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Exchange Take Profit Stop Loss Orders

Take Profit Stop Loss (TPSL) orders are supported in FIX 4.2 and FIX 5.0 with New Order Single (35=D) and the Create a new order REST API.

TPSL orders allow users to set predefined profit and loss levels simultaneously for their position.

When an asset price reaches one of the target prices, the position is closed with a limit order. If one of the orders is triggered, the other order is canceled automatically. An order can only have one TP/SL on one side.

Parameters​

These parameters are required for TPSL orders:

TagNameTypeRequiredDescription
40OrdTypeCharYOrder Type must be O (the letter Oh)
44PriceDecimalYTake profit price (in this context)
See Price Rules below.
99StopPxDecimalYStop loss trigger price
3040StopLimitPxDecimalYLimit order price if stop loss triggers
Price Rules
  • Sell TPSL: Price must be > StopPx and StopPx must be > StopLimitPx
  • Buy TPSL: Price must be < StopPx and StopPx must be < StopLimitPx

Caveats​

  • Only GTC and GTD are supported for TimeInForce
  • Like Stop orders, TPSL orders cannot be modified.
  • TPSL orders cannot be submitted during auction mode. Existing TPSL orders may continue to rest during an auction.
  • The Post-Only tag is not supported. It cannot be populated or must be false.
  • The Iceberg tag is not supported.
  • Batch orders are not supported.

Samples​

TPSL Sell Order​

This TPSL sell order for BTC-USD places a live sell limit order at price 9785

Side=2|Price=9785|StopLimitPx=8245|StopPx=8500

  • If the price falls below 8500 and no part of this limit order has been filled, it will be repriced from 9785 to 8245.
  • If this limit order is filled or partially filled at 9785, then it will never be repriced.

This differs from regular stop orders where a stop order is NOT live until the price is traded through the StopPx. The direction of the trigger is determined by the Side of the order and thus, TriggerPriceDirection is NOT accepted.

Message Flow​

TPSL Order Example

-> OrdType=O|Side=2|Price=9785|StopLimitPx=8245|StopPx=8500...

Execution Report Example

<- MsgType=8|OrdType=O|Side=2|Price=9785|StopLimitPx=8245|StopPx=8500...

Repricing Example

If the stop is triggered and the order is repriced, an ExecutionReport is returned with a RestatementReason of 3 for "Repricing of order":

<- MsgType=8|OrdType=O|ExecType=D|ExecRestatementReason=3|Price=8245...

WebSocket User Channel​

If the stop is triggered and the order is repriced, a change message is published, for example:

{
    "new_price": "8245",
    "order_id": "...",
    "type": "change",
    "side": "sell",
    "old_price": "9785",
    "reason": "tpsl_triggered"
}

Only the user channel with your TPSL order displays with tpsl_triggered. Other clients will receive change reason, modify_order.

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