Order Entry

• Body encoding OE (See BTP Body Encoding).
• Requires a login (See Login).
• Sends market state updates (See Market State).

Order Entry IDs

• orderId: A customer-defined, per connectionId, unique order identifier. This ID stays the same across subsequent modifications of the specific order.

• modifyId: A customer-defined, per orderId, unique modify identifier. This ID must be different across subsequent modifications of the specific order.

• ackId: A matching engine-defined, per engine instance, unique identifier for messages successfully applied to the order book. This ID includes Ack, Fill, and Closed messages but excludes Reject messages.

• The (ackId, orderId) pair uniquely identifies an order accepted by the matching engine and applied to the order book.

• The (ackId, orderId, modifyId) triplet uniquely identifies a modify to the respective order.

Order Entry Request

Open

Order types: All orders are limit orders. We do not support market orders, stops, stop limits, etc. We support Day and IOC orders for Time in Force.

Modify

Cancels: A modify with a quantity less than or equal to the order's fill quantity cancels the order. A modify that changes the price and sets the quantity to less than or equal to the order's fill quantity cancels the order and the price change is ignored. A quantity = 0 will short circuit the price limit rules. A modify order with quantity > 0 must conform to the price limit rules regardless of order cancellation.

Note: NULL is indistinguishable from 0 in the case of modifyId. It is highly recommended to not use 0 as a modifyId to avoid this ambiguity.

Order Entry Reply

Ack

Reject

Reject Reason

Request processing, and respective reject precedence, is as follows:

1. Connection state (ex: enabled/disabled)
2. Order state (ex: order closed)
3. Quantity (a modify with a closing quantity is processed regardless of an invalid price modification)
4. Price

Closed

A closed message will be sent when the order state cannot be inferred from the normal request-reply flow. This happens when an IOC is finished matching, self-match is prevented, or a customer cancels an order outside the order entry gateway connection.

A closed message will not be sent when an order is fully filled or a modify is acked, closing the order. For example, if an IOC misses or is partially filled, a closed message will be sent. If the IOC is fully filled, a closed message will not be sent.

Close Reason

Fill

When dealing with calendar spreads, 3 Fill messages are sent for each match. One will have either A or R liquidity corresponding to the spread contract itself. Then there will be one Fill message for each leg with S liquidity and 0 quantity which have the implied price. The order of these fills is guaranteed, where the spread fill is always immediately followed by the leg 1 fill and the leg 2 fill in that order.

Message Rate Throttling

Order entry requests are limited using a sliding window throttle. Unless otherwise stated or negotiated, order entry gateways have a 500 message per 3 seconds messaging rate. Cancels are always allowed past the messaging rate throttle. Rejects are sent in response to messages exceeding the message rate limit with a reason code 0x10 (Message rate exceeded).