Basket Fields

Some Basket File Header Fields/Order Values

Header Field

Order Values

Symbol

e.g. IBM, AMZN

SecType

The security type including stk, opt, fut, fop, war, cash, fund, efp, bag*

*Use the bag security type for spreads and combination orders.

Last Trading Day

YYYYMM

e.g. 201510 (for last trading day in Oct. 2015 )

Strike

e.g. 42.5 or 37.0

Right

P or C

Currency

e.g. USD

Exchange

Any valid destination, e.g. Smart, or NYSE or PHLX or VWAP or IBEFP.

Note:    To clarify any ambiguity for Smart routed contracts, include the primary exchange along with Smart for the destination, for example: Smart/NYSE.

For Jefferies and CSFB algos, enter JEFFALGO or CSFBALGO as the Exchange and use the Algo Strategy field to enter the algo, i.e. VWAP or seek.

Header Field

Order Values

Action

BUY or SELL

Quantity

e.g. 100 or 1

OrderType

As defined in TWS Type field, e.g. LMT, REL, VWAP, STP LMT.

LmtPrice

e.g. 96.47 or 96

For EFPs, use a decimal number for the raw price, or a percent value followed by A or C to designate Annualized or Compounded rate, for example 5.200%A.

AuxPrice

e.g. .05 or 1.25 or 2

PercentOffset

Any decimal value between 0 and 1, e.g. .05

BasketTag

Any unique string of alpha or numeric characters used to identify the basket order. This tag appears in the Order Reference field of the Trade report.

Time in Force Fields

Header Field

Order Values

TimeInForce

e.g. day, gtc, gtd, ioc, fok, opg, auc

GoodTilDate

YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated.

GoodAfter

YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated.

Advisor Fields

Header Field

Order Values

Account

Existing account number.

Group

Existing Account Group name.

Method

Allocation Method, valid if a Group is named.

•    PctChange

•    AvailableEquity

•    NetLiq

•    EqualQuantity

•    PctOfPortfolio

Percent

Use if Method = PctChange.

Profile

Existing Allocation Profile name.

Non-Cleared Fields

Header Field

Order Values

Account

Account number.

OpenClose

e.g. open, close

ShortLocation

MPID of third party

ShortSale

-1 (cust. has shares)

-2 (shares are with 3rd party)

Clearing

Identify your clearing choice.

ClearingAccount

Identity of the true beneficiary of the order.

Volatility Fields

Header Field

Order Values

ReferencePriceType

A (average of best bid/ask) or B (NBB when buying a call or selling a put; NBO when selling a call or buying a put)

HedgeOrderType

Lmt, Mkt or Rel

HedgeAuxPrice

Use to set the price if HedgeOrderType is used.

StockRangeLower

Low stock price of the range used to cancel the order if the underlying price falls below.

StockRangeUpper

High stock price of the range used to cancel the order if the underlying price goes above.

ContinuousUpdate

True. If you don't want to use continuous update do not include the field in the header row.

Miscellaneous Fields

Header Field

Order Values

Algo Strategy

Vwap, Twap, etc.

To use Jefferies or CSFB algo, you must enter the appropriate Exchange.

Algo maxPctVol

Max percent of volume for option algo.

Algo riskAversion

Get done, Aggressive, Neutral, Passive

Algo forceCompletion

True or False

Algo NoTakeLiq

True or False. Do not take liquidity. Valid for IB Algos

Algo AllowPastEndTime

True or False. Let the IB Algo run past the close.

Algo Speedup

True or False. Algo will speed up when market price approaches the limit price.

DiscretionaryAmt

Price off the limit price to create Discretionary order.

DisplaySize

Defines the quantity of the order to be made public, creates an Iceberg order.

OutsideRth

True to allow order to trigger or fill outside regular trading hours.

BlockOrder

True

SweepToFill

True

Hidden

True

AllOrNone

True

Minimum Quantity

Number for minimum acceptable fill quantity for order to execute.

OcaGroup

Value that identifies the order as part of a group.