The document discusses how to place an order via FIX message by walking through the implementation. It covers different order types like market, limit, stop, and stop limit orders. It also discusses order validity periods like day, GTC, GTD, IOC, and FOK. The FIX order workflow and processing of execution reports is explained. Code examples in C# are provided to connect to a FIX acceptor, place an order by sending a NewOrderSingle message, and handle the execution reports. The FIX acceptor component processes messages from FIX clients and responds back with order status updates.

1. How to place Order via FIX message?
Purpose
The purpose of thispost isto walk-throughimplementation to“Place anOrderon viaFIXmessage
channel”.
In mypreviousposts,Ihave shownbasicimplementationof FIXmessageslike connect/disconnectand
Consume MarketFeeds.
You can read previous poststoknowmore aboutFIXmessage implementation.
 Fix Message Implementation usingQuickFix
 Consume Market feeds on FIX Protocol from Fix enabled broker/exchange usingQuickFix/n
Topics to be covered
I will coverfollowingtopicswithexample code inthispost:
 Differenttypesof Orders.
 OrdersValidity
 Orderworkflow.
 Place Order
 What isExecutionReport?
 Process ExecutionReport.
Order Types:
 Market Order: This isbasictype of order;wherein, traderbuyorsell at marketprice without
specifyingdesiredbuyorsell price.
 Limit Order: It isan order to buyor sell at a specifiedprice.A limitbuyordercanexecute at
specifiedbuyprice orlower. A limitsell ordercanexecute atspecified price orhigher.Inthis
order,traderhas to specifyprice before placinganorder.
 Stop Order: It issimilartomarket orderwhich execute whenspecificprice triggers.Forexample,
if the marketprice is $150, a traderplacesa buystoporder witha price of $160, whenprice
wouldmove 160 or above,thisorderwill become marketorderandexecuteatbestavailable
price.Thistype ordercan be usedfor Take-Profitand Stop-Loss.
 Stop Limit Order: Thisis a combinationof stoporderandlimitorder,like stoporder,it isonly
processedif the marketreachesaspecificprice,butitisexecutedlimitorder,therefore itwill
only getfilledatthe chosen or a betterprice.Forexample,if the currentprice is 150, a trader
mightplace a buy stoplimitorderwitha price of 160. If the markettradesat 160 or above,this

2. Execution Report <8> (Pending New)
Execution Report <8> (New)
Execution Report <8> (Partially Fill / Filled)
Single Order –New <D>
orderwill execute aslimitordertogetfilledat160. However,itmighthappenthatthisorder
may notfill if there isnotdepthavailable.
Detail descriptionof eachordertypescan be read on investopedia.
Order Validity
In additiontospecifyordertypes, tradescanalsospecifyvalidityof anorderforhow longparticular
orderis valid.Orderwouldbe cancelledafterexpiry.
Traderscan specifyfollowingvalidityof anorder:
 Day: Orderis onlyvalidtill endof the marketsession.
 GTC (Goodtill Cancel):Orderisvalidtill tradermanuallycancelsit.However,brokersmight
have max timeline tocancel ordersautomaticallyif orderisbeyondcertaindays,typically30,60
or 90 days.
 GTD (Goodtill Date): Orderis validtill endof the marketsessionof specifieddate mentionin
thisorder.
 IOC (Immediate or Cancel):Ordershouldbe partially/filledimmediatelywhile placingorder;
otherwise,itwouldbe cancelled.
 FOK (Fill or Kill):Eitherorderwouldbe fullyfilledorcancelled.Thistype of orderwould not
allowanypartial fills.
FIX Order workflow(Fills)
What is ExecutionReport?
It isFIX message whichbrokerside sentforanorder.Brokerside relaysstatusof an order,and there can
be multiple ExecutionReportsforasingle ordermessage.Executionreportscanhave followingstatus
and information:
Order Status
Fix Client
FIXBroker
Side

3. Important Fields
Field Description
ClOrderId Unique keyof an orderrequestedbyclient.
OrderId Unique keygeneratedbybroker/exchange foranorder.
ExecID Unique keyof each executionreportmessage.
Account Accountnumberon whichorder wasplaced.
OrdType Type of Ordere.g.Market , Limit
Price OrderedPrice specifiedtobuyorsell
Side Side of an order(buyor Sell)
Symbol Symbol name of instrumentonwhichorderplaced.
SecurityId InstrumentID
LastPx Orderd executedonthisprice.
LastQty Tradedquantityineach fill
LeavesQty RemainingQtyof an order.It iszerowhenorderis fullyfilled.
CumQty Total TradedQuantity
Technology/ToolsUsed:
Order
Status
Description
Done for
Day
Orderdidnot fullyorpartiallyfilled;nofurtherexecutions are pendingforthe trading
day.
Filled Ordercompletely filled;noremainingquantity.
Suspended Orderhas beenplacedinsuspendedstate atthe requestof the client.
Canceled Canceledorderwithorwithoutexecutions.
Expired Orderhas beencanceledinbroker'ssystemdue toordervalidity(TimeInForce)
instructions.
Partially
Filled
Outstandingorderwithexecutionsandremainingquantity.
Replaced Replacedorderwithorwithoutexecutions
New Outstandingorderwithnoexecutions
Rejected Orderhas beenrejectedbybroker.NOTE:Anordercan be rejectedsubsequenttoorder
acknowledgment,i.e.anordercan passfrom New toRejectedstatus.
Pending
New
Orderhas beenreceivedbybrokerssystembutnotyetacceptedforexecution.An
executionmessage withthisstatuswill onlybe sentinresponsetoa StatusRequest
message.
Accepted Orderhas beenreceivedandisbeingevaluatedfor pricing.

4. Examplesare writteninC#.
Fix message parserLibrary: QuickFix/n
Online Fix Logtool: http://FixHawk.Terebrum.com
Implementation
I have downloaded FIX UIDemocode fromQuickFix/nGithublocation tosave some time. Thissample
code alreadyhas connectionandorderroutines. Iwill dofurtherchangestoshow varioususe casesof
orderwork flowwithFIX4.4 specification. Ihave alsoaddedFIXAcceptorcomponenttoprocessFIX
messageslocally.
Connectwith FIX Acceptor
Clickon connectbutton.Fix InitiatorwillsendLogonmessage,whichwill be receivedbyFIXacceptor
and acknowledge itinreversesendinglogonmessage.
Applicationisreadytoplace anorder after connectionisestablished.
Placing Order
Fix 4.4 supports“NewOrderSingle (D)”toplace anysingle orderbythe client. Youcan findstandard
specificationthismessage onanyfix dictionary available online.However,message specificationmight
differfrombrokertobroker.
You can see standardFIXmessages/tagsspecificationon FIXIMATE.

5. Create an objectof “NewOrderSingle”classandset valuestopropertiesof class:
Code:
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new
QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.SidefSide=FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol =new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new
QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX44.NewOrderSingle nos = new QuickFix.FIX44.NewOrderSingle(
fClOrdID, fSymbol, fSide, fTransactTime, fOrdType);
nos.HandlInst = fHandlInst;
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)

6. nos.Price = new QuickFix.Fields.Price(price);
ProcessExecution Report
public void HandleExecutionReport(QuickFix.FIX44.ExecutionReport msg)
{
string execId = msg.ExecID.Obj;
string execType = FixEnumTranslator.Translate(msg.ExecType);
Trace.WriteLine("EVM: Handling ExecutionReport: " + execId + " / " +
execType);
ExecutionRecord exRec = new ExecutionRecord(
msg.ExecID.Obj,
msg.OrderID.Obj,
string.Empty,
execType,
msg.Symbol.Obj,
FixEnumTranslator.Translate(msg.Side));
exRec.LeavesQty = msg.LeavesQty.getValue();
exRec.TotalFilledQty = msg.CumQty.getValue();
exRec.LastQty = msg.LastQty.getValue();
}
FIX Acceptor
Thisis serverside componentwhichprocessmessagesfromFIXclientsandsendresponse backto them.
Executor Class
Thisclass is gettingvariousmethods callbacksonce receivedFIXmessage fromFIXClient.

7. public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
Thismethodwill be calledeverytime when“NewOrderSingle”message received.
I am simulatingdifferentstatusof anexecutionreport.Ihave added1sec sleeptime betweeneach
statuschange andcan be clearlyseeninUI.
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
throw new IncorrectTagValue(price.Tag);
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
// Send Status New
SendExecution(s, OrdStatus.NEW, ExecType.NEW, n, n.OrderQty.getValue(), 0, 0,
0, 0);
Thread.Sleep(1000);
// Send Status Partially Filled
decimal filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
decimal cumQty = filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n,
filledQty, filledQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Partially Filled
filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
cumQty += filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n,
n.OrderQty.getValue() - cumQty, cumQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Fully Filled
filledQty = n.OrderQty.getValue() - cumQty;
cumQty += filledQty;
SendExecution(s, OrdStatus.FILLED, ExecType.FILL, n, 0, cumQty,
price.getValue(), filledQty, price.getValue());
}

8. private void SendExecution(SessionID s, char ordStatus, char execType,
QuickFix.FIX44.NewOrderSingle n, decimal leavesQty, decimal cumQty, decimal avgPx,
decimal lastQty, decimal lastPrice)
{
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(execType),
new OrdStatus(ordStatus),
n.Symbol, //shouldn't be here?
n.Side,
new LeavesQty(leavesQty),
new CumQty(cumQty),
new AvgPx(avgPx));
exReport.ClOrdID = new ClOrdID(n.ClOrdID.getValue());
exReport.Set(new LastQty(lastQty));
exReport.Set(new LastPx(lastPrice));
if (n.IsSetAccount())
exReport.SetField(n.Account);
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
Thispost exhibitsstandardwayof handlingFIXmessages;however,implementationcanvaryfrom
brokerto broker.
I hope,thispostwill give yougoodunderstandingof how ordercanbe placedviaFIXchannel.Iwill
coverorder cancel and replace scenarioinnextpost.
Source Code
 Github
 Downloadable Zip file