Table of Contents

Order State Transition Model

The Order state transition model is normalised and consistent across all trading workflows, as outlined in the diagram below.

Where Venue events are absent, synthetic equivalents are generated by Whisperer in their place. These messages are easily discernible by reference to the TradingFlags.IsSynthetic field.

Gliffy Diagram

displayName	Normalised_OrderState
name	Normalised_OrderState

Info

title	ExecutionAck

It's worth remembering that while all inbound messages will adhere to the same state transition model, there will necessarily be Venue-specific variation in whether and how outbound ExecutionAck messages are handled.

OrdStatus vs ExecType

The following table lists the possible OrdStatus and ExecType combinations the Client may receive in Whisperer ExecutionReport messages.

Should MultilegCancelReplaceRequest or OrderCancelRequest messages be rejected by the venue, the current working order status will be reported in the OrdStatus field of the OrderCancelReject message.

Category	OrdStatus	ExecType	Description
Transitional	PendingNew	PendingNew	Venue acknowledgement of receipt of Order.
Active	New	New	Venue notification of acceptance of Order.
		Replaced	Venue notification of acceptance of a replacement Order (including client-initiated Order release).
		Restated	Venue notification of venue-initiated Order release.
Active	PartiallyFilled	PendingMatch	Venue notification of a potential match. E.g. EBS eFix.
		Trade	Venue notification of a done trade.
		Replaced	Venue notification of acceptance of a replacement Order (including client-initiated Order release). Note: Order Suspend/Release should not be combined with other parameter changes.
		Restated	Venue notification of venue-initiated Order release.
Active	Suspended	Replaced	Venue notification of acceptance of client-initiated Order suspension. NOTE: Note: Order Suspend/Release should not be combined with other parameter changes.
Terminal	Filled	PendingMatch	Venue notification of a potential match. E.g. EBS eFix.
Terminal	Filled	Trade	Venue notification of a done trade.
Transitional	PendingCancel	PendingCancel	Venue acknowledgement of receipt of OrderCancelRequest.
Terminal	Canceled	Canceled	Venue notification of Order cancellation.
Transitional	PendingReplace	PendingReplace	Venue acknowledgement of receipt of OrderCancelReplaceRequest.
Terminal	Rejected	Rejected	Venue rejection of order.
Terminal	Calculated	Trade	Venue notification of Fixing Order rate confirmations (EBS eFix), and notification of individual legs for spread instruments (CME).
Terminal	Expired	Expired	Venue notification of the expiry of specified TimeInForce.

Aggressive vs Resting Orders

Orders may be:

Aggressive - These orders are matched against existing Resting orders held in the order book. Once submitted these orders typically cannot be cancelled or modified. Typically, these orders are not displayed in the venue MarketData feed.
Resting - These orders are submitted at price levels away from the prevailing market, i.e. buying at a price below or selling at a price above the market. Typically, these orders are displayed in the venue MarketData feed.

Time In Force

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.

TimeInForceNatureColloquial NameDescriptionIOCAggressiveImmediate or Cancel

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'.

FOKAggressive

IOC	Optional	-	-
Fill Or Kill	Aggressive	The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled.

DAYRestingDay

	FOK	Optional	-	-
Good For Auction	Resting	The order is only active when the instrument enters an auction state. At all other times, the order remains inactive.	GFA	Optional	-	-
Good For Day	Resting	The Order expires automatically on close of the trading day, if it is still unfilled.	DAY	Optional	-	-
Good For Time	Resting	Order is active for a specified duration.

GTC

	GFT	Optional	-	Mandatory
Good 'Til Date	Resting	Order is active until a specified time.	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.

GTDRestingGood 'Til DateOrder is active until a specified time. TWAP?GFTRestingGood For TimeOrder is active for a specified duration. TWAP?OPN*At Market Opening

GTC	Optional	-	-
At Market Open	Resting	The order is only active when the instrument market opens. At all other times, the order remains inactive. It is typically entered when the market is in pre-open state.	AMO	Optional	-	-
At Market Close	Resting	The order is only active when the instrument market closes. At all other times, the order remains inactive. It is typically entered when the market is in pre-close state.	AMC	Optional	-	-

Order Types

Standard 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 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.

When matched in a CLOB ECN, Limit orders are said to be 'aggressed' by Market orders.

Details of the OrderType Order Type values supported by Whisperer Enterprise for all categories are provided below.

Order Type

Colloquial Name

Category	Description

OrdTypeTimeInForceVenueCancel on Disconnect?

40/OrdType	44/Price	99/StopPrice	210/MaxShow	110/MinQty	389/DiscretionOffsetValue	211/PegOffsetValue
				Limit price	Stop price	Iceberg tip size		Added to Bid or subtracted from Offer limit price to specify the allowed slippage for the order.
Market	Market	An instruction to deal immediately at the best possible price (the current rate)

.MarketDAYBMEYESLimit

OR

An instruction to deal

if a market moves to a MORE favourable level.LimitDAYBMEYESImmediate LimitLimitIOCBME, AGGN/ALimitGTCAGGFill or KillLimitFOKBMEN/AStop-LossAn instruction to deal if a market moves to a LESS favourable level.StopStop LossGTCAGGStop LimitExecutes an exposure-reducing limit order when market exceeds order's price.Stop LimitDAYYES

during the auction/fixing time at the closing auction/fixing price if sent with TIF=GFA. (eg, eFIX orders on EBS)	Market	-	-	-	-	-	-
Dark Market	Market	Equities-specific.	Market	-	-	Zero	Optional	-	-
Market Range	Market	AKA "Market With Protection". A market order with specified slippage.	Market	-	-	-	-	Mandatory	-
Market To Limit	Market

Stop LimitGTCAGGStop-TrailingThe Stop Price follows the market by a specified offset.Trailing StopMarket Limit

	Order that starts as a Market order and in the event of a partial fill, executes any leaves quantity as a Limit order.	MarketLimit

Market With Leftover As Limit

-	-	-	-	-	-
Market If Touched	Market	Market order will be submitted to market when a specified price is reached. Here, StopPrice is used to convey the Trigger price. This value should be better than the market price.	IfTouched	-	Mandatory	-	-	-	-
Previously Quoted	Limit

Auction PriceMarketOPN*YESPreviously Quoted

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 QuotedBMEVwapSweep

	PreviouslyQuoted	Mandatory	-	-	-'	-	-
Limit	Limit	AKA "Take Profit". An instruction to deal if a market moves to a more favourable level. Where multiple partial fills are allowed, a

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 SweepCitiCoLoTWAP

order quantity may be provided as the limit price.	Limit

GFT/GTD

Mandatory

Attack

-

BMEStop limit at riseDetermined by Side?BMEStop limit at fallDetermined by Side?BMEMarket MakerBMELimit Take ProfitFixingPeggedMid

OPN - At Opening

GTC/GTD/GFT

Treat as Alog strategies:

From QUOD(!!!)

Algo	Category	Description
-	Optional	-	-
Dark Limit	Limit	AKA "Hidden Limit", "Ghost", "Sniper". A form of Iceberg, where the market-visible order qty is set to zero.	Limit	Mandatory	-	Zero	Optional	-	-
Limit To Market	Limit	Order that starts as a Limit order and in the event of a partial fill, executes any leaves quantity as a Market order.	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 offset to the prevailing market rate. The displayed quantity will float with the market.	Pegged	-	-	Optional	-	-	Mandatory
Pegged To Limit	Limit	A Pegged order, but the displayed quantity will only float up to the
Adaptive Liquidity Seeking	Liquidity Seeking	An algorithm which reacts to market events such as market data, execution and a set of other criteria to dynamically update the decision tree to seek liquidity on lit and dark venues.
Adaptive TWAP	Execution	A slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account
Adaptive VWAP	Execution	A benchmarking algorithm that slices an order according to the historical volume reparation over a certain time horizon. Every slice benefits from the adaptive execution that takes into account the current market conditions and the aggressivity of the algorithm.
Arrival Price / Implementation Shortfall	Execution	An algorithm that regularly adapts its participation based on estimated market impact in order to remain within a given price band. Participation is increased when the probability of high market impact is low and decreased when the probability is high. Adaptation of the participation is based both on historical behaviour and real-time data
Auto-hedging	Trading	Cross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions.
Custom	Any	Builds client side algos or uses our native algo API for customising this menu and building your own. Over 150 parameters and unlimited logical decisions give you complete customisation of your strategies
On-Close Auctions / On-Open Auctions	Trading	Balance impact and dispersion of the orders into and during the closing/opening auction. The algorithm phase management detects different market phases, with distinct parameters (e.g. move intra-day from trading to an intra-day auction phase)
Pair Trading	Trading	A neutral trading strategy enabling traders to profit from virtually any market conditions including uptrend, downtrend or sideways movement
Participation Volume (PoV)	Execution	To execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact
Pegged Order	Trading	An order to the bid or ask with, or without an offset. The display quantity will float with the bid or ask, up to the ultimate limit price of the order.	Pegged	Mandatory	Order - with price	Trading	An enhanced pegged order that pegs to the BBO using an offset (in ticks or price) as defined by the users. Additional conditions such as limit price, min/max quantity or a-would-price (which for buy and Above which for sell) are available to hunt for liquidity
Random Distribution Iceberg	Execution	A slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order
Sniping	Trading	Takes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity
Statistical Adaptive Liquidity Seeking	Liquidity seeking	A liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process
Synthetic OCO	Trading	Cancels an order when another one is fully filled
Synthetic OTO	Trading	Triggers an order when another order is fully filled
Synthetic Stop	Trading	A limit sell order for a given instrument which is managed by the system and triggered by falling price
Synthetic Take Profit	Trading	A limit sell order for a given instrument which is managed by the system and triggered by raising the price
Synthetic time-in-force	Trading	A Good-Till-Date (GTD) or Good Till-Cancel (GTC) order type which is held away from the market and able to execute on a range of venues meeting the trade criteria
Timed Order	Trading	Releases the order at a specific time to the exchange for execution
Trailing Stop	Trading	A Stop-loss order which the stop loss price is set to some fixed percentage below the market price. The market price rises, the stop loss price rises proportionally

Instead of dedicated or overloaded fields in the Schema, use:

...

Additional Attributes

Limit price

Stop Price

OrdStatus vs ExecType

...

Venue notification of Order cancellation.

...

Optional	-	-	Mandatory
Discretion	Limit	AKA "Limit With Protection". A limit order with specified slippage. The market sees only the limit price.	Limit	Mandatory	-	-	-	Mandatory	-
Stop	Stop	AKA "Stop Loss". An instruction to deal if a market moves to a less favourable level.	Stop	-	Mandatory	-	-	-	-
Trailing Stop	Stop	The Stop Price follows the market by a specified offset.	Stop	-	-	-	-	-	Mandatory
Stop Limit	Stop	Executes an exposure-reducing limit order when market exceeds order's price.	StopLimit	Mandatory	Mandatory	-	-	-	-
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	Mandatory

Algo Orders

Algo Orders extend on the StandardOrderTypes above and require the specification of additional Venue-specific custom parameters using the HasExtendedOrderFields.NoStrategyParameters repeating group in both NewOrderMultileg and MultilegOrderCancelReplaceRequest.

The Client specifies the name of the algo to be executed by providing the following entry in this repeating group:

StrategyParameterType: 14/String
StrategyParameterName: "TargetStrategy"
StrategyParameterValue: "LP-assigned name of desired Algo"

Other strategy parameters must be populated as per LP requirements for the specific Algo. The Client will need to reference the venue-provided API documentation for this detail.

Spread Orders

Overview

A calendar spread is a futures strategy with simultaneous long and short positions on the same underlying asset but with different expiry dates.

Bull spread: When a trader buys the nearby month and sells the deferred month.
Bear spread: When a trader sells the nearby month and buys the deferred month.

Whisperer currently only supports Bull Calendar Spreads which are defined with Buy near and Sell far legs.

Order Submission

Side: The LegSide of the first Leg on the client message to Whisperer will represent the Side of the Spread.

Leg1	Leg2	Action on Spread
Buy	Sell	Buys the spread - buys leg1, sells leg2
Sell	Buy	Sells the spread - sells leg1, buys leg2

Price: The Price on the order will be the spread price. The LegPrice mustnot be populated on the request.

ExecutionReport

The following ExecutionReport messages are published for Fills:

1 Notional Fill: Trade information for the overall Spread, followed by
2 Leg Fills: Trade information for each of the legs.

The Notional fill and Leg fills for a given trade will all have the same SecondaryExecID

The legs on Notional fill will have the overall Notional fill information with

OrdStatus: Calculated
ExecType: Calculated

...

Versions Compared

Old Version 17

New Version 133

Key

Order State Transition Model

OrdStatus vs ExecType

Aggressive vs Resting Orders

Time In Force

Order Types

Standard Order Types

Additional Attributes

OrdStatus vs ExecType

Algo Orders

Spread Orders

Overview

Order Submission

ExecutionReport

Page History

Versions Compared

Old Version 17

New Version 133

Key

Order State Transition Model

OrdStatus vs ExecType

Aggressive vs Resting Orders

Time In Force

Order Types

Standard Order Types

Additional Attributes

OrdStatus vs ExecType

Algo Orders

Spread Orders

Overview

Order Submission

ExecutionReport