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GTX does not take into account the EffectiveTime(168) for ExposureDuration(1629). ExposureDuration starts as soon as the GTX server receives the order regardless of EffectiveTime.
ExposureDuration will override ExpireTime.
MultilegOrderCancelReplaceRequest
If DiscretionOffsetValue(389) is omitted, the value from the original order will be removed i.e. this tag needs to be explicitly specified every time an order is replaced.
TransactTime: Unlike NewOrderMultilegs, GTX will NOT reject MiltilegOrderCancelReplaceRequest messages that appear to have been delayed.
The following Values may be changed:
- OrdType
- TimeInForce
- EffectiveTime
- ExpireTime
- ExposureDuration (will override ExpireTime)
- StopPx
- MinQty
- MaxShow
- DiscretionOffsetValue
- LegPrice
- LegOrderQty: should be the total intended order quantity including amount already executed for this chain of orders.
BodyPassthruKeys
- AvgPXLimit
- LastLook
- MatchIncrement
- TriggerPriceType
- AveragingInst
- IOCTimeToLive
The following must be the same as the reference order
- PegPriceType
- PegOffSetValue
- NoStrategyParameters(entire group)
- LegSide
- LegCurrency
- LegSettlDate
StrategyParameters
| Expand |
|---|
| Venue | Message | ParentGroup | StrategyParameterName | StrategyParameterType | Venue Comment | MarketFactory Comment |
|---|
| 360T_GTX | NewOrderMultiLeg | NoStrategyParameters | PegMoveType | String | Describes whether peg is static/fixed or floats. Valid values: 'Float' (default) 'Fixed' | Optional
|
|---|
| 360T_GTX | NewOrderMultiLeg | NoStrategyParameters | PegRoundDirection | String | If the calculated peg price is not valid price for this market, specifies whether to round the price to be more or less aggressive. 'MoreAggressive': on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick. 'MorePassive': on a buy order round the price down to the nearest tick; on a sell order round the price up to the nearest tick. | Optional |
|---|
| 360T_GTX | NewOrderMultiLeg | NoStrategyParameters | PegScope | String | The scope of the 'related to' price of the peg: 'Global': default, peg to any tradable price. 'ExcludeLocal': When calculating peg price exclude local interest only orders (LocalScope) which may be small or otherwise not indicative of true market price. | Optional |
|---|
| 360T_GTX | NewOrderMultiLeg | NoStrategyParameters | RateSource | String | Determines whichbid/offer and midpoint is pegged
REF2_BBO(default): peg to the GTX Reference Contributor pool bid/offer/mid | Optional |
|---|
| 360T_GTX | NewOrderMultiLeg | NoStrategyParameters | PegOffsetNegatedIfSelling | Boolean | If Y, causes GTX to automatically negate the PegOffsetValue for SELL(Base Currency)/ Buy(Quote Currency),
orders, so that the client application can provide the same peg parameters for all orders. | Optional |
|---|
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