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Details of the TimeInForce values supported by Whisperer Enterprise for both categories are provided below.
The time in force instruction may optionally be refined by the specification of order activation and expiry times:
- Activation - A specific order activation time may be specified via tag 168/EffectiveTime.
- Expiry - Order expiry may be specified as a specific time via tag 126/ExpireTime, or as a duration via tag 1629/ExposureDuration. The two representations may not be used together.
| Name | Nature | Description | 59/TimeInForce | 168 | TimeInForce | Nature | Colloquial Name | Description | 168./EffectiveTime | 126/ExpireTime | 1629/ExposureDurationIOC |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Aggressive | Immediate or Cancel | Aggressive | The Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'. | IOC | Optional | - | - | FOK | Aggressive|||
| Fill Or Kill | Aggressive | The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. | FOK | Optional | - | - | |||||
| DAY | Resting | Good For Day | Resting | The Order expires automatically on close of the trading day, if it is still unfilled. | DAY | Optional | Optional | Optional | |||
| GTC | Resting | Good 'Til Canceled | Resting | The Order remains active until it is either executed or cancelled. NOTE: Maximum possible duration is one trading week, but is equivalent to DAY for most Venues that reset daily. | GTC | Optional | - | - | GTD | Resting||
| Good 'Til Date | Resting | Order is active until a specified time. TWAP? | GTD | Optional | Mandatory | - | GFT|||||
| Resting | Good For Time | Resting | Order is active for a specified duration. TWAP? | GFT | Optional | - | Mandatory | ||||
| OPNAt Market Open | Resting | At Market OpenOPN | Optional | - | - | ||||||
| CLSAt Market Close | Resting | At Market CloseCLS | Optional | - | - | ||||||
| GFAGood For Auction | Resting | Good For AuctionGFA | Optional | Optional | Optional |
Order Types
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- Market - these are aggressive orders that are instructions to deal immediately at the best possible price. When buying, a market order will be filled at the currently prevailing Offer price; when selling, a market order will be filled at the currently prevailing Bid price.
- Limit - these are resting orders visible to the market - hence the existence of Central Limit Order Book (CLOB) ECNs. they They are instructions to deal if a market moves to a specific (more favourable) price or better. Limit orders remain open until they are either entirely filled, or the client submits an order cancel request, or the order expires.
- Stop - these are resting orders that are not visible to the market and will activate once a specified Stop price has been met.
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