Component – TargetStrategy

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Component block: <TargetStrategy>

Overview

The <TargetStrategy> component block provides an alternative to using the StrategyParametersGrp repeating group to specify TT Order types in the following messages:

Notes:

TT FIX returns these parameters as a <StrategyParametersGrp> repeating group in the Execution Report (8) message.
For informational fields (Text A, Text B, Text TT), you must use the <StrategyParametersGrp> repeating group.

The following order parameters can be modified on a working TT Synthetic order:

Order Qty is modifiable on all TT Synthetic 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.
Order Side is modifiable on TT If Touched and TT Retry only.
Trail (ticks) is modifiable on TT Trailing Limit only.
With a Tick is modifiable on TT_With A Tick only.

Specifying 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 are listed. Other tags are unused by the selected TT Order type and are ignored if provided.

TT Bracket order parameters

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

Required	Optional
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16902 (BracketStopLimitOffset) Number of ticks away from the Stop price to submit a Limit order. 16913 (OcoStopTriggerPrice) Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise. 16914 (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. 16915 (StopLimitOffset) Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered. 16916 (StopOrderType) Order type of the stop-loss order. Possible values include: 1: Limit 2: Market 16917 (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.	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16932 (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). 16927 (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). 16941 (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). 16939 (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). 16938 (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). 16937 (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). 16931 (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). 16936 (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). 16935 (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). 16934 (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). 16933 (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). 16929 (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). 16928 (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). 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

16847=TT Bracket|
16848=1|
16903=2|
16901=0|
16914=5|
16917=5|
16916=1|
16915=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16904 (DiscVal) Amount of the total order quantity to disclose (1 to maxint) 16905 (DiscValType) What the DiscVal represents Possible values include: 1: Absolute quantity 2: Percentage of the total order quantity	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance) Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick) With-a-Tick threshold quantity. 16921 (WithATickType) Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include: 1: Qty 2: Percent

Sample TargetStrategy block:

16847=TT_Iceberg|
16848=1|
16903=2|
16904=10|
16905=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16918 (TriggerPriceType) Type of order trigger. Possible values include: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick) With-a-Tick threshold quantity. 16921 (WithATickType) Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include: 1: Qty 2: Percent

Sample TargetStrategy block:

16847=TT_If_Touched|
16848=1|
16903=2|
16918=3|
16919=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16916 (StopOrderType) Order type of the stop-loss order. Possible values include: 1: Limit 2: Market 16913 (OcoStopTriggerPrice) Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

16847=TT_OCO|
16848=1|
16903=2|
16915=5|
16916=1|
16913=9951.000000|
168=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16942 (RetryCount) Number of times (0-32,000) to resend a rejected order 16943 (RetryInterval) Number of milliseconds (0-100,000) between retry attempts 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.	16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD).

Sample block:

16847=TT_Retry|
16848=1|
16903=1|
16943=100|
16942=200|
168=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16918 (TriggerPriceType) Type of order trigger. Possible values include: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

16847=TT_Stop|
16848=1|
16903=1|
16918=3|
16912=2|
16911=3|

For the FIXatdl definition, see TT_Stop.xml.

TT Time Duration order parameters

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

Required	Optional
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. Of the following tags, you must enter (DiscVal AND DiscValType) OR Interval 16904 (DiscVal) Amount of the total order quantity to disclose (1 to maxint) 16905 (DiscValType) What the DiscVal represents Possible values include: 1: Absolute quantity 2: Percentage of the total order quantity 16907 (Interval) Length of the slice, in milliseconds Of the following tags, you must enter (Duration AND DurationBaseUnit) OR (DurationSTime AND DurationETime) 16944 (Duration) Number of time units between each disclosed order portion of a TT Time Duration order. 16945 (DurationBaseUnit) Time unit to use for the duration of a TT Time Duration order. Possible values include: 1: Hour 2: Minute 3: Second 16946 (DurationSTime) Time to start submitting child orders of a TT Time Duration order. 16947 (DurationETime) Time to stop submitting child orders of a TT Time Duration order. 16909 (LeftoverAction) How to handle any existing unfilled order quantities when it is time to send the next portion. 0: Leave 1: Payup	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16910 (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. 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16918 (TriggerPriceType) Type of order trigger. Possible values include: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance) Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

6847=TT_Time_Duration|
16848=1|
16903=2|
16904=10|
16905=1|
16907=120000|
16909=0|
16911=3|
16912=1|
16945=1|
16944=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16904 (DiscVal) Amount of the total order quantity to disclose (1 to maxint) 16905 (DiscValType) What the DiscVal represents Possible values include: 1: Absolute quantity 2: Percentage of the total order quantity 16907 (Interval) Length of the slice, in milliseconds 16909 (LeftoverAction) How to handle any existing unfilled order quantities when it is time to send the next portion. 0: Leave 1: Payup	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 16910 (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. 16920 (TriggerType) Price at which to trigger the order. Possible values include: 1: Stop 2: If-Touched 16918 (TriggerPriceType) Type of order trigger. Possible values include: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side 16919 (TriggerTicksAway) Number of ticks away from the specified price to submit the child order 16908 (IsTrlTrg) Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N. 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16958 (Variance) Percentage (0-100) by which to vary the child order quantity. 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

16847=TT_Time_Sliced|
16848=1|
16903=2|
16904=10|
16905=1|
16907=120000|
16908=Y|
16920=2|
16918=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 16922 (WithATick) With-a-Tick threshold quantity. 16921 (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:

16847=TT_Timed|
16848=1|
16903=2|
168=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
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP	168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD).

Sample block:

16847=TT_Trailing_Limit|
16848=1|
16903=2|
16911=3|
16912=2|
126=20160506-11:00:00|
16906=1|

For the FIXatdl definition, see TT_TrailingLimit.xml.

TT Time Weighted Average Price (TWAP) order parameters

TT Time Weighted Average Price orders support the following required and optional parameters; others are ignored.

Required	Optional
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. Of the following tags, you must enter (Duration AND DurationBaseUnit) OR (DurationSTime AND DurationETime) 16944 (Duration) Number of time units between each disclosed order portion of a TT Time Duration order. 16945 (DurationBaseUnit) Time unit to use for the duration of a TT Time Duration order. Possible values include: 1: Hour 2: Minute 3: Second 16946 (DurationSTime) Time to start submitting child orders of a TT Time Duration order. 16947 (DurationETime) Time to stop submitting child orders of a TT Time Duration order. 17007 (MaxDisp) The maximum size of a child order lot in relation to the total parent order quantity. 17008 (TwapStyle) Defines how the algorithm lays out the slices and execution options. Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice. Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market. Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.	17009 (WouldIfPrc) The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible. 17010 (LimitPrc) The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).

Sample block:

16847=TT_TWAP|
16848=1|
16903=2|
16944=1|
16945=1|
17007=10|
17008=1|

For the FIXatdl definition, see TT_TWAP.xml.

TT With-a-Tick order parameters

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

Required	Optional
16847 (TargetStrategyName) Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_If_Touched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Sliced (FIXatdl definition: TT_Time_Sliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_Trailing_Limit.xml.) TT_WithATick (FIXatdl definition: TT_With_A_Tick.xml.) 16848 (TargetStrategyType) Source of the algo Possible values include: 3: Bank algo Currently, TT supports only 1 (TT Order type). 16903 (ChildTIF) Time-in-Force for the algo child orders Possible values include: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help. 16922 (WithATick) With-a-Tick threshold quantity. 16921 (WithATickType) Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values include: 1: Qty 2: Percent	16912 (LimitTicksAway) Number of ticks away from the specified limit price to submit the order (-999 to 999) 16911 (LimitPriceType) Type of price for the ticks away offset. Possible values include: 1: Bid 2: Ask 3: LTP 168 (EffectiveTime) Time to start working the order. Note: Omit to start working the order when submitted. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report. 16906 (ETimeAct) Time to stop working the order. Note: Omit to work the order until the market closes (GTD). 126 (ExpireTime) Time to stop working the order. Note: Omit to work the order until the market closes (GTD).

Sample block:

16847=TT_With_A_Tick|
16848=1|
16903=2|
16921=1|
16922=100|
126=20160506-11:00:00|

For the FIXatdl definition, see TT_WithATick.xml.

Supported tags for TT Order Types

Click the links below to navigate to the documentation for that tag.

TargetStrategy
Tag	Name	Type	Required	Comments
16847	TargetStrategyName	STRING	Y	Name of the TT order type For TT order types, possible values include: TT_Bracket (FIXatdl definition: TT_Bracket.xml.) TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.) TT_If_Touched (FIXatdl definition: TT_IfTouched.xml.) TT_OCO (FIXatdl definition: TT_OCO.xml.) TT_Retry (FIXatdl definition: TT_Retry.xml.) TT_Stop (FIXatdl definition: TT_Stop.xml.) TT_Time_Duration (FIXatdl definition: TT_TimeDuration.xml.) TT_Time_Sliced (FIXatdl definition: TT_TimeSliced.xml.) TT_Timed (FIXatdl definition: TT_Timed.xml.) TT_Trailing_Limit (FIXatdl definition: TT_TrailingLimit.xml.) TT_TWAP (FIXatdl definition: TT_TWAP.xml.) TT_WithATick (FIXatdl definition: TT_WithATick.xml.)
16848	TargetStrategyType	INT	Y	Source of the algo Currently, TT supports only 1 (TT Order type). Possible values: 3: Bank algo
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16902	BracketStopLimitOffset	INT	N	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	CHAR	Y	Time-in-Force for the algo child orders Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message. Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs. Possible values: 0: Day (default, if not specified) 1: Good Till Cancel (GTC) 2: At The Opening (OPG) 3: Immediate or Cancel (IOC) 4: Fill Or Kill (FOK) 5: Good Till Crossing 6: Good Till Date 7: At the Close 8: Good through Crossing 9: At Crossing A: Auction S: Morning At the Close T: Afternoon At the Close U: Night At the Close V: Good in Session W: Day Plus X: Good Till Cancel Plus Y: Good Till Date Plus
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16906	ETimeAct	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16910	LeftoverTicks	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16912	LimitTicksAway	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Number of ticks away from the specified limit price to submit the order (-999 to 999)
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	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.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	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.
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16919	TriggerTicksAway	INT	N	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	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16921	WithATickType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16929	TTStopWithATick	INT	N	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	INT	N	Number of ticks from the specified price to submit the Limit order
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16933	TTStopTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16936	TTStopTriggerQty	INT	N	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	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16939	TTStopTriggeredOrderPrice	PRICE	N	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	INT	N	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	INT	N	Number of times (0-32,000) to resend a rejected order.
16943	RetryInterval	INT	N	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).
16944	Duration	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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 tags are present, their values must be identical. Possible values: 1: Day 2: GTC 7: Time
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16954	TTStopSecondTriggerTicksAway	INT	N	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.
16955	TTStopSecondTriggerQtyType	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17008	TwapStyle	INT	Y	Defines how the algorithm lays out the slices and execution options. Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice. Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market. Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17009	WouldIfPrc	PRICE	N	The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17010	LimitPrc	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit to start working the order when submitted. Optional for all TT Order types. Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.
126	ExpireTime	UTCTIMESTAMP	N	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.
40	OrdType	CHAR	C	Sets the order type for the parent order. Possible values include: 1: Market 2: Limit 3: Stop 4: Stop Limit 5: Market On Close (MOC) B: Limit On Close (LOC) J: Market If Touched (MIT) K: Market with Leftover as Limit Q: Market Limit Market (MLM) with Leftover as Limit S: Stop Market to Limit T: Market to Limit (without Limit Price) If-Touched U: Market to Limit If Touched (MLM-IT) V: Market Close Today (reserved for future use) W: Limit Close Today (reserved for future use) p: Limit (post-only)

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Component – TargetStrategy

Component block: <TargetStrategy>

Overview

Specifying tags for TT Order types

TT Bracket order

TT Iceberg order parameters

TT OCO order parameters

TT Retry order

TT Stop order

TT Time Duration order

TT Time Sliced order

TT Timed order

TT Trailing Limit order

TT Time Weighted Average Price (TWAP) order

TT With a Tick order

Supported tags for TT Order Types