Page History
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| Name | Nature | Description | 59/TimeInForce | 168/EffectiveTime | 126/ExpireTime | 1629/ExposureDuration |
|---|---|---|---|---|---|---|
| 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 | - | - |
| Fill Or Kill | Aggressive | The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. | FOK | Optional | - | - |
| Good For Auction | Resting | TODO | GFA | Optional | Optional | Optional |
| Good For Day | Resting | The Order expires automatically on close of the trading day, if it is still unfilled. | GFD | Optional | Optional | Optional |
| Good For Time | Resting | Order is active for a specified duration. TODO TWAP? | GFT | Optional | - | Mandatory |
| Good 'Til Date | Resting | Order is active until a specified time. TODO TWAP? | GTD | Optional | Mandatory | - |
| 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 | - | - |
| At Market Open | Resting | TODO | AMO | Optional | - | - |
| At Market Close | Resting | TODO | AMC | Optional | - | - |
Order Types
There are three broad categories of OrderTypeorder type:
- 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 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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Details of the OrderType values supported by Whisperer Enterprise for all categories are provided below.
| Colloquial Name | Category | Description | 40/OrdType | TimeInForce | Venue | Market | Market|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| An instruction to deal immediately at the best possible price (the current rate). | Market | DAY | BME | Auction Price | Market | Market | OPN, CLS | Previously Quoted | Market | An order to hit an individual quote. To hit multiple quotes, aka sweeping, the user must submit individual orders from best to worst price. | Previously Quoted | BME | |
| Fill or KillMarket | Market | An instruction to deal immediately at the best possible price (the current rate). | Market | FOKDAY | BME | ||||||||
| Market To Limit | Market | Order that starts as a Market order and executes any leaves quantity as a Limit order. | Market With Leftover As Limit | ||||||||||
| Market If Touched | Market | ||||||||||||
| Limit | Limit | An instruction to deal if a market moves to a MORE favourable level. | Limit | DAY | BME | ||||||||
| Immediate Limit To Market | Limit | ||||||||||||
| Limit If Touched | IOCLimit | BME, AGG | |||||||||||
| VwapSweep | Limit | An order that can hit/lift one or multiple quotes by submitting an order with the desired amount and the Volume Weighted Average Price (VWAP) of the total amount. | VWAP Sweep | CitiCoLo | |||||||||
| TWAP | Limit | Limit | GFT/GTD | ||||||||||
| Iceberg | Attack | BME | Limit | Ghost (AKA "Hidden Limit") orders are specified by specifying a MaxFloor value of zero. | |||||||||
| Stop | Stop | AKA "Stop Loss". | Stop-Loss | Stop | An instruction to deal if a market moves to a LESS favourable level. | Stop | |||||||
| Stop Limit | Stop | Executes an exposure-reducing limit order when market exceeds order's price. | Stop Limit | DAY | |||||||||
| Stop limit at rise | Stop | Determined by Side? | BME | ||||||||||
| Stop limit at fall | Stop | Determined by Side? | BME | ||||||||||
| Stop-Trailing | Stop | The Stop Price follows the market by a specified offset. | Trailing Stop | ||||||||||
| Market Maker | BME | ||||||||||||
| Limit Take Profit | |||||||||||||
| Fixing | |||||||||||||
| Pegged | |||||||||||||
| Mid | |||||||||||||
| Attack | BME |
Treat as Alog strategies:
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