPrice
Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 958 (StrategyParametername) is: TT_OCO. Unused, otherwise. ProfitTarget
Initial price for the profit order in the OCO pair, as follows:
StopLimitOffset
Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered. StopTarget
Initial price for the stop loss order in the OCO pair, as follows:
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LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). TTStopIsTrlTrigger
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopLimitPriceType
Type of price to use to the TT Stop child order Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopPayup
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggeredOrderPrice
Price for the TT Stop child Limit order. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggeredOrderType
Type of order to submit when triggered. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerLTPReset
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerPriceType
Type of trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerQty
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerQtyCompare
Test to use when comparing TT Stop order trigger quantities. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerQtyType
Type of quantity trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopTriggerTicksAway
Number of ticks away from the specified price to submit the child orders of the TT Stop order Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopWithATick
Threshold for the With A Tick behavior that reprices the order one tick toward the market when available quantity at the opposite inside market is at or below the specified quantity threshold Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). TTStopWithATickType
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
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Sample block:
957=8| 958=Algo Name|959=14|960=TT_BRACKET| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=BracketOrderType|959=1|960=0| 958=ProfitTarget|959=1|960=5| 958=StopTarget|959=1|960=5| 958=StopOrderType|959=1|960=1| 958=StopLimitOffset|959=1|960=5|
For the FIXatdl definition,
see TT_Bracket.xml.
TT Iceberg orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. DiscVal
Amount of the total order quantity to disclose (1 to maxint) DiscValType
What the DiscVal represents Possible values include:
|
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). Variance
Percentage (0-100) by which to vary the child order quantity. WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample StrategyParametersGrp group:
957=5| 958=Algo Name|959=14|960=TT_Iceberg| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=DiscVal|959=7|960=10| 958=DiscValType|959=1|960=1|
For the FIXatdl definition,
see TT_Iceberg.xml.
TT If-Touched orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. TriggerPriceType
Type of order trigger. Possible values include:
|
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample StrategyParametersGrp group:
957=5| 958=Algo Name|959=14|960=TT_If_Touched| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=TriggerPriceType|959=1|960=3| 958=TriggerTicksAway|959=1|960=1|
For the FIXatdl definition,
see TT_IfTouched.xml.
TT OCO orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. OcoStopTriggerPrice
Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 958 (StrategyParametername) is: TT_OCO. Unused, otherwise. |
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
957=7| 958=Algo Name|959=14|960=TT_OCO| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=StopLimitOffset|959=1|960=5| 958=StopOrderType|959=1|960=1| 958=OcoStopTriggerPrice|959=7|960=9951.000000| 958=STime|959=19|960=20160506-14:00:00|
For the FIXatdl definition,
see TT_OCO.xml.
TT Retry orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. RetryCount
Number of times (0-32,000) to resend a rejected order RetryInterval
Number of milliseconds (0-100,000) between retry attempts EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. |
ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
957=4| 958=Algo Name|959=14|960=TT_Retry| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=RetryInterval|959=1|960=100| 958=RetryCount|959=1|960=200| 958=STime|959=19|960=20160506-14:00:00|
For the FIXatdl definition,
see TT_Retry.xml.
TT Stop orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. TriggerPriceType
Type of order trigger. Possible values include:
|
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
9957=6| 958=Algo Name|959=14|960=TT_Stop| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=1| 958=TriggerPriceType|959=1|960=3| 958=LimitTicksAway|959=1|960=2| 958=LimitPriceType|959=1|960=3|
For the FIXatdl definition,
see TT_Retry.xml.
TT Time Duration orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. Of the following tags, you must enter (DiscVal AND DiscValType) OR Interval DiscVal
Amount of the total order quantity to disclose (1 to maxint) DiscValType
What the DiscVal represents Possible values include:
Interval
Length of the slice, in milliseconds Of the following tags, you must enter (Duration AND DurationBaseUnit) OR (DurationSTime AND DurationETime) Duration
Number of time units between each disclosed order portion of a TT Time Duration order. DurationBaseUnit
Time unit to use for the duration of a TT Time Duration order. Possible values include:
DurationSTime
Time to start submitting child orders of a TT Time Duration order. DurationETime
Time to stop submitting child orders of a TT Time Duration order. LeftoverAction
How to handle any existing unfilled order quantities when it is time to send the next portion.
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LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
LeftoverTicks
Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order. Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry. TriggerPriceType
Type of order trigger. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). Variance
Percentage (0-100) by which to vary the child order quantity. WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
957=9| 958=Algo Name|959=14|960=TT_Time_Duration| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=DiscVal|959=1|960=10| 958=DiscValType|959=1|960=1| 958=DurationBaseUnit|959=1|960=1| 958=Duration|959=1|960=1| 958=LimitPriceType|959=1|960=3| 958=LimitTicksAway|959=1|960=1| 958=Variance|959=1|960=1
For the FIXatdl definition,
see TT_TimeDuration.xml.
TT Time Sliced orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. DiscVal
Amount of the total order quantity to disclose (1 to maxint) DiscValType
What the DiscVal represents Possible values include:
Interval
Length of the slice, in milliseconds LeftoverAction
How to handle any existing unfilled order quantities when it is time to send the next portion.
|
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
LeftoverTicks
Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order. Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry. TriggerPriceType
Type of order trigger. Possible values include:
TriggerTicksAway
Number of ticks away from the specified price to submit the child order IsTrlTrg
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). Variance
Percentage (0-100) by which to vary the child order quantity. WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
957=9| 958=Algo Name|959=14|960=TT_Time_Sliced| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=DiscVal|959=1|960=10| 958=DiscValType|959=1|960=1| 958=Interval|959=1|960=120000| 958=IsTrlTrg|959=13|960=Y| 958=TriggerType|959=1|960=2| 958=TriggerPriceType|959=1|960=3|
For the FIXatdl definition,
see TT_TimeSliced.xml.
TT Timed orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. |
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
957=4| 958=Algo Name|959=14|960=TT_Timed| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=STime|959=19|960=20160506-14:00:00|
For the FIXatdl definition,
see TT_Timed.xml.
TT Trailing Limit
orders support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
|
EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
957=7| 958=Algo Name|959=14|960=TT_Trailing_Limit| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=LimitPriceType|959=1|960=3| 958=LimitTicksAway|959=1|960=2| 958=ETime|959=19|960=20160506-11:00:00| 958=ETimeAct|959=1|960=1|
For the FIXatdl definition,
see TT_TrailingLimit.xml.
TT Time Weighted
Average Price orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. Of the following tags, you must enter (Duration AND DurationBaseUnit) OR (DurationSTime AND DurationETime) Duration
Number of time units between each disclosed order portion of a TT Time Duration order. DurationBaseUnit
Time unit to use for the duration of a TT Time Duration order. Possible values include:
DurationSTime
Time to start submitting child orders of a TT Time Duration order. DurationETime
Time to stop submitting child orders of a TT Time Duration order. MaxDisp
The maximum size of a child order lot in relation to the total parent order quantity. TwapStyle
Defines how the algorithm lays out the slices and execution options.
|
WouldIfPrc
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible. LimitPrc
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling). |
Sample block:
957=7| 958=Algo Name|959=14|960=TT_TWAP| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=DurationBaseUnit|959=1|960=1| 958=Duration|959=1|960=1| 958=MaxDisp|959=1|960=1| 958=TWAPStyle|959=1|960=1|
For the FIXatdl
definition, see TT_TWAP.xml.
TT With a Tick orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
AlgoName
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator. Required when this repeating group represents an algo AlgoType
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| entry ChildTIF
Time-in-Force for the algo child orders Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. WithATick
With-a-Tick threshold quantity. WithATickType
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
LimitTicksAway
Number of ticks away from the specified limit price to submit the order (-999 to 999) LimitPriceType
Type of price for the ticks away offset. Possible values include:
EffectiveTime
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. ETimeAct
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). ExpireTime
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
957=6| 958=Algo Name|959=14|960=TT_With_A_Tick| 958=Algo Type|959=1|960=1| 958=ChildTIF|959=14|960=2| 958=WithATickType|959=1|960=1| 958=WithATick|959=1|960=100| 958=STime|959=19|960=20160506-14:00:00|
For the FIXatdl definition,
see TT_WithATick.xml.
You also use the <StrategyParametersGrp> repeating group to specify
parameters for Autospreader and Aggregator orders. The
NoStrategyParameters (tag 957) should always be 1 for these orders.
Sample repeating group:
957=1| 958=Spread Name|959=14|960=ZB Calendar|
Sample repeating group:
957=1| 958=Aggregator Name|959=14|960=Gold Aggregated|
When creating the repeating group for a custom algo, such as one created
through ADL, you must specify the same algo name as defined by the algo
creator and must identify the algo type as custom (960=0). You also need
to provide all of the user parameters defined for the algo. For a
third-party algo, you must identify the algo type as third party (960=3)
and contact the algo provider to get the algo name and the required
parameters.
Note: All algos must contain the following
StrategyParameterName (tag 958) values in the StrategyParameters
repeating group, along with their corresponding types (tag 959) and
values (tag 960):
Sample repeating group:
957=6| 958=Algo Name|959=14|960=LimitWithOffset| 958=Algo Type|959=1|960=0| 958=ChildTIF|959=14|960=2| 958=LimitType|959=1|960=3| 958=EntryOffset|959=1|960=3| 958=ExitOffset|959=1|960=1|
Free-form text fields allow you to include extra information with an order
than persists throughout the life of the order. TT reserves three
StrategyParamName values that correspond to the free-form text fields
available in TT widgets, such as an
Order Ticket.
Note: You can also include these free-form text fields as
part of the repeating group for an algo.
| StrategyParameterName (958) | StrategyParameterType (959) | StrategyParameterValue (960) |
|---|---|---|
| Text A | String |
Value corresponding to the Text A field in TT widgets |
| Text B | String |
Value corresponding to the Text B field in TT widgets |
| Text C | String | Customer-defined text field not sent to exchange |
| Text TT | String |
Value corresponding to the Text TT field in TT widgets |
| custom-parameter-name | String | Value for the user-defined field |
Sample repeating group:
957=2| 958=Text A|959=14|960=Trading group 1234| 958=Text TT|959=14|960=Flattening my position|
The following table provides a reference for the tag values you must
specify for each of the TT Order Type parameters.
| StrategyParameterName (958) | StrategyParameterType (959) | StrategyParameterValue (960) |
|---|---|---|
| Aggregator Name | String |
Name of the aggregator as defined in the Aggregator Manager |
| Algo Name | String |
Name of the TT order type For TT order types, possible values include:
For custom algos, the name must match the one specified by the Required when this repeating group represents an algo |
| Algo Type | int |
Source of the algo Possible values include:
Required when this repeating group contains a |958=Algo Name| |
| AutoResubExpiredGTD | Boolean |
If any child orders are not completely filled by the session Possible values include:
|
| BracketOrderType | int |
Order type for the parent order Possible values include:
|
| BracketStopLimitOffset | int |
Number of ticks away from the Stop price to submit a Limit order. |
| ChildTIF | char |
Time-in-Force for the algo child orders Possible values include: Possible values include:
Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.
Required when this repeating group contains a |958=Algo Name| |
| DiscVal | int |
Amount of the total order quantity to disclose (1 to maxint) |
| DiscValType | int |
What the DiscVal represents Possible values include:
|
| Duration | int |
Number of time units between each disclosed order portion of a TT |
| DurationBaseUnit | int |
Time unit to use for the duration of a TT Time Duration order. Possible values include:
|
| DurationSTime | UTC_Timestamp |
Time to start submitting child orders of a TT Time Duration order. |
| DurationETime | UTC_Timestamp |
Time to stop submitting child orders of a TT Time Duration order. |
| ETAGoToMktTicks | int |
Number of ticks into the market to submit an order for the |
| ETime | UTC_Timestamp |
Time to stop working the order.
Note: Omit the tag to work the order until the |
| ETimeAct | int |
Action to take for any unfilled balance when the End time is |
| Interval | int |
Length of the slice, in milliseconds |
| IsTrlTrg | Boolean |
Indicates whether the trigger price trails the trigger price type Possible values include: Y or N. |
| LeftoverAction | int |
How to handle any existing unfilled order quantities when it is
|
| LeftoverTicks | int |
Number of ticks to add or subtract from your Bid or Offer to
Required when the repeating group contains a 958=LeftOverAction |
| LeftoverTimeAction | int |
When to execute the LeftoverAction for an order interval. Possible values include:
|
| LimitPrc | price |
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling). |
| LimitPriceType | int |
Type of price for the ticks away offset. Possible values include:
|
| LimitTicksAway | int |
Number of ticks away from the specified limit price to submit the |
| MaxDisp | int |
The maximum size of a child order lot in relation to the total parent order quantity. |
| OcoStopTriggerPrice | int |
Price at which to trigger the Stop Market or Stop Limit order. |
| Payup | int |
Number of ticks from the specified price to submit the Limit order |
| ParentTIF | int |
Time-in-force of a parent synthetic order. Possible values include:
Note: If this value is omitted, the value of tag |
| ProfitTarget | int |
Initial price for the profit order in the OCO pair, as follows:
|
| RetryCount | int |
Number of times (0-32,000) to resend a rejected order |
| RetryInterval | int |
Number of milliseconds (0-100,000) between retry attempts |
| SpreadName | String |
Name of the spread as defined in the Autospreader widget. |
| STime | UTC_Timestamp |
Time to start working the order.
Note: Omit the tag to start working the order |
| StopLimitOffset | int |
Number of ticks away from the Stop price to submit a Limit order |
| StopOrderType | int |
Order type of the stop-loss order. Possible values include:
|
| StopTarget | int |
Initial price for the stop loss order in the OCO pair, as follows:
|
| TriggerLTPReset | int |
Whether to reset the trade quantity counter back to zero, if the Possible values include:
|
| TriggerPriceType | int |
Type of order trigger. Possible values include:
|
| TriggerQty | int |
Quantity of the secondary trigger condition based on the executed |
| TriggerQtyCompare | int |
Test to use when comparing trigger quantities. Possible values
|
| TriggerQtyType | int |
Type of quantity trigger. Possible values include:
|
| TriggerType | int |
Price at which to trigger the order. Possible values include:
|
| TriggerTicksAway | int |
Number of ticks away from the specified price to submit the child |
| TTStopIsTrlTrigger | Boolean |
Whether the TT Stop order trigger price trails the trigger price Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopLimitPriceType | int |
Type of price to use to the TT Stop child order Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopPayup | int |
Number of ticks from the specified price to submit the Limit Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopSecondConditionIsOn | Boolean |
Whether to require a secondary condition before triggering an Possible values include:
|
| TTStopSecondConditionIsTrlTrg | Boolean |
Type of trigger for the second contion of at TT Stop or TT Possible values include:
|
| TTStopSecondTriggerPriceType | int |
Type of trigger for the second contion of at TT Stop or TT Possible values include:
|
| TTStopSecondTriggerQty | int |
Quantity of the secondary trigger condition based on the executed |
| TTStopSecondTriggerQtyCompare | int |
Test to use when comparing trigger quantities. Possible values Possible values include:
|
| TTStopSecondTriggerQtyType | int |
Type of quantity trigger for the secondary condition. Possible values include:
|
| TTStopSecondTriggerTicksAway | int |
Number of ticks from the specified price to submit the child |
| TTStopTriggeredOrderPrice | Price |
Price for the TT Stop child Limit order. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggeredOrderType | int |
Type of order to submit when triggered. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerLTPReset | Boolean |
Whether to reset the trade quantity counter back to zero, if the Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerPriceType | int |
Type of trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerQty | int |
Quantity of the secondary trigger condition based on the executed Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerQtyCompare | int |
Test to use when comparing TT Stop order trigger quantities. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerQtyType | int |
Type of quantity trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopTriggerTicksAway | int |
Number of ticks away from the specified price to submit the child Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopWithATick | int |
Threshold for the With A Tick behavior that reprices the order one Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TTStopWithATickType | int |
Type of quantity to use for the With A Tick type specified in tag Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). |
| TWAPStyle | int |
Defines how the algorithm lays out the slices and execution options: Defines how the algorithm lays out the slices and execution options.
|
| Variance | int |
Percentage (0-100) by which to vary the child order quantity. |
| WaitingOption | int |
When to start working the parent order. Possible values include:
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). |
| WithATick | int |
WAT threshold quantity. |
| WithATickType | int |
Whether the WAT threshold represents a specific quantity or a Possible values include:
|
| WouldIfPrc | price |
Desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and |
| custom-parameter-name | Varies |
Value of the custom parameter
You must ensure that the value matches the specified data type for |
The <TargetStrategy> component block provides an alternative to using the StrategyParametersGrp repeating group to specify TT Order
types in the following messages:
Notes:
The following order parameters can be modified on a working TT Synthetic order:
The following sections show the supported TT Order types use the tags within the TargetStrategy component
block. For each TT Order type, the required and optional tags are listed. Other tags are unused by the
selected TT Order type and are ignored if provided.
TT Bracket orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16932 (TTStopIsTrlTrigger)
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16927 (TTStopLimitPriceType)
Type of price to use to the TT Stop child order Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16941 (TTStopPayup)
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16939 (TTStopTriggeredOrderPrice)
Price for the TT Stop child Limit order. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16938 (TTStopTriggeredOrderType)
Type of order to submit when triggered. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16937 (TTStopTriggerLTPReset)
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16931 (TTStopTriggerPriceType)
Type of trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16936 (TTStopTriggerQty)
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask. Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16935 (TTStopTriggerQtyCompare)
Test to use when comparing TT Stop order trigger quantities. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16934 (TTStopTriggerQtyType)
Type of quantity trigger for the TT Stop order. Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16933 (TTStopTriggerTicksAway)
Number of ticks away from the specified price to submit the child orders of the TT Stop order Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16929 (TTStopWithATick)
Threshold for the With A Tick behavior that reprices the order one tick toward the market when available quantity at the opposite inside market is at or below the specified quantity threshold Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16928 (TTStopWithATickType)
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). Possible values include:
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop). 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
16847=TT Bracket| 16848=1| 16903=2| 16901=0| 16914=5| 16917=5| 16916=1| 16915=5|
For the FIXatdl definition,
see TT_Bracket.xml.
TT Iceberg orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance)
Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample TargetStrategy block:
16847=TT_Iceberg| 16848=1| 16903=2| 16904=10| 16905=1|
For the FIXatdl definition,
see TT_Iceberg.xml.
TT If-Touched orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample TargetStrategy block:
16847=TT_If_Touched| 16848=1| 16903=2| 16918=3| 16919=1|
For the FIXatdl definition,
see TT_IfTouched.xml.
TT OCO orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
16847=TT_OCO| 16848=1| 16903=2| 16915=5| 16916=1| 16913=9951.000000| 168=20160506-14:00:00|
For the FIXatdl definition,
see TT_OCO.xml.
TT Retry orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
16847=TT_Retry| 16848=1| 16903=1| 16943=100| 16942=200| 168=20160506-14:00:00|
For the FIXatdl definition,
see TT_Retry.xml.
TT Stop orders rsupport the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
16847=TT_Stop| 16848=1| 16903=1| 16918=3| 16912=2| 16911=3|
For the FIXatdl definition,
see TT_Stop.xml.
TT Time Duration orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16910 (LeftoverTicks)
Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order. Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry. 16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16918 (TriggerPriceType)
Type of order trigger. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance)
Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
6847=TT_Time_Duration| 16848=1| 16903=2| 16904=10| 16905=1| 16907=120000| 16909=0| 16911=3| 16912=1| 16945=1| 16944=1|
For the FIXatdl definition,
see TT_TimeDuration.xml.
TT Time Sliced orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
16910 (LeftoverTicks)
Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order. Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry. 16920 (TriggerType)
Price at which to trigger the order. Possible values include:
16918 (TriggerPriceType)
Type of order trigger. Possible values include:
16919 (TriggerTicksAway)
Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg)
Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance)
Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
16847=TT_Time_Sliced| 16848=1| 16903=2| 16904=10| 16905=1| 16907=120000| 16908=Y| 16920=2| 16918=3|
For the FIXatdl definition,
see TT_TimeSliced.xml.
TT Timed orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick)
With-a-Tick threshold quantity. 16921 (WithATickType)
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include:
|
Sample block:
16847=TT_Timed| 16848=1| 16903=2| 168=20160506-14:00:00|
For the FIXatdl definition,
see TT_Timed.xml.
TT Trailing Limit
orders support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
16847=TT_Trailing_Limit| 16848=1| 16903=2| 16911=3| 16912=2| 126=20160506-11:00:00| 16906=1|
For the FIXatdl definition,
see TT_TrailingLimit.xml.
TT Time Weighted
Average Price orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
17009 (WouldIfPrc)
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible. 17010 (LimitPrc)
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling). |
Sample block:
16847=TT_TWAP| 16848=1| 16903=2| 16944=1| 16945=1| 17007=10| 17008=1|
For the FIXatdl
definition, see TT_TWAP.xml.
TT With a Tick orders
support the following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
16912 (LimitTicksAway)
Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType)
Type of price for the ticks away offset. Possible values include:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). |
Sample block:
16847=TT_With_A_Tick| 16848=1| 16903=2| 16921=1| 16922=100| 126=20160506-11:00:00|
For the FIXatdl definition,
see TT_WithATick.xml.
Click the links below to navigate to the documentation for that tag.
The <TargetStrategy> component block provides an alternative to using the StrategyParametersGrp repeating group to specify TT
Premium Order
types in the following messages:
Notes:
The following sections show the supported TT Premium Order types use the tags within the TargetStrategy
component
block. For each TT Premium Order type, the required and optional tags are listed. Other tags are unused by
the
selected TT Premium Order type and are ignored if provided.
TT Brisk orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9103 (MaxParticipation)
Maximum Participation with relation to the eligible volume. 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9112 (TiltMode)
Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule Possible values include:
9145 (Tracking)
Allows trader to select between trend following and reversionary behavior. Supported values include:
9115 (BriskLimitMode)
Specifies whether the order should get more aggressive when opposite side quote price is at the limit price. This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the Possible values include:
9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price 9302 (DynamicEndTime)Note: The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets For TT Close orders Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times. For TT Brisk orders Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times. 9203 (EndTimeOverride)
Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values include:
|
TT Close orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9103 (MaxParticipation)
Maximum Participation with relation to the eligible volume. 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9112 (TiltMode)
Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule Possible values include:
9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price 9302 (DynamicEndTime)Note: The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets For TT Close orders Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times. For TT Brisk orders Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times. 9203 (EndTimeOverride)
Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values include:
|
TT POV orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
40 (OrdType)
Sets the order type for the parent order. Possible values for TT Premium Order /Types include:
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9117 (BlockLimit)
When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000. 9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9219 (CleanupPct)
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price 9203 (EndTimeOverride)
Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values include:
|
TT Prowler orders support the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9211 (MinShow)
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or 9212 (PassivePriceLevel)
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No
Note: Required when Num Post Levels is changed from the default value. 9213 (NumPostLevels)
Specifies the number of price levels at which to post child orders when pegging. When Passive Price Levels is set, additional resting orders may be set at subsequent price Note: Can be set to greater than 0 with Passive Price Level set to No Note: Maximum value is 20. 9214 (AverageDelay)
Sets a random delay, in seconds, between sending new orders or 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9219 (CleanupPct)
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete 9220 (PostTicksApart)
Specifies how many minimum price increments apart to space passive orders resting across Num Post 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9217 (WithATickQty)
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing
The order will cross the spread when aggressive quote size falls to or below the value set by With A 9218 (WithATickQtyPct)
Similar to With A Tick Qty, but expressed as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9222 (TacticalPeg)
If enabled with Passive Price Level not set to No Pegging (0), avoids posting a 9115 (BriskLimitMode)
Specifies whether the order should get more aggressive when opposite side quote price is at the limit price. This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the Possible values include:
9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price 9203 (EndTimeOverride)
Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values include:
|
TT Scale POV orders support
the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9145 (Tracking)
Allows trader to select between trend following and reversionary behavior. Supported values include:
9117 (BlockLimit)
When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000. 9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9219 (CleanupPct)
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price 9203 (EndTimeOverride)
Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values include:
|
TT Splicer
orders support
the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9991 (LegRiskAversion)
Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs. 9992 (HedgeDiscretionTicks)
Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price |
TT TWAP+ orders support
the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9103 (MaxParticipation)
Maximum Participation with relation to the eligible volume. 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price |
TT VWAP+ orders support
the
following required and optional parameters; others are ignored.
| Required | Optional |
16847 (TargetStrategyName)
|
99 (StopPx)
Trigger price for a stop order. Only required when Tag 40 (OrdType) is:
168 (EffectiveTime)
Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 126 (ExpireTime)
Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 9103 (MaxParticipation)
Maximum Participation with relation to the eligible volume. 9111 (Aggression)
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT 9106 (IWouldPrice)
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic. Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking 9215 (IWouldQty)
When set to any value greater than 0, I Would Qty setting equals the minimum top of book 9216 (IWouldQtyPct)
Similar to I Would Qty, but set as a percent of the order quantity. Note : The field represents the number as a percent and should not be submitted as a decimal: a 9225 (IWouldQtyVariancePct)
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in Note: This field represents the number as a percent and should not be submitted For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the 9221 (MaxSpreadCrossTicks)
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide. Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit, 9190 (IfTouchedPrice)
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded 9191 (PostTriggerDuration)
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price |
Click the links below to navigate to the documentation for that tag.
Certain message types include a <Trader> component block, which carries trader and account information.
Certain message types include a <Trader> component block, which carries trader and account information.
The message body contains data specific to the particular message.
Many messages share a common set of tags. For example, all of the order-related messages contain tags that identify the trader and trading account information. To help identify these shared components, TT FIX groups the shared tags into the following groups:
Component blocks can also differ based on the source of the message, whether a request from a FIX client or a response from TT FIX. For example, an instrument component block comprises FIX tags that fully define a product, including its identity, characteristics, and price data. When submitting a request, you need to include only enough tags in the instrument component block to identify uniquely the instrument. When TT FIX sends the response, it includes all of the tags – unlike the request which includes only enough tags to uniquely identify the instrument with the requested information.
Each FIX message can contain zero or more component blocks. The FIX Protocol uses the component blocks as a convenient way to group a set of FIX tags that might appear in multiple messages.
TT FIX supports the following component blocks in a message body:
Every message sent to and received from TT FIX must start with message sender and receiver information, message type, and message size.
Every message sent to and from the TT FIX must end with a message trailer.
