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

Name	Category	Description	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.
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	-
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.	MarketLimit	-	-	-	-	-	-
Market If Touched	Market	Market order will be submitted to market when a specified price is reached	IfTouched	-	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 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.	Pegged	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	-
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

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

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

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	-

Whisperer Enterprise - OrderType and TimeInForce