Derivatives SBE Order Entry Messages

InstrumentInfoRequest

Field	Name	Type	Length	Description
	InstrumentInfoRequest	103	40	Request all instrument available
1	correlationId	int64	8

InstrumentInfo

Sent in response to InstrumentInfoRequest message, and later when the status of an instrument changes.

Field	Name	Type	Length	Description
	InstrumentInfo	203	80	Information about an instrument
1	correlationId	int64	8	requestId for correlation
2	instrumentId	int32	4	Numeric instrumentId
3	securityType	uint8	1	SecurityType `0` = FUTURES `1` = OPTIONS
4	status	uint8	1	`0` = PRE_OPEN `1` = READY_TO_TRADE `2` = TRADING_HALTED `3` = PAUSE `4` = CLOSE `5` = PRE_OPEN_NO_CANCEL `6` = EXPIRED `7 = FORBIDDEN
5	isLastMessage	int8	1	`0` = not last instrument info `1` = last instrument info for requestId"
5	reserved	int8	1
6	symbol	String32	32	Instrument symbol

SetAccount

Send SetAccount message to set the account to be used for subsequent NewOrder messages.

Field	Name	Type	Length	Description
	SetAccount	105	56	Set the current account
1	correlationId	int64	8	Client-assigned ID
2	account	String16	16	0-padded ASCII string

SetTrader

Send SetTrader message to set the trader to be used for subsequent NewOrder messages.

Field	Name	Type	Length	Description
	SetTrader	106	56	Set the current trader
1	correlationId	int64	8	Client-assigned ID
2	trader	String16	16	0-padded ASCII string

SetAck

Sent in response to SetAcount and SetTrader messages.

Field	Name	Type	Length	Description
	SetAck	205	40	Acknowledgment of Set request
1	correlationId	int64	8	Client-assigned ID

NewOrder

Used to enter an order in the system.

Field	Name	Type	Length	Description
	NewOrder	110	68	Place a new order
1	clientOrderId	int64	8	Numeric client order ID
2	correlationId	int64	8	Client-assigned ID
3	limitPrice	int64	8	Price with 9 decimal places
4	quantity	int32	4	Quantity with 0 decimal places
5	instrumentId	int32	4	Numeric instrumentId
6	side	int8	1	`1` = BUY `-1` = SELL
7	flags	int8	1	`1`= Post Only
8	goodTilDate	uint16	2	(Optional) The trade date that a GTD order should be expired on, in the count of days since 1970-01-0 (ISO). Null value = `0` for DAY order

NewIocOrder

Used to enter an IOC Order.

Field	Name	Type	Length	Description
	NewIocOrder	111	69	Place a new IOC order
1	clientOrderId	int64	8	Numeric client order ID
2	correlationId	int64	8	Client-assigned ID
3	limitPrice	int64	8	Price with 9 decimal places
4	quantity	int32	4	Quantity with 0 decimal places
5	minQty	Int32	4	Minimum quantity for the order to be executed; values > 1
6	instrumentId	int32	4	Numeric instrumentId
7	side	int8	1	`1` = BUY `-1` = SELL

OrderEntered

OrderEntered messages are sent in response to a NewOrder message if successful.

Field	Name	Type	Length	Description
	OrderEntered	210	80	NewOrder acknowledgement
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID (akin to execId in FIX)
3	clientOrderId	int64	8	Numeric client order ID
4	correlationId	int64	8	Return the client-assigned ID
5	orderId	int64	8	Numeric exchange-assigned order ID
6	receiveTime	int64	8	Nanoseconds since Unix epoch when we received the NewOrder message on gateway.

ReplaceOrder

The ReplaceOrder message allows you to alter the price and quantity of an order in a single message. This is more efficient than canceling an existing order and immediately succeeding it with a new orderRequest to modify an order. The order is canceled if newQuantity is less than or equal the current total filled quantity.

Field	Name	Type	Length	Description
	ReplaceOrder	120	67	Replace an order
1	clientOrderId	int64	8	Numeric client order ID
2	correlationId	int64	8	Client-assigned ID
3	newLimitPrice	int64	8	Price with 9 decimal places
4	newQuantity	int32	4	Quantity with 0 decimal places
5	instrumentId	int32	4	Numeric instrumentId
6	goodTilDate	uint16	2	Required if timeInForce = `1` The trade date that a GTD order should be expired on, in the count of days since 1970-01-01 (ISO)
7	timeInForce	int8	1	`0` = “DAY” - Good for trading day `1` = “GOOD_TILL_DATE” - Good until the specified date

OrderReject

OrderReject messages are sent in response to NewOrder and ReplaceOrder if the request is rejected.

Field	Name	Type	Length	Description
	OrderReject	221	112	Reject message for NewOrder and ReplaceOrder
1	transactTime	int64	8	Nanoseconds since epoch
2	clientOrderId	int64	8	Client order ID
3	correlationId	int64	8	Return the client-assigned ID
4	orderId	int64	8	Exchange assigned order ID Set to 0 if order is unknown
5	rejectReason	uint8	1	`1` = ERROR `2` = INVALID_INSTRUMENT `3` = CL_ORD_ID_IN_USE `8` = VALIDATION_FAILURE `9` = UNKNOWN_ORDER
6	details	char	47	Null (0) padded string

OrderReplaced

This message acknowledges the receipt and acceptance of a valID ReplaceOrder.

Field	Name	Type	Length	Description
	OrderReplaced	220	92	Reply to ReplaceOrder after success
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	clientOrderId	int64	8	Client order ID
4	correlationId	int64	8	Return the client-assigned ID
5	orderId	int64	8	Exchange-assigned order ID
6	receiveTime	int64	8	Nanoseconds since Unix epoch when we received the replace/update message on gateway.
7	totalFilled	int32	4	Filled amount
8	availableQty	int32	4	Remaining quantity available for matching
9	instrumentId	int32	4

CancelOrder

The CancelOrder message is used to request that an order be canceled.

Field	Name	Type	Length	Description
	CancelOrder	130	52	Cancel an Order
1	clientOrderId	int64	8	Numeric client order ID
2	correlationId	int64	8	Client-assigned ID
3	instrumentId	int32	4	instrumentId

OrderCanceled

An OrderCanceled message informs you that an order has been canceled. This could be acknowledging a CancelOrder message, or it could be the result of the order timing out or being canceled automatically.

Field	Name	Type	Length	Description
	OrderCanceled	230	81	Sent when an order is canceled
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	clientOrderId	int64	8	Client order ID
4	correlationId	int64	8	Return the client-assigned ID
5	orderId	int64	8	Exchange-assigned order ID
6	receiveTime	int64	8	Nanoseconds since Unix epoch when we received the cancel message on gateway. Null value = `0x8000000000000000L` for unsolicited cancels
6	totalFilled	int32	4	Filled amount
7	instrumentId	int32	4	Numeric instrumentId
8	cancelReason	uint8	1	`0` = EXPIRED `1` = CANCELED_BY_USER `2` = SELF_MATCH_PREVENTION `3` = CLIENT_DISCONNECT `4` = PRICE_LIMIT `5` = ADMIN_CANCEL `6` = MASS_CANCEL `8` = ACTIVE_LIMIT_EXCEEDED

CancelOrderReject

A CancelOrderReject message may be sent in response to a CancelOrder if the cancel cannot be accepted at this time.

Field	Name	Type	Length	Description
	CancelOrderReject	233	88	Reject message for order replace
1	transactTime	int64	8	Nanoseconds since epoch
2	clientOrderId	int64	8	Client order ID
3	correlationId	int64	8	Return the client-assigned ID
4	orderId	int64	8	Exchange assigned order ID
5	rejectReason	uint8	1	`1` = ERROR `2` = UNKNOWN_ORDER `3` = ORDER_FILLED
6	details	char	23	Null (0) padded string

MassCancelOrder

The MassCancelOrder message is used to cancel multiple orders matching various optional criteria. Use it to cancels buys with limit prices at or above the specified limit, or sells with limit prices at or below the specified limit.

If limitPrice is defined, instrumentId and side are required, otherwise, they are optional.
The currentSessionOnly flag is used to specify that only orders submitted via the current session should be considered versus all sessions of the client’s firm.
The requestTradingLock flag can be used to thereafter reject subsequent orders until a TradingUnlock request is sent.

OrderCanceled messages are sent for each order canceled, followed by a MassCancelOrderAck message.

Field	Name	Type	Length	Description
	MassCancelOrder	131	55	Cancel multiple Orders
1	correlationId	int64	8	Client-assigned ID
2	limitPrice	int64	8	Optional. Null value = `0x8000000000000000L`
3	instrumentId	int32	4	Required if `limitPrice` exists, otherwise optional. Null value = `0x80000000`
4	side	int8	1	Required if `limitPrice` exists, otherwise optional. `-128` = both sides `1` = BUY `-1` = SELL
5	currentSessionOnly	int8	1	`1` = orders of current session only `0` = orders of all sessions of Firm
6	requestTradingLock	int8	1	`1` = lock trading for all sessions under cancel scope `0` = just cancel orders without engaging trading lock

MassCancelOrderAck

The MassCancelOrderAck message is sent in response to a MassCancelOrder message following OrderCanceled messages for each canceled order. If a tradingLock was requested, the scope of sessions affected are reported as well.

Field	Name	Type	Length	Description
	MassCancelOrderAck	231	62	Acknowledgement of MassCancelOrder request.
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	correlationId	int64	8	Client-assigned ID
4	canceledCount	int32	4	Total number of orders canceled
5	onlyCurrentSession	int8	1	`1` = only current session affected `0` = all sessions under Firm affected
6	tradingLockApplied	int8	1	`1` = trading lock applied `0` = not applied

MassCancelOrderReject

A MassCancelOrderReject message may be sent in response to a MassCancelOrder if the mass cancel cannot be accepted at this time.

Field	Name	Type	Length	Description
	MassCancelOrderReject	232	80	Reject message for order replace
1	transactTime	int64	8	Nanoseconds since epoch
2	correlationId	int64	8	Return the client-assigned ID
3	errorMessage	char	32	Null (0) padded string

UnlockTrading

Sent to unlock trading after a MassCancelOrder has been sent when the flag requestTradingLock. This message disengages all client requested trading locks on all sessions under the firm unless currentSessionOnly is set, in which case, it only disengages trading locks on the current session. Trading locks reject all incoming orders until disengaged by either client through this message or exchange administrator.

Field	Name	Type	Length	Description
	UnlockTrading	132	41	Unlock Client Requested Trading Lock
1	correlationId	int64	8	Client-assigned ID
2	currentSessionOnly	int8	1	`1` = unlock trading for current session only `0` = unlock trading for all sessions of Firm

UnlockTradingAck

An UnlockTradingAck message reports the result of an unlock trading request, including the number of users affected.

Field	Name	Type	Length	Description
	UnlockTradingAck	234	60	Acknowledgement of UnlockTrading
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	correlationId	int64	8	Client-assigned ID
4	numUsersAffected	int32	4	Total number of users unlocked

UnlockTradingReject

Reports a reject of a requested trading unlock.

Field	Name	Type	Length	Description
	UnlockTradingReject	235	80	Reject of UnlockTrading
1	transactTime	int64	8	Nanoseconds since epoch
2	correlationId	int64	8	Client-assigned ID
3	errorMessage	char	32	Null (0) padded string

OrderFilled

An OrderFilled message informs you that all or part of an outright order has been executed.

Field	Name	Type	Length	Description
	OrderFilled	240	113	Sent when an order is partially or fully filled
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	matchId	int64	8	Transaction ID representing match, shared by all fills within match
4	clientOrderId	int64	8	Client order ID
5	correlationId	int64	8	Return the client-assigned ID
6	orderId	int64	8	Exchange assigned order ID
7	filledVwap	int64	8	Filled VWAP with 9 decimal places
8	totalFilled	int32	4	Filled amount
9	availableQty	int32	4	Remaining quantity available for matching
10	fillPrice	int64	8	Price filled with 9 decimals
11	fillQty	int32	4	Fill quantity
12	instrumentId	int32	4	Numeric instrumentId
13	isAggressor	uint8	1	`0` - False `1` - True

SpreadOrderFilled

A SpreadOrderFilled message informs you that all or part of a spread order has been executed.

Field	Name	Type	Length	Description
	SpreadOrderFilled	241	129	Sent when an order is partially or fully filled
1	transactTime	int64	8	Nanoseconds since epoch
2	execId	int64	8	Exchange-assigned event ID
3	matchId	int64	8	Transaction ID representing match, shared by all fills within match
4	clientOrderId	int64	8	Client order ID
5	correlationId	int64	8	Return the client-assigned ID
6	orderId	int64	8	Exchange assigned order ID
7	filledVwap	int64	8	Filled VWAP with 9 decimal places
8	totalFilled	int32	4	Filled amount
9	availableQty	int32	4	Remaining quantity available for matching
10	fillPrice	int64	8	Price filled with 9 decimals
11	leg1fillPrice	int64	8	Price filled with 9 decimals on underlying leg 1
12	leg2fillPrice	int64	8	Price filled with 9 decimals on underlying leg 2
13	fillQty	int32	4	Fill quantity
14	instrumentId	int32	4	Numeric instrumentId
15	isAggressor	uint8	1	`0` - False `1` - True

LastExecIdRequest

Send this message to request the execId of the last (most recent) event sent by the trading system to this user/session. Can be used to determine if the client missed any events while disconnected. Also serves as a means of validating that the trading system is available and accepting requests.

Field	Name	Type	Length	Description
	LastExecIdRequest	150	40	Request execId of last event sent to user
1	correlationId	int64	8	Client-assigned ID

LastExecId

Sent in response to LastExecIdRequest.

Field	Name	Type	Length	Description
	LastExecId	250	56	Response to LastExecIdRequest
1	timestamp	int64	8	Nanoseconds since epoch
2	lastExecId	int64	8	ExecId of last event sent to this user.
3	correlationId	int64	8	Client-assigned ID

EventResendRequest

Send this message to request order events, in the specified range, be resent. As this is an application-level request, resent messages will have new sequence numbers and the resend flag in the message will not be set. Rejects (and any other message that does not contain an execId) are not resent.

Field	Name	Type	Length	Description
	EventResendRequest	152	56	Response to LastExecIdRequest
1	correlationId	int64	8	Client-assigned ID
2	beginExecId	int64	8	Lower bound (inclusive) of execIds.
3	endExecId	int64	8	Upper bound (inclusive) of execIds if positive. Resend all events up the last known event if non-positive.

EventResentComplete

Sent in response to a successful EventResendRequest following all resent events.

Field	Name	Type	Length	Description
	EventResendComplete	252	44	Sent on fulfillment of an EventResendRequest
1	correlationId	int64	8	Client-assigned ID
2	resentEventCount	int32	4	Total number of events resent.

EventResendReject

Sent in response to an EventResendRequest if the request cannot be fulfilled.

Field	Name	Type	Length	Description
	EventResendReject	253	64	Reject an EventResendRequest
1	correlationId	int64	8	Client-assigned ID
2	rejectReason	uint8	1	`1` = BEGIN_EXEC_ID_TOO_SMALL `2` = END_EXEC_ID_TOO_LARGE `3` = RESEND_ALREADY_IN_PROGRESS `4` = TOO_MANY_RESEND_REQUESTS `5` = SERVER_ERROR
3	details	char	55	Null (0) padded string

Default Session Values

During session creation, the following values are hard-coded for the Liquidity Provider.

Name	Type	Default Value	Description
CustOrderCapacity	Char(1)	`2`	`2` = PROPRIETARY. CTI represents a proprietary account
ManualOrderIndicator	Boolean(1)	`N`	`N` = AUTOMATIC. Message is generated by automated trading logic.
OrderCapacity	Int(1)	`1`	`1` = PRINCIPAL. Order placed by the firm or principal.
CustOrderHandlingInst	String(1)	`Y`	`Y` = ELECTRONIC. Order is delivered electronically.

Was this helpful?

InstrumentInfoRequest​

InstrumentInfo​

SetAccount​

SetTrader​

SetAck​

NewOrder​

NewIocOrder​

OrderEntered​

ReplaceOrder​

OrderReject​

OrderReplaced​

CancelOrder​

OrderCanceled​

CancelOrderReject​

MassCancelOrder​

MassCancelOrderAck​

MassCancelOrderReject​

UnlockTrading​

UnlockTradingAck​

UnlockTradingReject​

OrderFilled​

SpreadOrderFilled​

LastExecIdRequest​

LastExecId​

EventResendRequest​

EventResentComplete​

EventResendReject​

Default Session Values​