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FIX 4.1 : Order - List <E> message

Structure | Related Messages

Description

The new order list message type is used by institutions wishing to electronically submit lists of related orders to a broker for execution.

The New Order List is intended for use in staging lists to be executed by the broker. If the institution wishes to work a list using the broker's execution services, the orders should be submitted as individual New Order - Single <D>'s.

After staging, the list can be operated on in the following ways:

  • Execute: The broker can be instructed to release the list for execution by sending the List-Execute message.
  • Cancel: After the list has been staged with the broker, it can be canceled via the submission of the List Cancel message. If the list has not yet been submitted for execution, the List Cancel message will instruct the broker not to execute it, if the list is being executed, the List Cancel message should trigger the broker's system to generate cancel requests for the remaining quantities of each order within the list. Individual orders within the list can be canceled via the Order Cancel Request <F> message.
  • Status: A status of the list can be requested via the submission of the List-Status Request message. The broker will respond with one or more List-Status messages which will report executed quantity, canceled quantity and average price for each order in the list.
  • Replace: Individual orders within the list can be replaced via Order Cancel/Replace Request <G> messages.

Executions against orders within the list will not normally be reported as they occur. (If this feature is desired the institution and broker should arrange for this reporting as a custom feature using the Execution message.) Executions against the list will be reported within the List-Status message.

New Order - List <E>

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = E
66 ListID Y

Must be unique, by customer, for the day

105 WaveNo N
67 ListSeqNo Y
68 ListNoOrds Y
69 ListExecInst N

Include only in ListSeqNo <67> = 1 message

11 ClOrdID Y

Unique identifier of the order as assigned by institution.

109 ClientID N

Used for third-party transactions

76 ExecBroker N

Used for third-party transactions

1 Account N
63 SettlmntTyp N

Absence of this field is interpreted as Regular.

64 FutSettDate N

Required when SettlmntTyp <63> = 6 (Future) or SettlmntTyp <63> = 8 (Sellers Option)

21 HandlInst Y
18 ExecInst N

Can contain multiple instructions, space delimited.

110 MinQty N
111 MaxFloor N
100 ExDestination N
81 ProcessCode N
55 Symbol Y
65 SymbolSfx N
48 SecurityID N
22 IDSource N
167 SecurityType N

Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.

200 MaturityMonthYear N

For Options or Futures to specify the month and year of maturity.

205 MaturityDay N

For Options or Futures and can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.

201 PutOrCall N

For Options.

202 StrikePrice N

For Options.

206 OptAttribute N

For Options.

207 SecurityExchange N

Can be used to identify the security.

106 Issuer N
107 SecurityDesc N
140 PrevClosePx N

Useful for verifying security identification

54 Side Y
114 LocateReqd N

Required for short sell orders

38 OrderQty Y
40 OrdType Y
44 Price N

Required for limit OrdTypes. For F/X orders, should be the 'all-in' rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.

99 StopPx N

Required for OrdType <40> = 'Stop' or OrdType <40> = 'Stop limit'.

211 PegDifference N
15 Currency N
59 TimeInForce N

Absence of this field indicates Day order

126 ExpireTime N

Required in TimeInForce <59> = GTD

12 Commission N
13 CommType N
47 Rule80A(aka OrderCapacity) N
121 ForexReq N

Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.

120 SettlCurrency N

Required if ForexReq <121> = Y.

58 Text N
193 FutSettDate2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the 'value date' for the future portion of a F/X swap.

192 OrderQty2 N

Can be used with OrdType <40> = 'Forex - Swap' to specify the order quantity for the future portion of a F/X swap.

77 OpenClose N

For options

203 CoveredOrUncovered N

For options

204 CustomerOrFirm N

For options when delivering the order to execution system/exchange.

210 MaxShow N
<MessageTrailer> Y  

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