This is a CQG-defined message not based on any existing FIX message.
CQG gateway sends this dedicated short message to report trailing price changes. In the future, it may be expanded to support other types of frequent server-initiated automatic updates (at that time, PeggedStopPx would become conditional rather than required).
Clients must be prepared to identify the affected order using OrderID (37) because ClOrdId (11) is not provided in this message. Clients must also be prepared to receive Automatic Order Update messages before the first Execution Report on a given order. If the specified order is unknown to the client, it must ignore the message.
Note: Automatic Order Updates are not guaranteed to be available for resend request responses. Execution Reports always contain the latest pegged prices for the order.
|
Tag |
Name |
Format |
Req |
Comments |
|
|
Standard Header |
|
Y |
MsgType = UZV |
|
1 |
Account |
String(256) |
Y |
Account ID (managed by CQG gateway) |
|
37 |
OrderID |
String(32) |
Y |
Unique identifier for order as assigned by CQG gateway. Matches value sent in most recent Execution Report (8). Note that an automatic order update does not change order’s OrderID. These updates are not considered full cancel/replaces, so don’t require new OrderIDs. |
|
20010 |
AccountName |
String |
N |
Symbolic name of account. |
|
20014 |
FCMAccountNumber |
String |
N |
Unique identifier of the account of the FCM. |
|
20052 |
PeggedStopPx |
Price |
C |
Conditionally required if OrdType=3 or 4 (Stop or StopLimit). Provides the Stop price of the order, as adjusted by CQG gateway according to Trailing exec instructions. |
|
50839 |
PeggedPrice |
Price |
C |
Conditionally required if ExecInst includes R (Trailing) and OrdType=2 or 4 (Limit or Stop limit). Provides the Limit price of the order, as adjusted by CQG gateway according to Trailing exec instructions. |
|
|
Standard Trailer |
|
|
|
Example: Automatic Order Update
8=FIX.4.2 | 9=70 | 35=UZV | 1=10168929 | 37=628510002 | 20052=1161.75000000 | 10=150 |