Imandra Connectivity - IPL documentation

Documentation generated automatically from the IPL model code.

Messages

8: ExecutionReport

The execution report message is used to: 1. Confirm the receipt of an order 2. Confirm changes to an existing order (i.e. accept cancel and replace requests) 3. Relay order status information 4. Relay fill information on working orders 5. Relay fill information on tradeable or restricted tradeable quotes 6. Reject orders 7. Report post-trade fees calculations associated with a trade

Tag	Name	Required	Type
37	OrderID	✔	string
17	ExecID	✔	string
150	ExecType	✔	ExecType
39	OrdStatus	✔	OrdStatus
54	Side	✔	Side
38	OrderQty	✔	float
151	LeavesQty	✔	float
14	CumQty	✔	float
58	Text		string
	Parties	✔	Parties (repeating group)
18	ExecInst	✔	Set(ExecInst)

Validations

OrderIDis required

ExecIDis required

ExecTypeis required

OrdStatusis required

Sideis required

OrderQtyis required

LeavesQtyis required

CumQtyis required

Partiesis required

ExecInstis required

D: NewOrderSingle

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

Tag	Name	Required	Type	Validations
11	ClOrdID		string	ClOrdIDmust not be"N/A"
54	Side	✔	Side
60	TransactTime	✔	UTCTimestamp
40	OrdType	✔	OrdType	OrdTypemust be one of [LimitMarketStopSpread]
38	OrderQty	✔	float
10001	SpreadProportion		float	whenSpreadProportionis present SpreadProportion>0.0 and SpreadProportion<=1.0
44	Price		float
1	Account		string
18	ExecInst		Set(ExecInst)
	Parties	✔	Parties (repeating group)	forallParties PartyIndex>0 and PartyIndex<100 forallParties PartyIDmust not be"N/A"

Validations

ClOrdIDmust not be"N/A"

Sideis required

TransactTimeis required

OrdTypeis required

and

OrdTypemust be one of

[LimitMarketStopSpread]

OrderQtyis required

whenSpreadProportionis present

SpreadProportion>0.0

and

SpreadProportion<=1.0

Partiesis required

and

forallParties

PartyIndex>0

and

PartyIndex<100

and

forallParties

PartyIDmust not be"N/A"

when

OrdTypeisMarket

then

Pricemust not be present

and vice versa.

and

when

OrdTypeisLimit

then

Pricemust be present

and

when

OrdTypeisStopSpread

then

Pricemust be present

when

OrdTypeisStopSpread

then

SpreadProportionmust be present

and vice versa.

when

OrdTypeis notMarket

then

Price>0.0

when

Partiesis

[]

then

is valid

and

forallParties

forallPtysSubGrp

whenPartySubIDis present

e_Parties.PartyIDmust not bePartySubID

Fields

Tag	Name	Type	Member of
60	TransactTime	UTCTimestamp	NewOrderSingle
58	Text	string	ExecutionReport
54	Side	Side	ExecutionReport NewOrderSingle
44	Price	float	NewOrderSingle
40	OrdType	OrdType	NewOrderSingle
39	OrdStatus	OrdStatus	ExecutionReport
38	OrderQty	float	ExecutionReport NewOrderSingle
37	OrderID	string	ExecutionReport
18	ExecInst	Set(ExecInst)	ExecutionReport NewOrderSingle
17	ExecID	string	ExecutionReport
151	LeavesQty	float	ExecutionReport
150	ExecType	ExecType	ExecutionReport
14	CumQty	float	ExecutionReport
11	ClOrdID	string	NewOrderSingle
10001	SpreadProportion	float	NewOrderSingle
1	Account	string	NewOrderSingle

Enumeration types

ExecInst

Encoding: MultipleValueChar

Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.

Case	Tag
NotHeld	1
Work	2
GoAlong	3
OverTheDay	4
Held	5
ParticipateDoNotInitiate	6
StrictScale	7
TryToScale	8
StayOnBidSide	9
StayOnOfferSide	0
NoCross	A
OKToCross	B
CallFirst	C
PercentOfVolume	D
DoNotIncrease	E
DoNotReduce	F
AllOrNone	G
ReinstateOnSystemFailure	H
InstitutionsOnly	I
ReinstateOnTradingHalt	J
CancelOnTradingHalt	K
LastPeg	L
MidPricePeg	M
NonNegotiable	N
OpeningPeg	O
MarketPeg	P
CancelOnSystemFailure	Q
PrimaryPeg	R
Suspend	S
CustomerDisplayInstruction	U
Netting	V
PegToVWAP	W
TradeAlong	X
TryToStop	Y
CancelIfNotBest	Z
TrailingStopPeg	a
StrictLimit	b
IgnorePriceValidityChecks	c
PegToLimitPrice	d
WorkToTargetStrategy	e

ExecType

Encoding: char

Describes the specific ExecutionRpt (i.e. Pending Cancel) while OrdStatus (39) will always identify the current order status (i.e. Partially Filled) *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***

Case	Tag
New	0
DoneForDay	3
Canceled	4
Replaced	5
PendingCancel	6
Stopped	7
Rejected	8
Suspended	9
PendingNew	A
Calculated	B
Expired	C
Restated	D
PendingReplace	E
Trade	F
TradeCorrect	G
TradeCancel	H
OrderStatus	I

OrdStatus

Encoding: char

Identifies current status of order. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Case	Tag
New	0
PartiallyFilled	1
Filled	2
DoneForDay	3
Canceled	4
PendingCancel	6
Stopped	7
Rejected	8
Suspended	9
PendingNew	A
Calculated	B
Expired	C
AcceptedForBidding	D
PendingReplace	E
Replaced	5

OrdType

Encoding: char

Order type *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Case	Tag
Market	1
Limit	2
Stop	3
StopLimit	4
WithOrWithout	6
LimitOrBetter	7
LimitWithOrWithout	8
OnBasis	9
PreviouslyQuoted	D
PreviouslyIndicated	E
ForexSwap	G
Funari	I
MarketIfTouched	J
MarketWithLeftOverAsLimit	K
PreviousFundValuationPoint	L
NextFundValuationPoint	M
Pegged	P
StopSpread	s

PartySubIDType

Encoding: int

Type of PartySubID (523) value 4000+ = Reserved and available for bi-laterally agreed upon user defined values

Case	Tag
Firm	1
Person	2
System	3
Application	4
FullLegalNameOfFirm	5
PostalAddress	6
PhoneNumber	7
EmailAddress	8
ContactName	9
SecuritiesAccountNumber	10
RegistrationNumber	11
RegisteredAddressForConfirmation	12
RegulatoryStatus	13
RegistrationName	14
CashAccountNumber	15
BIC	16
CSDParticipantMemberCode	17
RegisteredAddress	18
FundAccountName	19
TelexNumber	20
FaxNumber	21
SecuritiesAccountName	22
CashAccountName	23
Department	24
LocationDesk	25
PositionAccountType	26

Side

Encoding: char

Side of order

Case	Tag
Buy	1
Sell	2
BuyMinus	3
SellPlus	4
SellShort	5
SellShortExempt	6
Undisclosed	7
Cross	8
CrossShort	9
CrossShortExempt	A
AsDefined	B
Opposite	C
Subscribe	D
Redeem	E
Lend	F
Borrow	G

Repeating groups

Parties

Tag	Name	Required	Type
453	NoPartyIDs	✔	int
448	PartyID	✔	string
10002	PartyIndex	✔	int
	PtysSubGrp	✔	PtysSubGrp (repeating group)

PtysSubGrp

Tag	Name	Required	Type
802	NoPartySubIDs		int
803	PartySubIDType	✔	PartySubIDType
523	PartySubID		string