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MarketIfTouched Order

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A MarketIfTouched (MIT) Order is submitted to T4 FIX API server to suspend and await subsequent exchange submittal when a trigger price is hit. Once a trade occurs at the trigger price, the T4 FIX API server releases (to the exchange) the MarketIfTouched Order as a Market Order (Tag 40=0).

A MarketIfTouched Order is entered with the New Order Single (Tag 35=D) message. Following are the most relevant tags to build a MIT Order.

Tag 40=JOrdTypeSpecifier of MarketIfTouched Order Type
Tag 44PriceTrade (Trigger) Price at which the suspended market order is sent to the exchange
Tag 48SecurityIDMarket for which the order is sent
Tag 55SymbolContract for which the order is sent
Tag 207SecurityExchangeExchange for which the order is sent
Tag 167SecurityTypeSecurity Type (e.g. Futures) of this specific market

Sample

In this example, the order is submitted with a trigger price (Tag 44) of 150825, suspended and waits for the market to hit the trigger price. When the trigger price of 150825 is traded, the suspended order is submitted to the exchange as a market order (Tag 40=0). The market order is subsequently filled.

Market-If-Touched Order
>> 2/25/2013 3:30:16 PM   [FIXNEWORDER] 34=37|49=T4Example|56=T4|50=TraderName|52=20130225-21:30:16.414|1=Account1|11=fn-634974030164143822|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=J|44=150825|59=0|167=FUT|21=1|60=20130225-21:30:16.414|204=0|
[FIXNEWORDER]
[MsgSeqNum] 34 = 37
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130225-21:30:16.414
[Account] 1 = Account1
[ClOrdID] 11 = fn-634974030164143822
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = J (MARKET_IF_TOUCHED)
[Price] 44 = 150825
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130225-21:30:16.414
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order - Awaiting Trigger
<< 2/25/2013 3:30:16 PM  [fixexecutionreport] 34=120|49=T4|56=T4Example|50=T4FIX|52=20130225-21:30:16.424|143=US,IL|1=Account1|11=fn-634974030164143822|17=0.634974030189868750.2.1.24CFF6CF|150=A|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=A|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=J|44=150825|58=MIT Awaiting Trigger|60=20130225-21:30:18.986|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 120
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:30:16.424
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 0.634974030189868750.2.1.24CFF6CF
[ExecType] 150 = A (PENDING_NEW)
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[OrdStatus] 39 = A (PENDING_NEW)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = J (MARKET_IF_TOUCHED)
[Price] 44 = 150825
[Text] 58 = MIT Awaiting Trigger
[TransactTime] 60 = 20130225-21:30:18.986
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order - Triggered and Working
<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=122|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.695|143=US,IL|1=Account1|11=fn-634974030164143822|17=47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF|150=0|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=0|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=1|60=20130225-21:31:03.332|21=1|204=0|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 122
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.695
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 47998.6420180207_ESH3.6349740306333200006.1.24CFF6CF
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[OrdStatus] 39 = 0 (NEW)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[TransactTime] 60 = 20130225-21:31:03.332
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)

Market-If-Touched Order - Filled
<< 2/25/2013 3:31:00 PM  [fixexecutionreport] 34=123|49=T4|56=T4Example|50=T4FIX|52=20130225-21:31:00.913|143=US,IL|1=Account1|11=fn-634974030164143822|17=64205:719653TN0041137.63497403063332000021.2.24CFF6CF|150=F|37=24CFF6CF-C15F-4B8F-ABD7-9646820DEC57|39=2|48=CME_20130300_ESH3|55=ES|207=CME_Eq|200=201303|59=0|107=E-mini S&P 500 Mar13|54=1|167=FUT|38=1|40=1|31=150825|32=1|14=1|151=0|60=20130225-21:31:03.471|21=1|204=0|337=TRADE|375=CME000A|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 123
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130225-21:31:00.913
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634974030164143822
[ExecID] 17 = 64205:719653TN0041137.63497403063332000021.2.24CFF6CF
[ExecType] 150 = F
[OrderID] 37 = 24CFF6CF-C15F-4B8F-ABD7-9646820DEC57
[OrdStatus] 39 = 2 (FILLED)
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201303
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Mar13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 1 (MARKET)
[LastPx] 31 = 150825
[LastShares] 32 = 1
[CumQty] 14 = 1
[LeavesQty] 151 = 0
[TransactTime] 60 = 20130225-21:31:03.471
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContraTrader] 337 = TRADE
[ContraBroker] 375 = CME000A

Further details on the tags used for this order type are described in the dictionary of the New Order Single message.

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