Order parameters and contract identification requirements.

To make external order placement/modification handling possible for CQG FIX Client FIX server shall populate following order parameters related fields in the Execution Report (8) message sent to CQG FIX Client:

•      UnsolicitedIndicator(325) field set to Y.

•      ExternalOrderIndicator (50935) field set to Y.

NOTE: UnsolicitedIndicator(325) and ExternalOrderIndicator (50935) have the same meaning but UnsolicitedIndicator(325) is deprecated for future using and ExternalOrderIndicator(50935) should be used instead.

•      Account(1) - populated with an account number external orders belongs to.

•      OrdType(40) - type of an order (see 3.5.1 for supported order types).

•      TimeInForce(59) - order duration (see 3.5.1 for supported order durations).

•      ExpireDate(432) - order’s expiration date in YYYYMMDD format when TimeInForce(59) is GTD (‘6’).

NOTE: expiration date of external GTD order shall be lesser or equal to last trading day of contract of that order, otherwise external order placement/modification processing will fail at CQG FIX Client side.

•      MaxShow(210) - visible quantity of a Limit (OrdType(40)=’2’) Iceberg order if applicable.

•      Side(54) -  external order side.

•      Price(44) - limit price of an external order when OrdType(40)=’2’ (Limit) or ‘4’ (StopLimit).

•      StopPx(99) - stop price of an external order when OrdType(40)=’3’ (Stop) or ‘4’ (StopLimit).

•      OrderQty(38) - external order quantity.

•      OrderID(37) – unique system order identifier assigned by FIX Server.

Additionally for identifying external order’s contract following fields are required:

•      Symbol(55) shall have same value as it would be populated by CQG FIX Client if order request was submitted from it (see 3.1.1 for symbol format details).

•      SecurityType(167) shall be FUT for futures, OPT for options, SPD for spreads, SSI for strategy as a single instruments.

•      ExDestination(100) shall have same value as it would be populated by CQG FIX Client if order request was submitted from it.

•      MaturityMonthYear(200) shall be present when external order’s contract expiration is referenced using month and year and SecurityType(167) is either FUT or OPT. Field format is YYYYMM.

•      MaturityDate(541) shall be present when external order’s contract expiration is referenced using date and SecurityType(167) is either FUT or OPT. Field format is YYYYMMDD.

•      PutOrCall(201) defines an option type, valid values are 0 for Put option and 1 for Call. Required when SecurityType(167) is OPT.

•      StrikePrice(202) defines option contract strike price. Required when SecurityType(167) is OPT.

•      In case of HKFE After-Hours Futures Trading NoTradingSessions(386) shall be set to 1 and TradingSessionID(336) shall be set to 6.