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Details of the OrderType values supported by Whisperer Enterprise for all categories are provided below.
| Name | Category | Description | 40/OrdType | 44/Price | 99/StopPrice | 210/MaxShow | 110/MinQty | 389/DiscretionOffsetValue | 842/ DiscretionOffsetType | 211/PegOffsetValue | 836/PegOffsetType |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Limit price | Stop price | Iceberg tip size | Added to Bid or subtracted from Offer limit price to specify the allowed slippage for the order. | ||||||||
| 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. | PreviouslyQuoted | Mandatory | - | - | -' | - | - | - | - |
| Market | Market | An instruction to deal immediately at the best possible price (the current rate). | Market | - | - | - | - | - | - | - | - |
| Dark Market | Market | TODO | Market | - | - | Zero | Optional | - | - | - | - |
| Market Range | Market | AKA "Market With Protection". A market order with specified slippage. | Market | - | - | - | - | Mandatory | Optional | - | - |
| Market To Limit | Market | Order that starts as a Market order and in the event of a partial fill, executes any leaves quantity as a Limit order. | MarketWithLeftOverAsLimit | - | - | - | - | - | - | - | - |
| Market If Touched | Market | Market order will be submitted to market when a specified price is reached | IfTouched | - | Mandatory | - | - | - | - | - | - |
| Limit | Limit | An instruction to deal if a market moves to a more favourable level. Where multiple partial fills are allowed, a Volume Weighted Average Price (VWAP) of the total |
| order quantity may be provided as the limit price. | Limit | Mandatory | - | - | Optional | - | - | - | - | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dark Limit | Limit | AKA "Hidden Limit", "Ghost". | Limit | Mandatory | - | Zero | Optional | - | - | - | |
| Limit To Market | Limit | TODO | Funari | Mandatory | - | - | Optional | - | - | - | |
| Limit If Touched | Limit | Limit order will be submitted to market when a specified price is reached | IfTouched | Mandatory | Mandatory | - | Optional | - | - | - | |
| Iceberg | Limit | AKA "Reserve". A limit order that has both displayed and hidden components. | Limit | Mandatory | - | Mandatory | - | - | - | - | |
| Pegged | Limit | An order with an optional offset to the prevailing market rate. The displayed quantity will float with the market up to the limit price of the order. | Peg | Optional | - | Optional | - | - | - | Optional | Optional |
| Discretion | Limit | AKA "Limit With Protection". A limit order with specified slippage. The market sees only the limit price. | Limit | Mandatory | - | - | - | Mandatory | Optional | - | - |
| Stop | Stop | AKA "Stop Loss". An instruction to deal if a market moves to a less favourable level. | Stop | - | Mandatory | - | - | - | - | - | |
| Stop Limit | Stop | Executes an exposure-reducing limit order when market exceeds order's price. | StopLimit | Mandatory | Mandatory | - | - | - | - | - | |
| Trailing Stop | Stop | The Stop Price follows the market by a specified offset. | Trailing Stop??? | - | - | - | - | - | Mandatory | Optional | |
| Trailing Stop Limit | Stop | A Stop Limit order where the stop trigger price is at a fixed amount below the market price, based on the user-defined "trailing" amount. The limit order price is also continually recalculated based on the limit offset. | StopLimit | - | - | - | - | Mandatory | Optional | Mandatory | Optional |
| Limit Take Profit | A Limit Order will be placed when the market reaches the Trigger Price | Limit | TODO | TODO | TODO | TODO | TODO | TODO | TODO |
Algo Orders
More exotic variants of the above order types are generically categorised as Algo Orders and typically require the specification of additional Venue-specific custom parameters. These are able to be specified via the TargetStrategy field and the NoStrategyParameters repeating group.
TWAP Orders
- TWAP
- Pegged TWAP
- Adaptive TWAP
Contingent Orders
- OCO - One Cancels the Other
- OTO - One Triggers the Other
- OUO - One Updates the Other
- OTOOCO - One Triggers OCO
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Instead of dedicated or overloaded fields in the Schema, use:
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OrdStatus vs ExecType
| OrdStatus | ExecType | Description |
|---|---|---|
| PendingNew | PendingNew | Venue acknowledgement of receipt of Order. |
| New | New | Venue notification of acceptance of Order by it's matching engine. |
| Replaced | Venue notification of acceptance of a replacement Order by it's matching engine. | |
| PartiallyFilled | PendingMatch | Venue notification of a potential match. E.g. EBS and Reuters MAPI. |
| Trade | Venue notification of a done trade. | |
| Filled | PendingMatch | Venue notification of a potential match. E.g. EBS and Reuters MAPI. |
| Trade | Venue notification of a done trade. | |
| PendingCancel | PendingCancel | Venue acknowledgement of receipt of OrderCancelRequest. |
| Canceled | Canceled | Venue notification of Order cancellation. |
| CanceledLastLook | - | |
| PendingReplace | PendingReplace | Venue acknowledgement of receipt of OrderCancelReplaceRequest. |
| Rejected | Rejected | - |
| Calculated | Calculated | Venue notification of a Drop-copy STP trade. |
| Expired | Expired | Venue notification of the expiry of a Limit Order. |
| Error | Error | - |
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