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.
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.

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.

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 Day	Resting	The Order expires automatically on close of the trading day, if it is still unfilled.	DAY	Optional	Optional	Optional
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	-	-
Good 'Til Date	Resting	Order is active until a specified time. TWAP?	GTD	Optional	Mandatory	-
Good For Time	Resting	Order is active for a specified duration. TWAP?	GFT	Optional	-	Mandatory
At Market Open	Resting		OPN	Optional	-	-
At Market Close	Resting		CLS	Optional	-	-
Good For Auction	Resting		GFA	Optional	Optional	Optional

Order Types

There are three broad categories of OrderType:

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.

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

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

Colloquial Name	Category	Description	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 Kill	Market		Market	FOK	BME
Market Limit	Market	Order that starts as a Market order and executes any leaves quantity as a Limit order.	Market With Leftover As Limit
Limit	Limit	An instruction to deal if a market moves to a MORE favourable level.	Limit	DAY	BME
Immediate Limit	Limit		Limit	IOC	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
Attack					BME
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

Treat as Alog strategies:

From QUOD(!!!)

Algo	Category	Description
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 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:

847	TargetStrategy	The target strategy of the order
Component(-)	StrategyParametersGrp	Strategy parameter block
Repeating Group 957	NoStrategyParameters	Indicates number of strategy parameters
958	StrategyParameterName	Name of parameter
959	StrategyParameterType	Datatype of the parameter.
960	StrategyParameterValue	Value of the parameter
end Repeating Group

Additional Attributes

Limit price

Stop Price

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.
New	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.
PartiallyFilled	Trade	Venue notification of a done trade.
Filled	PendingMatch	Venue notification of a potential match. E.g. EBS and Reuters MAPI.
Filled	Trade	Venue notification of a done trade.
PendingCancel	PendingCancel	Venue acknowledgement of receipt of OrderCancelRequest.
Canceled	Canceled	Venue notification of Order cancellation.
Canceled	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	-