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Time In Force


Colloquial NameDescriptionTimeInForcePartial Fills?
Immediate or CancelThe Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'.
IOCYES
Fill Or KillThe Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled.FOKNO
DayThe Order expires automatically on close of the trading day, if it is still unfilled.DAYYES
Good 'Til CanceledThe 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.GTCYES
Good 'Til DateOrder is active until a specified time. TWAP?GTDYES
Good For TimeOrder is active for a specified duration. TWAP?GFTYES
At Market Opening
OPN*


Order Types


Colloquial NameDescription OrdTypeTimeInForceVenueCancel on Disconnect?
MarketAn instruction to deal immediately at the best possible price (the current rate).MarketDAYBMEYES
LimitAn instruction to deal if a market moves to a MORE favourable level.LimitDAYBMEYES
Immediate Limit
LimitIOCBME, AGGN/A


LimitGTCAGG
Fill or Kill
LimitFOKBMEN/A
Stop-LossAn instruction to deal if a market moves to a LESS favourable level.Stop Loss




Stop LossGTCAGG
Stop LimitExecutes an exposure-reducing limit order when market exceeds order's price.Stop LimitDAY
YES


Stop LimitGTCAGG
Stop-TrailingThe Stop Price follows the market by a specified offset.Trailing Stop


Market LimitOrder that starts as a Market order and executes any leaves quantity as a Limit order.Market With Leftover As Limit


Auction Price
MarketOPN*
YES
Previously QuotedAn 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
VwapSweepAn 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
LimitGFT/GTD

Attack


BME
Stop limit at riseDetermined by Side?

BME
Stop limit at fallDetermined by Side?

BME
Market Maker


BME
Limit Take Profit




Fixing




Pegged




Mid





OPN - At Opening

GTC/GTD/GFT


Treat as Alog strategies:

From QUOD(!!!)

AlgoCategoryDescription
Adaptive Liquidity SeekingLiquidity SeekingAn 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 TWAPExecutionA slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account
Adaptive VWAPExecutionA 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 ShortfallExecutionAn 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-hedgingTradingCross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions.
CustomAnyBuilds 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 AuctionsTradingBalance 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 TradingTradingA neutral trading strategy enabling traders to profit from virtually any market conditions including uptrend, downtrend or sideways movement
Participation Volume (PoV)ExecutionTo execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact
Pegged OrderTradingAn 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 Order - with priceTradingAn 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 IcebergExecutionA slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order
SnipingTradingTakes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity
Statistical Adaptive Liquidity SeekingLiquidity seekingA liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process
Synthetic OCOTradingCancels an order when another one is fully filled
Synthetic OTOTradingTriggers an order when another order is fully filled
Synthetic StopTradingA limit sell order for a given instrument which is managed by the system and triggered by falling price
Synthetic Take ProfitTradingA limit sell order for a given instrument which is managed by the system and triggered by raising the price
Synthetic time-in-forceTradingA 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 OrderTradingReleases the order at a specific time to the exchange for execution
Trailing StopTradingA 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:


847TargetStrategyThe target strategy of the order
Component(-)StrategyParametersGrpStrategy parameter block
Repeating Group 957NoStrategyParametersIndicates number of strategy parameters
958StrategyParameterNameName of parameter
959StrategyParameterTypeDatatype of the parameter.
960StrategyParameterValueValue of the parameter
end Repeating Group

Additional Attributes

Limit price

Stop Price


OrdStatus vs ExecType


OrdStatusExecTypeDescription
MFPendingNewMFPendingNewMF acknowledgement of receipt of New Order, pending a response (either ExecType = PendingNew, or ExecType = New) from the Venue.
PendingNewPendingNewVenue acknowledgement of receipt of Order.
NewNewVenue notification of acceptance of Order by it's matching engine.
ReplacedVenue notification of acceptance of a replacement Order by it's matching engine.
PartiallyFilledPendingMatchVenue notification of a potential match. E.g. EBS and Reuters MAPI.
TradeVenue notification of a done trade.
FilledPendingMatchVenue notification of a potential match. E.g. EBS and Reuters MAPI.
TradeVenue notification of a done trade.
MFPendingCancelMFPendingCancelMF acknowledgement of receipt of OrderCancelRequest pending a response (either ExecType = PendingCancel, or ExecType = Canceled) from the Venue.
PendingCancelPendingCancelVenue acknowledgement of receipt of OrderCancelRequest.
CanceledCanceled

Venue notification of Order cancellation.

CanceledLastLook-
MFPendingReplaceMFPendingReplaceMF acknowledgement of receipt of OrderCancelReplaceRequest, pending a response (ExecType = Replaced) from the Venue.
PendingReplacePendingReplaceVenue acknowledgement of receipt of OrderCancelReplaceRequest.
RejectedRejected-
CalculatedCalculatedVenue notification of a Drop-copy STP trade.
ExpiredExpiredVenue notification of the expiry of a Limit Order.
ErrorError-



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