Market Order with FOK

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Imported from previous forum

2

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

3

The combination only makes sense if the marketplace supports resting market orders which is far from trivial. More often than not, market orders are either simply rejected of they cannot be executed or the leftover is stored as a limit order.
Regards,
Hanno.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

4

We support only synthetic FOK – please contact CME Customer Support for Electronic Trading (CSET) at cset@cmegroup.com

The combination only makes sense if the marketplace supports resting market orders which is far from trivial. More often than not, market orders are either simply rejected of they cannot be executed or the leftover is stored as a limit order.
Regards,
Hanno.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

5

For FOK, You need to send TIF as FAK and minimum quantity (tag 110) equal to order quantity.
Refer - http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Type+Qualifiers
Fill or Kill (FOK)
FOK orders must be fully filled immediately or the entire order is canceled. An FOK order is created by using the FAK qualifier and setting the minimum quantity to the original order quantity.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

6

FAK is not a valid value in FIX. It is a CME OrdType. This can be achieved by setting 59=3 and 110 equal to 38.

For FOK, You need to send TIF as FAK and minimum quantity (tag 110) equal to order quantity.
Refer - http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Type+Qualifiers
Fill or Kill (FOK)
FOK orders must be fully filled immediately or the entire order is canceled. An FOK order is created by using the FAK qualifier and setting the minimum quantity to the original order quantity.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

7

That is to achieve the FOK scenario btw.

FAK is not a valid value in FIX. It is a CME OrdType. This can be achieved by setting 59=3 and 110 equal to 38.

For FOK, You need to send TIF as FAK and minimum quantity (tag 110) equal to order quantity.
Refer - http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Type+Qualifiers
Fill or Kill (FOK)
FOK orders must be fully filled immediately or the entire order is canceled. An FOK order is created by using the FAK qualifier and setting the minimum quantity to the original order quantity.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

8

I concur with this view. An immediate execution at a quantity below the total order quantity should be conveyed as IOC with a MinQty value. However, I believe CME is using the correct value TimeInForce(59)=3 for this and have used a different term to illustrate that MinQty(110) is required when setting 59=3. In general, it is recommended to use the FIX terminology and add “local” terminology in the description to facilitate understanding whilst being FIX compliant. In this case for example “3=Immediate Or Cancel (IOC)” as valid value and “Use TimeInForce(59)=3 together with MinQty(110) for Fill and Kill (FAK) orders.” in the field description. FAK can then be used in related documentation describing the market model, the “mapping” to FIX can then be found in the interface specification (aka Rules of Engagement).
Regards,
Hanno.

FAK is not a valid value in FIX. It is a CME OrdType. This can be achieved by setting 59=3 and 110 equal to 38.

For FOK, You need to send TIF as FAK and minimum quantity (tag 110) equal to order quantity.
Refer - http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Type+Qualifiers
Fill or Kill (FOK)
FOK orders must be fully filled immediately or the entire order is canceled. An FOK order is created by using the FAK qualifier and setting the minimum quantity to the original order quantity.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.

9

Valid points Hanno. Just to get this out there:
CME uses 59=3 to achieve the term “FAK” and so do a couple of other exchanges. It has caused confusion to many people in the past. There are a couple of exchanges out there that use the term FAK, but from a FIX perspective it is IOC in regards to TimeInForce.
On a side note, by speciyfing MinQty you are effectively turning it into a “static” IOC, therefore slightly changing the way IOC works in general. If the MinQty is not met, the order is cancelled back, opposed to filling from available depth and cancelling the rest where MinQty is not sent.

I concur with this view. An immediate execution at a quantity below the total order quantity should be conveyed as IOC with a MinQty value. However, I believe CME is using the correct value TimeInForce(59)=3 for this and have used a different term to illustrate that MinQty(110) is required when setting 59=3. In general, it is recommended to use the FIX terminology and add “local” terminology in the description to facilitate understanding whilst being FIX compliant. In this case for example “3=Immediate Or Cancel (IOC)” as valid value and “Use TimeInForce(59)=3 together with MinQty(110) for Fill and Kill (FAK) orders.” in the field description. FAK can then be used in related documentation describing the market model, the “mapping” to FIX can then be found in the interface specification (aka Rules of Engagement).
Regards,
Hanno.

FAK is not a valid value in FIX. It is a CME OrdType. This can be achieved by setting 59=3 and 110 equal to 38.

For FOK, You need to send TIF as FAK and minimum quantity (tag 110) equal to order quantity.
Refer - http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Type+Qualifiers
Fill or Kill (FOK)
FOK orders must be fully filled immediately or the entire order is canceled. An FOK order is created by using the FAK qualifier and setting the minimum quantity to the original order quantity.

Hi, I am sending a test order to CME cert. environment. (Market with FOK as time in force). But I am getting this error. Can anybody please help me understand this error? Market and FOK is a valid combination I believe…

"The combination of price type, price type qualifier, expiry type and trading period are not valid for the market “CBT-GFU”. "

The other parameters:
15 Currency USD
21 HandlInst 1 AUTOMATED_EXECUTION_ORDER_PRIVATE
22 SecurityIDSource 8 EXCHANGE_SYMBOL
38 OrderQty 10000
40 OrdType 1 MARKET
48 SecurityID ZT
54 Side 1 BUY
55 Symbol ZT
59 TimeInForce 4 FILL_OR_KILL
60 TransactTime 20121112-16:45:50.468
167 SecurityType FUT FUTURE
200 MaturityMonthYear 201212
207 SecurityExchange XCBT

Thanks.