Order Entry V2 Websocket - Trade Fill

1

header

2

→ messageType

Message Type

messageType

• TRDR (Trade Response)

ALWAYS

3

→ possibleRetransInd

Possible Retransmission Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

OPTIONAL

4

→ sentTime

Sent Time

dateTime

ALWAYS

Timestamp of the message leaving the producing application.

5

→ sequenceNbr

Sequence Number

string

ALWAYS

6

payload

7

→ action

Action

orderAction

• TRADE (Trade)

ALWAYS

8

→ additionalVenueExecutionId

Additional Venue Execution ID

string

ALWAYS

9

→ aggressorInd

Aggressor Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

10

→ cumulativeQtyInt

Cumulative Quantity Integer

int32

ALWAYS

11

→ customerOrderId

Customer Order ID

string

ALWAYS

12

→ delta

Delta

decimal

CONDITIONAL

Criteria

• OPTIONAL when payload.spreadReportType[] = "LEG"

13

→ durationType

Duration Type

orderDurationType

• DAY (Day) - Order expires at the end of the trading day.

• FILL_AND_KILL (Fill and Kill) - Order is immediately executed against any available quantity and any remaining quantity is eliminated

• FILL_OR_KILL (Fill or Kill) - Order is filled completely or else eliminated

• GOOD_TILL_CANCEL (Good till Cancel) - Order remains working until cancelled

• GOOD_TILL_DATE (Good till Date) - Order remains working until the end of the trading session of the local market date specified in the ExpirationDate field.

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

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→ entities

15

→ → executingFirmrId

Executing Firm ID

string

ALWAYS

16

→ → operatorId

Operator ID

string

ALWAYS

17

→ → senderCountry

Sender Country

string

ALWAYS

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→ → senderState

Sender State

string

OPTIONAL

19

→ expirationDt

Expiration Date

date

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

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→ fills[]

21

→ → price

Fill Price

price

ALWAYS

22

→ → qtyInt

Fill Quantity Integer

int32

ALWAYS

23

→ → reason

Fill Reason

orderFillReason

ALWAYS

24

→ → venueExecutionId

Fill Venue Execution ID

string

ALWAYS

25

→ instrument

26

→ → glbxSecurityId

Globex Security ID

int32

ALWAYS

27

→ lastTradeCounterCcyNotionalAmt

Last Trade Counter Curency Notional Amount

decimal

CONDITIONAL

Criteria

• OPTIONAL when payload.spreadReportType[] = "LEG"

28

→ lastTradeNotionalAmt

Last Trade Notional Amount

decimal

CONDITIONAL

Criteria

• OPTIONAL when payload.spreadReportType[] = "LEG"

29

→ lastTradePx

Last Trade Price Integer

price

ALWAYS

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→ lastTradeQtyInt

Last Trade Quantity Integer

int32

ALWAYS

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→ legCount

Leg Count

int32

CONDITIONAL

Criteria

• OPTIONAL when payload.spreadReportType[] = SPREAD

32

→ manualInd

Manual Indicator

yesNoIndicator

• NO (No) - No

• YES (Yes) - Yes

CONDITIONAL

Indicates whether the order was generated by automated trading logic.

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

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→ marketDataTradeEntryId

Market Data Trade Entry ID

string

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

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→ price

Price

price

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

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→ qtyInt

Quantity Integer

int32

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

36

→ remainingQtyInt

Remaining Quantity Integer

int32

CONDITIONAL

Criteria

• ALWAYS when payload.spreadReportType[] IN (OUTRIGHT, SPREAD)

37

→ riskFreeRt

Risk-Free Rate

decimal

Criteria

• OPTIONAL when payload.spreadReportType[] = "LEG"

38

→ settlementDt

Settlement Date

date

Criteria

• OPTIONAL when payload.spreadReportType[] = "LEG"

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→ sideInd

Side Indicator

marketSideIndicator

• BUY (Buy) - Identifies a buy side order

• CROSS (Cross)

• SELL (Sell) - Identifies a sell side order

ALWAYS

40

→ spreadReportType[]

SpreadReportType

spreadReportType

• LEG (Leg of Spread)

• OUTRIGHT (Outright)

• SPREAD (Spread)

ALWAYS

41

→ status

Status

orderStatus

• FILLED (Filled)

• PARTIALLY_FILLED (Partially Filled)

ALWAYS

42

→ stopPrice