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The new order (D) message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.
The New Order (D) message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.
See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES"
Orders can be submitted with special handling instructions and execution instructions. Handling instructions refer to how the broker should handle the order on its trading floor (see HandlInst (21) field). Execution instructions contain explicit directions as to how the order should be executed (see ExecInst (18) field).
New Order (D) messages received with the PossResend (97) flag set in the header should be validated by ClOrdID (11) . Implementations should also consider checking order parameters (side, symbol, quantity, etc.) to determine if the order had been previously submitted. PossResends previously received should be acknowledged back to the client via an Execution - Status (8) message. PossResends not previously received should be processed as a new order and acknowledged via an Execution - New (8) message.
The value specified in the TransactTime (60) field should allow the receiver of the order to apply business rules to determine if the order is potentially "stale" (e.g. in the event that there have been communication problems).To support forex accommodation trades, two fields, ForexReq (121) and SettlCurrency (120) , are included in the message. To request a broker to execute a forex trade in conjunction with the securities trade, the institution would set the ForexReq (121) = Y and SettlCurrency (120) = "intended settlement currency". The broker would then execute a forex trade from the execution currency to the settlement currency and report the results via the execution message in the SettlCurrAmt (119) and SettlCurrency (120) fields.
The order message can also be used to request a straight forex trade. Conventions for identifying a forex transaction are as follows:
Orders involving or requiring Pre-Trade Allocation consist of the following steps:
To "take" an Indication of Interest (6) (or Quote (S) ) from an ECN or exchange and not display the order on the book, the New Order (D) message should contain the TimeInForce (59) field with ImmediateOrCancel and an OrdType (40) field with Previously Indicated ( or Previously Quoted).
The presence of DiscretionInst (388) on an order indicates that the trader wishes to display one price but will accept trades at another price. For example a sell order with OrdType (40) = Limit, Price (44) =50.00, DiscretionInst (388) = Related to displayed price and DiscretionOffset (389) = -0.25 means that the order should be displayed as an offer for 50.00, but will match any bid >= 49.75. Discretionary pricing can also be used when pegging an order - for example to indicate that a buy order is to be displayed as pegged to the bid minus 0.25, but can be matched by anything <= the offer, set OrdType (40) =Pegged, ExecInst (18) = Primary Peg, PegDifference (211) = -0.25, DiscretionInst (388) = Related to market price and DiscretionOffset (389) = 0.
See "Order State Change Matrices"
|<Standard Message Header>||Y||MsgType = D|
|11||ClOrdID||ClOrdID||Y||Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.|
|581||AccountType||AccountType||N||Type of account associated with the order (Origin)|
|78||NoAllocs||NoAllocs||N||Number of repeating groups for pre-trade allocation|
|=>||79||AllocAccount||AllocAccount||C||Required if NoAllocs (78) > 0. Must be first field in repeating group.|
|=>||<Nested Parties>||N||Used for NestedPartyRole (538) =Clearing Firm|
|64||FutSettDate||FutSettDate||C||Takes precedence over SettlmntTyp (63) value and conditionally required/omitted for specific SettlmntTyp (63) values.|
|18||ExecInst||ExecInst||N||Can contain multiple instructions, space delimited. If OrdType (40) =P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.|
|386||NoTradingSessions||NoTradingSessions||N||Specifies the number of repeating TradingSessionIDs|
|=>||336||TradingSessionID||TradingSessionID||C||Required if NoTradingSessions (386) is > 0.|
|81||ProcessCode||ProcessCode||N||Used to identify soft trades at order entry.|
|140||PrevClosePx||PrevClosePx||N||Useful for verifying security identification|
|114||LocateReqd||LocateReqd||C||Required for short sell orders|
|60||TransactTime||TransactTime||Y||Time this order request was initiated/released by the trader, trading system, or intermediary.|
|<Order Qty Data>||Y|
|44||Price||Price||C||Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.|
|99||StopPx||StopPx||C||Required for OrdType (40) = "Stop" or OrdType = "Stop limit".|
|<Spread Or Benchmark Curve Data>||N|
|23||IOIid||IOI_ID||C||Required for Previously Indicated Orders ( OrdType (40) =E)|
|117||QuoteID||QuoteID||C||Required for Previously Quoted Orders ( OrdType (40) =D)|
|59||TimeInForce||OrderDuration||N||Absence of this field indicates Day order|
|168||EffectiveTime||EffectiveTime||N||Can specify the time at which the order should be considered valid|
|432||ExpireDate||ExpireDate||C||Conditionally required if TimeInForce (59) = GTD and ExpireTime (126) is not specified.|
|126||ExpireTime||ExpireTime||C||Conditionally required if TimeInForce (59) = GTD and ExpireDate (432) is not specified.|
|427||GTBookingInst||GTBookingInst||N||States whether executions are booked out or accumulated on a partially filled GT order.|
|121||ForexReq||ForexReq||N||Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.|
|120||SettlCurrency||SettlCurrency||C||Required if ForexReq (121) = Y.|
|354||EncodedTextLen||EncodedTextLen||C||Must be set if EncodedText (355) field is specified and must immediately precede it.|
|355||EncodedText||EncodedText||C||Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.|
|193||FutSettDate2||FutSettDate2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.|
|192||OrderQty2||OrderQty2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.|
|640||Price2||Price2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).|
|77||PositionEffect||PositionEffect||N||For use in derivatives omnibus accounting|
|203||CoveredOrUncovered||CoveredOrUncovered||N||For use with derivatives, such as options|
|211||PegDifference||PegDifference||N||Amount (signed) added to the price of the peg|
|388||DiscretionInst||DiscretionInst||C||Code to identify the price a DiscretionOffset (389) is related to and should be mathematically added to. Required if DiscretionOffset (389) is specified.|
|389||DiscretionOffset||DiscretionOffset||N||Amount (signed) added to the "related to" price specified via DiscretionInst (388) .|
|480||CancellationRights||CancellationRights||N||For CIV - Optional|
|481||MoneyLaunderingStatus||MoneyLaunderingStatus||N||For CIV - Optional|
|513||RegistID||RegistID||N||Reference to Registration Instructions (o) message for this Order.|
|494||Designation||Designation||N||Supplementary registration information for this Order|
|158||AccruedInterestRate||AccruedInterestRate||N||Can be specified on the order for Fixed Income Municipals|
|159||AccruedInterestAmt||AccruedInterestAmt||N||Can be specified on the order for Fixed Income Municipals|
|118||NetMoney||NetMoney||N||Can be specified on the order for Fixed Income Municipals|
|<Standard Message Trailer>||Y|
|FRAMES | NO FRAMES|