General

The following tags are used to place Algorithmic orders. The tags can be used in message types New Order Single (35=D), Order Cancel Replace (35=G) and Execution Report (35=8).

For Algo order amendments, all required tags should be resubmitted in the Order Cancel Replace Request message (35=G).

Tag No.	Tag Name	Required	Description
847	TargetStrategy	N	'1' = VWAP '1002' = With Volume '1003' = Implementation Shortfall '1005' = Reload '1006' = Nordic @Mid '1007' = Iceberg '1009' = Pre Market Limit '1010' = After-Market Limit '1014' = TWAP '1015' = Market on Close (MOC) '1023' = Dark '1024' = Liquidity Seeking '1026' = TWAP Fut '1027' = VWAP Fut '1028' = With Volume Fut '1029' = Iceberg Fut '1030' = Limit on Close (LOC) '1032' = Target Close '1033' = Peg '1034' = Peg Fut
848	TargetStrategyParameters	N	Expresses urgency with which order is to be executed 'LOW', 'MEDIUM', 'HIGH'
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. (Integer)
111	MaxFloor	N	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20190410-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20190410-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.
12106	AlgoInOpen	N	Enables user to participate in Opening Auction i.e. 'Y'= Participation 'N'= No participation (default)
12107	AlgoInClose	N	Enables user to participate in Closing Auction i.e. 'Y'= Participation 'N'= No participation (default)
12100	IWouldPrice	N	The price at which you would complete the entire order. (Decimal)

The following describes the tags relevant for each supported Algo order, as well as the products, order types and durations that are supported. Some tags are mandatory for a given Algo order type, others are optional.

VWAP (Volume Weighted Average Price)

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1' = VWAP
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 1 and 100. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.
12106	AlgoInOpen	N	Enables user to participate in Opening Auction i.e. 'Y'= Participation 'N'= No participation (default)
12107	AlgoInClose	N	Enables user to participate in Closing Auction i.e. 'Y'= Participation 'N'= No participation (default)
12100	IWouldPrice	N	The price at which you would complete the entire order. (Decimal)

With Volume

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day '1' for GTC

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1002' = With Volume
849	ParticipationRate	Y	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 2 and 70. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.
12106	AlgoInOpen	N	Enables user to participate in Opening Auction i.e. 'Y'= Participation 'N'= No participation (default)
12107	AlgoInClose	N	Enables user to participate in Closing Auction i.e. 'Y'= Participation 'N'= No participation (default)
12100	IWouldPrice	N	The price at which you would complete the entire order. (Decimal)

Implementation Shortfall

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1003' = Implementation Shortfall
848	TargetStrategyParameters	N	Expresses urgency with which order is to be executed 'LOW', 'MEDIUM', 'HIGH'
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 1 and 100. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.
12106	AlgoInOpen	N	Enables user to participate in Opening Auction i.e. 'Y'= Participation 'N'= No participation (default)
12107	AlgoInClose	N	Enables user to participate in Closing Auction i.e. 'Y'= Participation 'N'= No participation (default)
12100	IWouldPrice	N	The price at which you would complete the entire order. (Decimal)

Reload

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1005' = Reload
111	MaxFloor	Y	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)

Iceberg

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1007' = Iceberg
111	MaxFloor	Y	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)

Nordic @MID

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1006' = Nordic @MID

Pre-Market Limit

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1009' = Pre-Market Limit

TWAP (Time Weighted Average Price)

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1014' = TWAP
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 1 and 100. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.
12106	AlgoInOpen	N	Enables user to participate in Opening Auction i.e. 'Y'= Participation 'N'= No participation (default)
12107	AlgoInClose	N	Enables user to participate in Closing Auction i.e. 'Y'= Participation 'N'= No participation (default)
12100	IWouldPrice	N	The price at which you would complete the entire order. (Decimal)

Market On Close (MOC)

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1015' = Market on Close (MOC)

Liquidity Seeking

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1024' = Liquidity Seeking
848	TargetStrategyParameters	Y	Expresses urgency with which order is to be executed 'LOW', 'MEDIUM', 'HIGH'

Dark

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1023' = Dark

TWAP FUT

Tag No.	Tag Name	Supported values
167	SecurityType	Algo Order Strategy Exchanges config empty???
775	BookingType	'0' = Regular booking?? '1' = CFD (Contract for Difference) ??
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1026' = TWAP Fut
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 1 and 100. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.

VWAP FUT

Tag No.	Tag Name	Supported values
167	SecurityType	Algo Order Strategy Exchanges config empty???
775	BookingType	'0' = Regular booking ?? '1' = CFD (Contract for Difference) ??
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1027' = TWAP Fut
849	ParticipationRate	N	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 1 and 100. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.

With Volume FUT

Tag No.	Tag Name	Supported values
167	SecurityType	Algo Order Strategy Exchanges config empty???
775	BookingType	'0' = Regular booking ?? '1' = CFD (Contract for Difference) ??
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1028' = With Volume Fut
849	ParticipationRate	Y	Indicates the maximum percentage of trade volume that an order should participate in. Valid values between 2 and 70. (Integer)
12103	AlgoStartTime	N	Time UTC the order should Start to be executed, example 20200131-09:25:00 If 12103 or 12104 are not set, order will participate in full trading session.
12104	AlgoEndTime	N	Time UTC that order should stop executing, example 20200131-16:00:00 If 12103 or 12104 are not set, order will participate in full trading session.

Iceberg FUT

Tag No.	Tag Name	Supported values
167	SecurityType	Algo Order Strategy Exchanges config empty???
775	BookingType	'0' = Regular booking ?? '1' = CFD (Contract for Difference) ??
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day '1' for GTC '6' for GTD

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1029' = Iceberg Fut
111	MaxFloor	Y	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)

Limit On Close (LOC)

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stock
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1030' = Limit on Close (LOC)

Target Close

Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1032' = Target Close

Peg

Tag No.	Tag Name	Supported values
Tag No.	Tag Name	Supported values
167	SecurityType	'CS' for Stocks
775	BookingType	'0' = Regular booking '1' = CFD (Contract for Difference)
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1033' = Peg
111	MaxFloor	N	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)

Peg FUT

Tag No.	Tag Name	Supported values
167	SecurityType	Algo Order Strategy Exchanges config empty???
775	BookingType	'0' = Regular booking ?? '1' = CFD (Contract for Difference) ??
40	OrdType	'1' for Market '2' for Limit
59	TimeInForce	'0' for Day

Tag No.	Tag Name	Required	Description
847	TargetStrategy	Y	'1034' = Peg Fut
111	MaxFloor	N	Maximum quantity (e.g. number of shares) within an order to be shown on the exchange floor at any given time. (Integer)

Algo Order FIX Tags