Stop Loss Orders

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Imported from previous forum

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In case of a New Order Single with an Order Type (40)Stop as well as Stop Limit, what should be the value reported in the OrdStatus (39) in the execution report on confirmation of the order. Also, how will this be impacted in case the StopPx (99) is modified for the same order type?

Dewang Neralla
Financial Technologies India Limited
www.ftindia.com

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In case of a New Order Single with an Order Type (40)Stop as well as
Stop Limit, what should be the value reported in the OrdStatus (39) in
the execution report on confirmation of the order.

For a new order, you would return OrdStatus=NEW. Starting with FIX 4.3, there is a field WorkingIndicator(636), which tells whether the order has already been triggered or not.

Also, how will this be impacted in case the StopPx (99) is modified for > the same order type?

I guess this is handled like a normal OrderModificationRequest.

Cheers, Jörg

4

Thanks for the response. We are currently implementing FIX 4.2. However, what is the use of value Stopped in OrdStatus? How should the triggering of Stop Loss Order be reported back.

In case of a New Order Single with an Order Type (40)Stop as well as
Stop Limit, what should be the value reported in the OrdStatus (39) in
the execution report on confirmation of the order.

For a new order, you would return OrdStatus=NEW. Starting with FIX 4.3,
there is a field WorkingIndicator(636), which tells whether the order
has already been triggered or not.

Also, how will this be impacted in case the StopPx (99) is modified
for > the same order type?

I guess this is handled like a normal OrderModificationRequest.

Cheers, Jörg

5

Hi Dewang,

Thanks for the response. We are currently implementing FIX 4.2. However,
what is the use of value Stopped in OrdStatus? How should the triggering
of Stop Loss Order be reported back.

Maybe the use of WorkingIndicator is not correct, since the concept of Stop Loss Order already exists in FIX 4.2.

Please have look at some threads in the General Q/A forum, ie

I found them using the Search function of the forum. Since we are also intend to implement Stop Loss Orders in our system, reading these thread was quite interesting to me.

Cheers, Jörg

6

Hi Dewang,

Thanks for the response. We are currently implementing FIX 4.2.
However, what is the use of value Stopped in OrdStatus? How should the
triggering of Stop Loss Order be reported back.

Maybe the use of WorkingIndicator is not correct, since the concept of
Stop Loss Order already exists in FIX 4.2.

It is. I checked the threads below, and this field was introduced for this purpose.

Please have look at some threads in the General Q/A forum, ie

To summarize my findings:

The usage of OrdStatus=ExecType=Stopped is wrong.

A possible workaround would be to use ExecType=Restated with a ExecRestatementReason=4 (Broker option) and replace the OrdStatus as follows:

Stop       --> Market
Stop Limit --> Limit

Cheers, Jörg