TT® FIX

Component block: <TargetStrategy>

Overview

The <TargetStrategy> component block provides an alternative to using the StrategyParametersGrp repeating group to specify TT Order types, user-defined ADL algo, and third-party algo parameters using TT custom tags.

Notes:

Supported tags

Tag # Field Name Req'd Data type Comments
16847 TargetStrategyName Y String

Name of the TT order type

For TT order types, possible values include:

16848 TargetStrategyType Y String

Source of the algo

Possible values include:

  • 0: Custom algo
  • 1: TT Order type
  • 3: Bank algo

Currently, TT supports only 1 (TT Order type).

16901 BracketOrderType C int

Order type for the parent order

Possible values include:

  • 0: Limit
  • 1: Stop Limit
  • 2: Stop Market

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

16902 BracketStopLimitOffset N String

Number of ticks away from the Stop price to submit a Limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

16903 ChildTIF Y int

Time-in-Force for the algo child orders

Possible values include:

  • 1: GTD
  • 2: GTC
16904 DiscVal C int

Amount of the total order quantity to disclose (1 to maxint)

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced

Unused, otherwise.

16905 DiscValType C int

What the DiscVal represents

Possible values include:

  • 1: Absolute quantity
  • 2: Percentage of the total order quantity

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced

Unused, otherwise.

16906 ETimeAct N int

Action to take for any unfilled balance when the End time is reached. Currently, the only supported value is 1 (Cancel).

Optional for all TT Order types.

16907 Interval C int

Length of the slice, in milliseconds

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

16908 IsTrlTrg N String

Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N.

Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit

Optional, otherwise.

16909 LeftoverAction C int

How to handle any existing unfilled order quantities when it is time to send the next portion.

Possible values include:

  • 0: Leave
  • 1: Payup

Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

16910 LeftoverTicks N int

Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

16911 LimitPriceType C int

Type of price for the ticks away offset.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit.

Optional, otherwise.

16912 LimitTicksAway C String

Number of ticks away from the specified limit price to submit the order (-999 to 999)

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit.

Optional, otherwise.

16913 OcoStopTriggerPrice N int

Price at which to trigger the Stop Market or Stop Limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_OCO.

Unused, otherwise.

16914 ProfitTarget C int

Initial price for the profit order in the OCO pair, as follows:

  • Price = Entry Order Fill Price + Profit target setting, if the TT Bracket order was a bid.
  • Price = Entry Order Fill Price - Profit target setting, if the TT Bracket order was an offer.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

16915 StopLimitOffset C int

Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO.

Unused, otherwise.

16916 StopOrderType C int

Order type of the stop-loss order. Possible values include:

  • 1: Limit
  • 2: Market

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO.

Unused, otherwise.

16917 StopTarget C String

Initial price for the stop loss order in the OCO pair, as follows:

  • Price = Entry Order Fill Price + Stop loss setting, if the TT Bracket order was a bid.
  • Price = Entry Order Fill Price - Stop loss setting, if the TT Bracket order was an offer.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

16918 TriggerPriceType C int

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Condition: Required when tag 16847 (TargetStrategyName) is: TT_If_Touched or TT_Stop.

Optional when tag 16847 (TargetStrategyName) is: TT_Iceberg or TT_Time_Sliced.

Unused, otherwise.

16919 TriggerTicksAway N int

Number of ticks away from the specified price to submit the child order

Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit.

Optional, otherwise.

16920 TriggerType N int

Price at which to trigger the order.

Possible values include:

  • 1: Stop
  • 2: If-Touched

Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit.

Optional, otherwise.

16921 WithATickType C int

Whether the WAT threshold represents a specific quantity or a percentage of the order quantity.

Possible values include:

  • 1: Qty
  • 2: Percent

Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.

Optional, otherwise.

16922 WithATick N int

WAT threshold quantity.

Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.

Optional, otherwise.

16923 TriggerQtyType N int

Type of quantity trigger. Possible values include:

  • 1: Qty
  • 2: Percent
16924 TriggerQtyCompare N int

Test to use when comparing trigger quantities. Possible values include:

  • 3: Less than or equal to
  • 5: Greater than or equal to
16925 TriggerQty N int

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

16926 TriggerLTPReset N Boolean

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

  • Y: Yes
  • N: No
16927 TTStopLimitPriceType N int

Type of price to use to the TT Stop child order

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16928 TTStopWithATickType N int

Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).

Possible values include:

  • 1: Qty
  • 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16929 TTStopWithATick N int

Threshold for the With A Tick behavior that reprices the order one tick toward the market when available quantity at the opposite inside market is at or below the specified quantity threshold

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16930 Payup N int

Number of ticks from the specified price to submit the Limit order

16931 TTStopTriggerPriceType N int

Type of trigger for the TT Stop order.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16932 TTStopIsTrlTrigger N Boolean

Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.

Possible values include:

  • Y: Yes
  • N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16933 TTStopTriggerTicksAway N int

Number of ticks away from the specified price to submit the child orders of the TT Stop order

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16934 TTStopTriggerQtyType N int

Type of quantity trigger for the TT Stop order.

Possible values include:

  • 1: Qty
  • 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16935 TTStopTriggerQtyCompare N int

Test to use when comparing TT Stop order trigger quantities.

Possible values include:

  • 3: Less than or equal to
  • 5: Greater than or equal to

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16936 TTStopTriggerQty N int

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16937 TTStopTriggerLTPReset N Boolean

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

  • Y: Yes
  • N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16938 TTStopTriggeredOrderType N int

Type of order to submit when triggered.

Possible values include:

  • 1: Market
  • 2: Limit
  • 3: MLM

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16939 TTStopTriggeredOrderPrice N Price

price for the TT Stop child Limit order.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16941 TTStopPayup N int

Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

16942 RetryCount N int

Number of times (0-32,000) to resend a rejected order.

16943 RetryInterval N int

Number of milliseconds (0-100,000) between retry attempts.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

168 EffectiveTime N UTC_Timestamp

Time to start working the order.

Note: Omit the tag to start working the order when submitted.

Optional for all TT Order types.

126 ExpireTime N UTC_Timestamp

Time to stop working the order.

Note: Omit the tag to work the order until the market closes (GTC).

Optional for all TT Order types.

Supported tags for TT Order types

The following sections show the supported TT Order types use the tags within the TargetStrategy component block. For each TT Order type, the required and optional tags that can be sent for it. Tags that appear in neither list are ignored for that TT Order type.

TT Bracket order

TT Bracket orders use the following tags:

TT OCO order

TT OCO orders use the following tags:

TT Retry order

TT Retry orders use the following tags:

For the FIXatdl definition, see TT_Retry.xml.

TT Timed order

TT Timed orders use the following tags:

TT Trailing Limit order

TT Trailing Limit orders use the following tags:

TT With A Tick order

TT With A Tick orders use the following tags: