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 Symbology 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.