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

Tag 40=3OrdTypeSpecifier of Stop Order Type
Tag 99StopPxStop Price
Tag 10100TrailinDeltaMarket Trailing Delta
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 stop order is submitted at the trigger price specified by StopPx (Tag 99). If the market moves away from the trigger price then the order trigger price is revised by the specified number of trailing ticks away from the market (TrailingDelta - Tag 10100). If the market moves towards the trigger then no revisions are made. Revisions happen no more than once every 10 seconds.

Please note that the exchanges generally place limits on market orders which effectively makes Market orders a limit order with a 10 or 20 tick price limit on it. Hence, you are not guaranteed a fill with a market order in a market that is moving very fast. Please check with the exchange you are trading to determine what their current limits are.

Traling Stop Order
>> 2/21/2013 6:09:06 PM [FIXNEWORDER] 34=176|49=T4Example|56=T4|50=TraderName|52=20130222-00:09:06.536|1=Account1|11=fn-634970669465362439|48=CME_20130300_ESH3|55=ES|207=CME_Eq|54=1|38=1|40=3|99=149975|59=0|167=FUT|21=1|60=20130222-00:09:06.536|204=0|10100=50|
[FIXNEWORDER]
[MsgSeqNum] 34 = 176
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20130222-00:09:06.536
[Account] 1 = Account1
[ClOrdID] 11 = fn-634970669465362439
[SecurityID] 48 = CME_20130300_ESH3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 149975
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20130222-00:09:06.536
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TrailingDelta] 10100 = 50


Traling Stop Order Response
<< 2/21/2013 6:09:06 PM [fixexecutionreport] 34=229|49=T4|56=T4Example|50=T4FIX|52=20130222-00:09:06.567|143=US,IL|1=Account1|11=fn-634970669465362439|17=48015.6417507600_ESH3.6349706694770700006.1.8043F39D|150=0|37=8043F39D-2B87-4B51-A22A-7FBFEBAF7093|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=3|99=149975|60=20130222-00:09:07.707|21=1|204=0|10100=50|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 229
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130222-00:09:06.567
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fn-634970669465362439
[ExecID] 17 = 48015.6417507600_ESH3.6349706694770700006.1.8043F39D
[ExecType] 150 = 0 (NEW)
[OrderID] 37 = 8043F39D-2B87-4B51-A22A-7FBFEBAF7093
[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 = 3 (STOP)
[StopPx] 99 = 149975
[TransactTime] 60 = 20130222-00:09:07.707
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[TrailingDelta] 10100 = 50

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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