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TRUM – Section 4.2

Data fields related to order details

This section includes the following fields:

13. Order ID
14. Order type
15. Order condition
16. Order status
17. Minimum execution volume
18. Price limit
19. Undisclosed  volume
20. Order duration

 

Data Field No (13) Order ID

No. Field Identifier Description
13 Order ID The order shall be identified by using a unique code identifier provided by the market place or counterparties.

 

Description of Accepted Values Type Length Examples
Up to 100 alphanumerical digits. Alphanumerical 100 12345abcdef

 

This field identifies the unique order ID as specified by the organised market place (exchange or broker) to identify the order to trade.

When reporting an order ID from an organised market place, the ID should be unique for that contract and for that market place. The order ID shall be maintained throughout the lifecycle of the order. If an order is reported with an ID when it is reported as new, the same ID shall be used to identify the transaction throughout the remainder of its lifecycle.

 

Data Field No (14) Order type

No. Field Identifier Description
14 Order type The type of order as defined by the functionality offered by the organised market place.

 

Description of Accepted Values Type Length Examples
BLO=Block
CON=Convertible
COM=Combination
EXC=Exclusive
FHR=Flexible Hour
IOI=Indication of Interest
LIM=Limit
LIN=Linked
LIS=Linear Step
MAR=Market
MTL=Market to Limit
SMA=Smart Order
SPR=Spread
STP=Step
VBL=Variable Block
OTH=Other
Text 3 MAR

 

This field identifies the type of order that is reported. Every order shall have a type as defined within the list below. Orders can have various characteristics.

BLO=Block: an order which is linked to one or more other orders for the purpose of trading (that must have the same price and the same quantity according to the trading venue’s rules) irrespective of whether the periods (e.g. half hours, hours) are contiguous.

CON=Convertible:  an order which under market conditions may be converted from a block order to a single hourly order.

COM=Combination:  an order which refers to two or more orders concerning different series and where the respective orders are executed simultaneously.

EXC=Exclusive:  a complex order type where the linked order is the exclusive order, i.e. only one of the orders can be transacted.

FHR=Flexible Hour:  a specific order that can trade at any hour provided that the price and volume are matched.

IOI=Indication of Interest:  quotations on trading venues such as Indication of Interest advertised on the screens of the organised market places.

LIM=Limit:  an order submitted with a specified limit price; the order executes either in part or in full at its limit price or better.

LIN=Linked:  an order where there is a dependency on/from another order for choosing to trade either one or the other or both orders.

LIS=Linear Step:  an order where the specified step range is matched linearly.

MAR=Market:  an unpriced order that will execute against the best priced orders.

MTL=Market to Limit:  a market order that executes at the best price, with any unexecuted portion stored in the book as a limit order.

SMA=Smart Order:  an order can be either against a financial or physical contract.

SPR=Spread:  an order where the order contains more than one contract e.g. taking either long or short position in different contracts.

STP=Step:  an order which defines a specific step range or step price.

VBL=Variable Block:  an order in which the block quantity can vary, i.e. different quantity at different hours.

OTH=Other:  an order that has not been identified by one of the existing order types.

 

Data Field No (15) Order condition

No. Field Identifier Description
15 Order condition A special condition for the order to execute.

 

Description of Accepted Values Type Length Examples
AON=All or None
FAF=Fill and Float
FAK=Fill and Kill
FOK=Fill or Kill
HVO=Hidden Volume
MEV=Minimum Execution Volume
OCO=One Cancels Other
PRE=Preference
PRI=Priority
PTR=Price Trigger
SLO=Stop Loss Order
OTH=Other
Text 3 FOK

 

This field identifies the conditions applied to the order at the time of the lifecycle event (new, modify, cancel, terminate) for the order, which indicates the special behaviours of the order types in combination with the order definition and the specific lifecycle event of the order.

AON=All or None: an order which must fill in full otherwise it will remain on the book until the entire volume has been matched.

FAF=Fill and Float: an order which will be killed immediately after matching with any available volume on the order book; if not filled at all, it stays in the market.

FAK=Fill and Kill: an order which must be filled as much as possible immediately upon entry; otherwise, it is removed from the order book.

FOK=Fill or Kill: an order which must fill immediately in full when it is entered into the book; otherwise, it will be removed without trading.

HVO=Hidden Volume: an order that has a hidden quantity, which is part of the total quantity of the order.

MEV=Minimum Execution Volume: an order which specifies a minimum volume of the order that has to be matched to allow trading.

OCO=One Cancels Other: an order which if triggered cancels another order.

PRE=Preference: an order which will trade with a specific participant or participants in preference of others.

PRI=Priority: an order which has a priority obligation for trading, i.e. it cannot trade with a participant within its own group.

PTR=Price Trigger: an order which will not be available for execution unless a specific trigger price is reached, similar to a Stop Loss, but may be triggered across product pricing, i.e. the price trigger may be based on a different contract or index.

SLO=Stop Loss Order : an order that is submitted to the market as a limit order or market order once a certain price condition of an instrument is met.

OTH=Other: an order that has not been identified by one of the existing order condition.

 

Data Field No (16) Order status

No. Field Identifier Description
16 Order status The status of the order, for example if order is active or deactivated.

 

Description of Accepted Values Type Length Examples
ACT=Active
COV=Converted
EXP=Expired
MAC=Matched
PMA=Partial Matched
REF=Refilled
SUS=Suspended
WIT=Withdrawn
OTH=Other
Text 3 ACT

 

This field identifies the status of the order that has been reported. Every order should have a status as defined by the list of order status reported above.

ACT=Active: the order has been activated by the system or participant and is visible in the active order book.

COV=Converted: converted a block order or variable block order which has been converted into a single order.

EXP=Expired: the order has expired as per its order duration or order conditions.

MAC=Matched: the order has been fully matched by another order transaction.

PMA=Partial Matched: the order has been partially matched by another order transaction.

REF=Refilled: the order has had the hidden or undisclosed quantity refilled to provide visible volume for the order to trade.

SUS=Suspended: an order which has been suspended from trading by the system.

WIT=Withdrawn: an order has been withdrawn from the market.

OTH=Other: an order that has not been identified by one of the existing order status.

 

Data Field No (17) Minimum execution volume

No. Field Identifier Description
17 Minimum execution volume Minimum Execution Volume – The quantity / volume of any defined minimum execution.

 

Description of Accepted Values Type Length Examples
Up to 20 numerical digits in the format xxxxx.yyyyy with a maximum of 5 decimals. Number 20 100

 

This field identifies the minimum execution volume of the order which has to be matched for the order to be executed. This field shall only be populated if the order condition field 15 is Minimum Execution Volume “MEV”.

 

Data Field No (18) Price limit

No. Field Identifier Description
18 Price limit The defined price of the limit for the trigger or stop loss order.
Description of Accepted Values Type Length Examples
Up to 20 numerical digits in the format xxxxx.yyyyy with a maximum of 5 decimals. Number 20 58.6

 

This field identifies the defined price limit for a trigger or stop loss order that causes the order to either enter into the order book or to be withdrawn from the order book. This field shall only be populated if the order condition is Price Trigger “PTR” or Stop Loss “SLO”.

 

Data Field No (19) Undisclosed volume

No. Field Identifier Description
19 Undisclosed volume The volume that is not disclosed to the market for the order.

 

Description of Accepted Values Type Length Examples
Up to 20 numerical digits in the format xxxxx.yyyyy with a maximum of 5 decimals. Number 20 1000

 

This field identifies the “undisclosed” or “hidden” volume of the order as provided to the organised market place. The volume entered in this field is the volume of the order which is not visible to the market place. This field applies to those orders that have an order condition Hidden Volume “HVO” (e.g. Iceberg Orders).

 

Data Field No (20) Order duration

No. Field Identifier Description
20 Order duration The order duration is the time for which the order exists within the system until it is removed / cancelled unless it is executed.
Description of Accepted Values Type Length Examples
DAY=Day
GTC=Good Till Cancelled
GTD=Good Till Date
GTT=Good Till Time
SES=Session
OTH=Other
Text 3 SES

 

This field identifies the duration of the order, i.e. the time for which the order exists within the system until it is removed or cancelled unless it is executed. For example, an order can be active during the trading session for the day or until it is cancelled.

DAY=Day: an order which persists for the current day only.

GTC=Good Till Cancelled: an order which persists until the user cancels the order or it reaches the system maximum duration.

GTD=Good Till Date: an order which persists until a specified date.

GTT=Good Till Time: order which persists until a specified time and date.

SES=Session: an order which persists only within the current trading session or until gate closure

OTH=Other: an order duration that has not been identified by one of the existing order duration types.

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