MsgInfoExtractor block

Values from a message block to expose as output ports, including:

• limitPrice: Price of an new order
• orderQuantity: Total order quantity
• workingQuantity: Working quantity of an order
• fillPrice: Price of a fill
• fillQuantity: Quantity of a fill
• cumQuantity: Sum of fill quantities
• disclosedQuantity: Quantity of a disclosed order visible in the market
• deletedQuantity: Canceled quantity of a deleted order
• tradeQuantity: Quantity of the last trade for a specified instrument
• tradePrice: Price of the last trade for a specified instrument
• tradeIsHit: True when the trade hit the bid
• tradeIsTake: True when the trade took the offer
• tradeIsUnknown: True when the exchange did not supply whether a trade hit the bid or took the offer
• tradeIsOTC: True when the trade is an over-the-counter transaction
• tradeIsImplied: True when the trade occurred at an implied price
• tradeIsLeg: True when the trade matched a leg of an exchange-listed spread
• stopTrigger: Price at which the respective stop order is activated
• isBuy: True when a fill was a buy side execution
• isQuotingOrder: True when the message was generated by a submitted quote order (valid only for Autospreader order blocks)
• isHedgeOrder: True when the message was generated by a submitted hedge order (valid only for Autospreader order blocks
• isExternalEvent: True when the message was generated from a source outside of the algorithm
• isTriggered: True when an order resulted from a trigger condition
• instrument: Instrument associated with the message
• year: Year portion of the date the message occurred
• month: Month portion of the date the message occurred
• day: Day portion of the date the message occurred
• hour: Hour portion of the date the message occurred
• minute: Minute portion of the date the message occurred
• second: Second portion of the date the message occurred
• milliseconds: Millisecond portion of the date the message occurred
• userFieldN: One of four empty fields that can be populated by a Value Injector and then accessed by a Value Extractor
• account: Account associated with the incoming order. A Discrete Order block formula can access this value.
• orderType: Order type of the incoming order. A Discrete Order block formula can access this value.
• timeInForce: Time-in-force (TIF) of the incoming order. A Discrete Order block formula can access this value.
• isSuspended: Whether the associated order is currently in a Held state.

For each value you select, a corresponding connector is added to the block’s outputs.

Note: While you can choose to display any or all of the output connectors, they will provide meaningful output on if the information is present in the incoming discrete event message.