TT® FIX

Component: <StrategyParametersGrp>

Overview

The <StrategyParametersGrp> repeating group contains the parameters and values used by the following synthetic orders and free-form text fields:

  • Parameters for TT order types, such as TT Iceberg.
  • Parameters for Autospreader spreads.
  • Parameters for Aggregator orders.
  • Parameters for custom algos, such as ADL® (Algo Design Lab) or third-party algos
  • Free-form text fields, such as Text A in TT widgets.

The repeating group is used to specify the name, data type and value of every parameter or field required by a synthetic order or free-form text field.

Supported tags

Tag # Field Name Req'd Data type Comments
957 NoStrategyParameters N NumInGroup

Repeating group of parameters for the algo or the free-form text fields to attach to the order

> 958 StrategyParameterName C String

Name of the algo parameter or free-form text field

TT uses the following parameter names to support TT order types:

Note: For descriptions of these strategy parameters, see Parameters and values for TT Order Types.

TT uses the following parameter names to support Autospreader and Aggregator orders:

For custom or third-party algos, the name must match the name specified by the algo.

Condition: Required when tag 957 > 0

> 959 StrategyParameterType C Int

Type of data contained in tag 960 (StrategyParameterValue)

Possible values include:

  • 1: Int
  • 6: Float
  • 7: Qty
  • 13: Boolean
  • 14: String
  • 19: UTCTimestamp

Condition: Required when tag 957 > 0

> 960 StrategyParameterValue C String

Value of the parameter or additional order information

Condition: Required when tag 957 > 0

Specifying parameters for TT order types

If you want to submit orders and receive updates for TT order type orders, you must use specific parameters that correspond to the parameters necessary for the selected TT order type. See TT order types in the Trade application help for more details about these orders.

When a TT Order Type order is launched, only certain order parameters can be modified on the working parent synthetic order:

  • Order Qty is modifiable on all TT Order Types.
  • Order Price is modifiable on all types except TT Stop and TT Trailing Limit.
  • Trigger Price, TriggerQty and Payup are modifiable on TT If Touched and TT Stop only.
  • Trail (ticks) is modifiable on TT Trailing Limit only.
  • With a Tick is modifiable on TT_With A Tick only.

Note: All TT Order Types must contain the following StrategyParameterName (tag 958) values in the StrategyParameters repeating group, along with their corresponding types (tag 959) and values (tag 960):

  • 958=Algo Name
  • 958=Algo Type
  • 958=ChildTIF

Based on which TT order type you use, you would include a subset of supported field names to provide the algo parameters.

TT Bracket order parameters

TT Bracket orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
BracketStopLimitOffset

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

OcoStopTriggerPrice

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

Optional when tag 958 (StrategyParametername) is: TT_OCO.

Unused, otherwise.

ProfitTarget

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.
StopLimitOffset

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

StopOrderType

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

  • 1: Limit
  • 2: Market
  • 3: TT Stop
StopTarget

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.
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

TTStopIsTrlTrigger

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).

TTStopLimitPriceType

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).

TTStopPayup

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).

TTStopTriggeredOrderPrice

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).

TTStopTriggeredOrderType

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).

TTStopTriggerLTPReset

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).

TTStopTriggerPriceType

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).

TTStopTriggerQty

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).

TTStopTriggerQtyCompare

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).

TTStopTriggerQtyType

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).

TTStopTriggerTicksAway

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).

TTStopWithATick

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).

TTStopWithATickType

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).

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent
TTStopChildTIFOveride

Defines the TIF for a TT Stop order that is submitted as a child order of another TT Order Type (TT OCO or TT Bracket). For example, a TT OCO order submits both a child limit order as well as a child stop order. This stop order can be submitted as a TT Stop order.

Valid values are:

  • 1: Day
  • 2: GTC
  • 3: FOK
  • 4: GTDate
  • 5: IOC

Sample block:

957=8|
958=Algo Name|959=14|960=TT_BRACKET|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=BracketOrderType|959=1|960=0|
958=ProfitTarget|959=1|960=5|
958=StopTarget|959=1|960=5|
958=StopOrderType|959=1|960=1|
958=StopLimitOffset|959=1|960=5|

For the FIXatdl definition, see TT_Bracket.xml.

TT Iceberg order parameters

TT Iceberg orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
DiscVal

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

DiscValType

What the DiscVal represents

Possible values include:

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

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Variance

Percentage (0-100) by which to vary the child order quantity.

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample StrategyParametersGrp group:

957=5|
958=Algo Name|959=14|960=TT_Iceberg|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=DiscVal|959=1|960=10|
958=DiscValType|959=1|960=1|

For the FIXatdl definition, see TT_Iceberg.xml.

TT If-Touched order parameters

TT If-Touched orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
TriggerPriceType

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample StrategyParametersGrp group:

957=5|
958=Algo Name|959=14|960=TT_If_Touched|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=TriggerPriceType|959=1|960=3|
958=TriggerTicksAway|959=1|960=1|

For the FIXatdl definition, see TT_IfTouched.xml.

TT OCO order parameters

TT OCO orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
StopOrderType

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

  • 1: Limit
  • 2: Market
  • 3: TT Stop
OcoStopTriggerPrice

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

Optional when tag 958 (StrategyParametername) is: TT_OCO.

Unused, otherwise.

LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent
TTStopChildTIFOveride

Defines the TIF for a TT Stop order that is submitted as a child order of another TT Order Type (TT OCO or TT Bracket). For example, a TT OCO order submits both a child limit order as well as a child stop order. This stop order can be submitted as a TT Stop order.

Valid values are:

  • 1: Day
  • 2: GTC
  • 3: FOK
  • 4: GTDate
  • 5: IOC

Sample block:

957=7|
958=Algo Name|959=14|960=TT_OCO|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=StopLimitOffset|959=1|960=5|
958=StopOrderType|959=1|960=1|
958=OcoStopTriggerPrice|959=7|960=9951.000000|
958=STime|959=19|960=20160506-14:00:00|

For the FIXatdl definition, see TT_OCO.xml.

TT Retry order parameters

TT Retry orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
RetryCount

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

RetryInterval

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

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Sample block:

957=4|
958=Algo Name|959=14|960=TT_Retry|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=RetryInterval|959=1|960=100|
958=RetryCount|959=1|960=200|
958=STime|959=19|960=20160506-14:00:00|

For the FIXatdl definition, see TT_Retry.xml.

TT Stop order parameters

TT Stop orders rsupport the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
TriggerPriceType

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample block:

9957=6|
958=Algo Name|959=14|960=TT_Stop|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=1|
958=TriggerPriceType|959=1|960=3|
958=LimitTicksAway|959=1|960=2|
958=LimitPriceType|959=1|960=3|

For the FIXatdl definition, see TT_Retry.xml.

TT Time Duration order parameters

TT Time Duration orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC

Of the following tags, you must enter (DiscVal AND DiscValType) OR Interval

DiscVal

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

DiscValType

What the DiscVal represents

Possible values include:

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

Length of the slice, in milliseconds


Of the following tags, you must enter (Duration AND DurationBaseUnit) OR (DurationSTime AND DurationETime)

Duration

Number of time units between each disclosed order portion of a TT Time Duration order.

DurationBaseUnit

Time unit to use for the duration of a TT Time Duration order.

Possible values include:

  • 1: Hour
  • 2: Minute
  • 3: Second
DurationSTime

Time to start submitting child orders of a TT Time Duration order.

DurationETime

Time to stop submitting child orders of a TT Time Duration order.


LeftoverAction

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

  • 0: Leave
  • 1: Payup
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
LeftoverTicks

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

Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry

TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerPriceType

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Variance

Percentage (0-100) by which to vary the child order quantity.

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample block:

957=9|
958=Algo Name|959=14|960=TT_Time_Duration|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=DiscVal|959=1|960=10|
958=DiscValType|959=1|960=1|
958=DurationBaseUnit|959=1|960=1|
958=Duration|959=1|960=1|
958=LimitPriceType|959=1|960=3|
958=LimitTicksAway|959=1|960=1|
958=Variance|959=1|960=1

For the FIXatdl definition, see TT_TimeDuration.xml.

TT Time Sliced order parameters

TT Time Sliced orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
DiscVal

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

DiscValType

What the DiscVal represents

Possible values include:

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

Length of the slice, in milliseconds

LeftoverAction

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

  • 0: Leave
  • 1: Payup
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
LeftoverTicks

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

Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry

TriggerType

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerPriceType

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
TriggerTicksAway

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

IsTrlTrg

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Variance

Percentage (0-100) by which to vary the child order quantity.

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample block:

957=9|
958=Algo Name|959=14|960=TT_Time_Sliced|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=DiscVal|959=1|960=10|
958=DiscValType|959=1|960=1|
958=Interval|959=1|960=120000|
958=IsTrlTrg|959=13|960=Y|
958=TriggerType|959=1|960=2|
958=TriggerPriceType|959=1|960=3|

For the FIXatdl definition, see TT_TimeSliced.xml.

TT Timed order parameters

TT Timed orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent

Sample block:

957=4|
958=Algo Name|959=14|960=TT_Timed|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=STime|959=19|960=20160506-14:00:00|

For the FIXatdl definition, see TT_Timed.xml.

TT Trailing Limit order parameters

TT Trailing Limit orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Sample block:

957=7|
958=Algo Name|959=14|960=TT_Trailing_Limit|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=LimitPriceType|959=1|960=3|
958=LimitTicksAway|959=1|960=2|
958=ETime|959=19|960=20160506-11:00:00|
958=ETimeAct|959=1|960=1|

For the FIXatdl definition, see TT_TrailingLimit.xml.

TT With-a-Tick order parameters

TT With a Tick orders support the following required and optional parameters; others are ignored.

Required Optional
AlgoName

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

AlgoType

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

ChildTIF

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC
WithATick

With-a-Tick threshold quantity.

WithATickType

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

Possible values include:

  • 1: Qty
  • 2: Percent
LimitTicksAway

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

LimitPriceType

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
EffectiveTime

Time to start working the order.

Note: Omit to start working the order when submitted.

ETimeAct

Time to stop working the order.

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

ExpireTime

Time to stop working the order.

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

Sample block:

957=6|
958=Algo Name|959=14|960=TT_With_A_Tick|
958=Algo Type|959=1|960=1|
958=ChildTIF|959=1|960=2|
958=WithATickType|959=1|960=1|
958=WithATick|959=1|960=100|
958=STime|959=19|960=20160506-14:00:00|

For the FIXatdl definition, see TT_WithATick.xml.

Specifying parameters for Autospreader and Aggregator orders

You also use the <StrategyParametersGrp> repeating group to specify parameters for Autospreader and Aggregator orders. The NoStrategyParameters (tag 957) should always be 1 for these orders.

  • Orders for Autospreader spreads use parameters only for the spread name.

    Sample repeating group:

    957=1|
    958=Spread Name|959=14|960=ZB Calendar|
    

  • Orders for Aggregator instruments use parameters only for the aggregator name.

    Sample repeating group:

    957=1|
    958=Aggregator Name|959=14|960=Gold Aggregated|
    

Specifying parameters for custom algo or third-party algo order parameters

When creating the repeating group for a custom algo, such as one created through ADL, you must specify the same algo name as defined by the algo creator and must identify the algo type as custom (960=0). You also need to provide all of the user parameters defined for the algo. For a third-party algo, you must identify the algo type as third party (960=3) and contact the algo provider to get the algo name and the required parameters.

Note: All algos must contain the following StrategyParameterName (tag 958) values in the StrategyParameters repeating group, along with their corresponding types (tag 959) and values (tag 960):

  • 958=Algo Name
  • 958=Algo Type
  • 958=ChildTIF

Sample repeating group:

957=6|
958=Algo Name|959=14|960=LimitWithOffset|
958=Algo Type|959=1|960=0|
958=ChildTIF|959=1|960=2|
958=LimitType|959=1|960=3|
958=EntryOffset|959=1|960=3|
958=ExitOffset|959=1|960=1|

Parameters and values for TT Order Types

The following table provides a reference for the tag values you must specify for each of the TT Order Type parameters.

StrategyParameterName (958) StrategyParameterType (959) StrategyParameterValue (960)
Aggregator Name String Name of the aggregator as defined in the Aggregator Manager
Algo Name String

Name of the TT order type

For TT order types, possible values include:

For custom algos, the name must match the one specified by the algo creator.

Required when this repeating group represents an algo

Algo Type int

Source of the algo

Possible values include:

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

Required when this repeating group contains a |958=Algo Name| entry

AutoResubExpiredGTD Boolean

If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.

Possible values include:

  • Y: Yes
  • N: No
BracketOrderType int

Order type for the parent order

Possible values include:

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

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

ChildTIF int

Time-in-Force for the algo child orders

Possible values include:

  • 1: Day
  • 2: GTC

Required when this repeating group contains a |958=Algo Name| entry

DiscVal int

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

DiscValType int

What the DiscVal represents

Possible values include:

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

Number of time units between each disclosed order portion of a TT Time Duration order.

DurationBaseUnit int

Time unit to use for the duration of a TT Time Duration order.

Possible values include:

  • 1: Hour
  • 2: Minute
  • 3: Second
DurationSTime UTC_Timestamp

Time to start submitting child orders of a TT Time Duration order.

DurationETime UTC_Timestamp

Time to stop submitting child orders of a TT Time Duration order.

ETAGoToMktTicks int

Number of ticks into the market to submit an order for the remaining quantity when the end time action (ETimeAct) is 2 (Go To Market).

ETime UTC_Timestamp

Time to stop working the order.

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

ETimeAct int

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

Interval int

Length of the slice, in milliseconds

IsTrlTrg Boolean

Indicates whether the trigger price trails the trigger price type by some number of ticks.

Possible values include: Y or N.

LeftoverAction int

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

  • 0: Leave
  • 1: Payup
LeftoverTicks int

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

Required when the repeating group contains a 958=LeftOverAction with 960=1 (Payup) entry

LeftoverTimeAction int

When to execute the LeftoverAction for an order interval.

Possible values include:

  • 0: At End
  • 1: Halflife
LimitPriceType int

Type of price for the ticks away offset. Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
LimitTicksAway int

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

OcoStopTriggerPrice int

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

Payup int

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

ParentTIF int

Time-in-force of a parent synthetic order.

Possible values include:

  • 1: Day
  • 2: GTC
  • 7: Time

Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both parameters are present, their values must be identical.

ProfitTarget 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.
RetryCount int

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

RetryInterval int

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

SpreadName String Name of the spread as defined in the Autospreader widget.
STime UTC_Timestamp

Time to start working the order.

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

StopLimitOffset int

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

StopOrderType int

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

  • 1: Limit
  • 2: Market
  • 3: TT Stop
StopTarget int

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.
TriggerLTPReset int

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
TriggerPriceType int

Type of order trigger.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
TriggerQty int

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

TriggerQtyCompare int

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

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

Type of quantity trigger. Possible values include:

  • 1: Qty
  • 2: Percent
TriggerType int

Price at which to trigger the order. Possible values include:

  • 1: Stop
  • 2: If-Touched
TriggerTicksAway int

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

TTStopIsTrlTrigger 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).

TTStopLimitPriceType 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).

TTStopPayup 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).

TTStopSecondConditionIsOn Boolean

Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.

Possible values include:

  • Y: Yes
  • N: No
TTStopSecondConditionIsTrlTrg Boolean

Type of trigger for the second contion of at TT Stop or TT If-Touched order.

Possible values include:

  • Y: Yes
  • N: No
TTStopSecondTriggerPriceType int

Type of trigger for the second contion of at TT Stop or TT If-Touched order.

Possible values include:

  • 1: Bid
  • 2: Ask
  • 3: LTP
  • 6: Same side
  • 7: Opposite side
TTStopSecondTriggerQty int

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

TTStopSecondTriggerQtyCompare int

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

Possible values include:

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

Type of quantity trigger for the secondary condition.

Possible values include:

  • 1: Qty
  • 2: Percent
TTStopSecondTriggerTicksAway int

Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.

TTStopTriggeredOrderPrice 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).

TTStopTriggeredOrderType 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).

TTStopTriggerLTPReset 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).

TTStopTriggerPriceType 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).

TTStopTriggerQty 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).

TTStopTriggerQtyCompare 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).

TTStopTriggerQtyType 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).

TTStopTriggerTicksAway 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).

TTStopWithATick 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).

TTStopWithATickType 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).

Variance int

Percentage (0-100) by which to vary the child order quantity.

WaitingOption int

When to start working the parent order.

Possible values include:

  • 0: Now
  • 1: Time
  • 2: PreOpen
  • 3: Open

Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).

WithATick int

WAT threshold quantity.

WithATickType int

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

Possible values include:

  • 1: Qty
  • 2: Percent
custom-parameter-name Varies

Value of the custom parameter

You must ensure that the value matches the specified data type for the custom parameter.