Li Meal Go Fix Manual

Lime Brokerage LLC Confidential Do Not Redistribute

Algo FIX Spec

Version 2.6

April 14th, 2015

Lime Brokerage Algo Client Integration Guide 04/14/2015

Lime Brokerage Confidential

Do Not Redistribute Page 2 of 30

Contents Overview ........................................................................................................................................................................................ 4 This Document ....................................................................................................................................................................... 4 Lime Brokerage-Specific Information .......................................................................................................................... 4 Algorithmic Strategies ................................................................................................................................................... 4 Hours of Operation .......................................................................................................................................................... 4 Lime Brokerage Web Portal (optional) .................................................................................................................. 6 Symbology ........................................................................................................................................................................... 6 Common FIX Fields ................................................................................................................................................................... 7 Required FIX Tags for Orders .......................................................................................................................................... 7 Optional Fields & Strategy Parameters ....................................................................................................................... 9 Algorithmic Strategies .......................................................................................................................................................... 13 CLOSE Strategy .................................................................................................................................................................... 13 DARKSWEEP Strategy ...................................................................................................................................................... 14 FLOAT Strategy ................................................................................................................................................................... 15 IS Strategy ............................................................................................................................................................................. 16 JUICE Strategy ...................................................................................................................................................................... 17 LSR, LSRL, LSRD, LSRC, LSR1, LSR2 & LSR3 Strategies ..................................................................................... 18 LSRO, LSRO1, LSRO2 & LSRO3 Strategies ............................................................................................................... 19 PNPAIR Strategy ................................................................................................................................................................. 20 CNPAIR Strategy ................................................................................................................................................................. 21 PORTOPEX Strategy .......................................................................................................................................................... 22 POV Strategy ........................................................................................................................................................................ 23 SCALEPOV Strategy ........................................................................................................................................................... 24 SORT Strategy ...................................................................................................................................................................... 25 TWAP Strategy .................................................................................................................................................................... 26 VWAP Strategy .................................................................................................................................................................... 27 Appendix A FIX atdl ............................................................................................................................................................ 29 Appendix B - Revision History .......................................................................................................................................... 30




Overview

This Document This document outlines the FIX application level interface to algorithmic trading strategies available to EMS, OMS, and FIX clients via the Lime Algo Trading system. The Algorithmic product is based on the Lime high throughput low latency trading system. As such this document should be used in conjunction with the Trading Server 3 FIX Manual which describes the Lime implementation of the FIX protocol. This document is available separately and can be obtained by contacting [email protected] Lime Brokerage-Specific Information

Algorithmic Strategies Details on the strategies offered by Lime can be obtained by contacting [email protected] Hours of Operation Lime Brokerage Algo trading hours vary by strategy. The servers do not allow for overnight connections, and Lime Brokerage will disconnect all FIX sessions at some point after 16:00. Login may begin at 7:50 each morning. Strategy Trading Start Trading End CLOSE 09:30 (9:30AM) ET 16:00 (4PM) ET DARKSWEEP 09:30 (9:30AM) ET 16:00 (4PM) ET FLOAT 09:30 (9:30AM) ET 16:00 (4PM) ET IS 09:30 (9:30AM) ET 16:00 (4PM) ET JUICE 09:30 (9:30AM) ET 16:00 (4PM) ET LSR variants 08:00 (8:00AM) ET 17:00 (5PM) ET PNPAIR 09:30 (9:30AM) ET 16:00 (4PM) ET CNPAIR 09:30 (9:30AM) ET 16:00 (4PM) ET PORTOPEX 09:30 (9:30AM) ET 16:00 (4PM) ET POV 09:30 (9:30AM) ET 16:00 (4PM) ET SCALEPOV 09:30 (9:30AM) ET 16:00 (4PM) ET SORT 08:00 (8:00AM) ET 17:00 (5PM) ET TWAP 09:30 (9:30AM) ET 16:00 (4PM) ET VWAP 09:30 (9:30AM) ET 16:00 (4PM) ET




Lime Brokerage Web Portal (optional) Lime Brokerage offers an Enterprise Trading Portal available over the Web for clients that may be used in conjunction with a FIX session or EMS/OMS for monitoring and order placement. Note that any order activity generated by using the Lime Web Portal will be reflected in the outbound (from Lime ! client or EMS) FIX stream, so in this case a FIX client or EMS would receive execution reports (acks, UROUTs, fills, etc.) for orders that were placed via the Portal. Symbology Lime does not maintain its own symbology. Symbol/Suffix (tags 55/65) must be supplied in the format of the listing exchange. When symbology differs among venues, Lime will perform translation to and from venues during order execution. To specify a symbol that contains a suffix, e.g. VIA.B (or VIA/B or VIA B) use tag 55 for the symbol root and tag 65 for the suffix, e.g. 55=VIA and 65=B.




Common FIX Fields

Required FIX Tags for Orders The following FIX tags are required on all New Order Single FIX messages (35=D). Tag Field Name Type Description 1 Account String Account identifier. Required when routing via bureau or gateway. Value is assigned by Lime and optionally provisioned by Lime. 11 ClOrdId String Client Order Identifier. Must be unique for each value of Account (tag 1). Minimum length of 3 characters and maximum length of 16 characters. 38 OrderQty Integer Quantity ordered. 40 OrdType Integer Order type. Supported values 1 Market 2 Limit 54 Side Integer Side of order. Supported values 1 Buy 2 Sell 5 Short 9 Cover 55 Symbol String Ticker symbol. 100 ExDestination String Algorithmic service identifier. Supported values A1 Lime Brokerage LA Lime Brokerage LimeAlgo suite 9100 Strategy String Strategy identifier Supported values when 100=A1 CLOSE CLOSE algo strategy DARKSWEEP DARKSWEEP algo strategy FLOAT FLOAT algo strategy IS IS algo strategy JUICE JUICE algo strategy POV POV algo strategy




Tag Field Name Type Description SCALEPOV Scale POV algo strategy SORT SORT (Sweep Post) algo strategy TWAP TWAP algo strategy VWAP VWAP algo strategy PNPAIR PNPAIR algo strategy CNPAIR CNPAIR algo strategy PORTOPEX PORTOPEX algo strategy Supported values when 100=LA LSR LSR equities algo strategy LSRL LSR Lit markets algo strategy LSRD LSR Dark markets algo strategy LSRC LSR Cheap algo strategy LSR1/LSR2/LSR3 LSR equities variants LSRO LSR options algo strategy LSRO1/LSRO2/LSRO3 LSR options variants The following tags are required when submitting limit orders (40=2). Tag Field Name Type Description 44 Price Decimal Price per unit of quantity (e.g. per share) Additionally, the following tags are required to submit US Option orders. Tag Field Name Type Description 167 SecurityType String Must be OPT 200 MaturityMonthYear Integer Maturity month and year of contract in YYYYMM format 201 PutOrCall Integer Option type of contract Supported values n/a 0 Put 1 Call 202 StrikePrice Decimal Strike price of underlying 205 MaturityDay Integer Maturity day of contract, 1-31 9100 Strategy String The following strategies may be used with US Options orders Supported values LSRO LSRO1 LSRO2 LSRO3




Optional Fields & Strategy Parameters The following table lists fields and values used by various strategies. Tag Field Name Type Description 59 TimeInForce Character Time in force of the order Supported values n/a 0 Day (default) 3 IOC (100=LA strategies only) 110 MinQty Integer Minimum execution quantity 111 MaxFloor Integer Maximum number of shares that can be displayed at all venues combined. Must be a multiple of 100, otherwise it is rounded down to a multiple of 100. A value of 0 is ignored. 9003 Invisible Boolean Enabling this option results in a hidden order (no shares displayed on any venue) 9034 Peg Type Character Peg type of the order Supported values n/a 1 Primary 2 Market 3 Mid-Point 9101 StartTime UTC Timestamp Strategy starting time (effective time) Supported values n/a Default value Current time Range n/a Step Size 1 minute 9102 EndTime UTC Timestamp Strategy ending time (expire time) Supported values n/a Default value 16:00 ET (4pm Eastern Time) Range n/a Step Size 1 minute 9103 MaxParticipation Decimal Maximum Participation Supported values Up to 2 decimal places Default value No default value Range 0.01 99.99 Step Size 0.01




Tag Field Name Type Description 9106 IWouldPx Decimal I Would Price Supported values Up to 4 decimal places Default value No default value Range >0 Step Size 0.0001 9111 Aggression Integer Aggression Supported values Integers 0-10 Default value No default value Range Dependent upon strategy DARKSWEEP: 0,1,5 CNPAIR : 1,2,3 PNPAIR:1,2,3 JUICE 1,2,...10 All others: 0,1,...10 Step Size 1 9116 RefillQty Integer Refill Quantity Supported values Integers 100 to 1,000,000 Default value No default value Range 100-1,000,000 Step Size 100 9117 BlockLimit Integer 500-1,000,000 ( increments of 100) 9121 SpreadLimit Price Spread Limit 2 decimal places and can be negative. 9124 Basket Id String Basket Id to group orders 9144 PostQty Integer Post Quantity Supported values n/a Default value No default value Range 100-1,000,000 Step Size 100




Tag Field Name Type Description 9145 Tracking Integer Tracking Supported values 1 =AP-Revert-Low 2 =AP-Revert-Med 3 =AP-Revert-High 4 =AP-Trend-Low 5 =AP-Trend-Med 6 =AP-Trend-High 7 =S&P-Revert-Low 8 =S&P -Revert-Med 9 =S&P -Revert-High 10 =S&P -Trend-Low 11 =S&P -Trend-Med 12 =S&P -Trend-High 13 =Sector-Revert-Low 14 =Sector -Revert-Med 15 =Sector -Revert-High 16 =Sector -Trend-Low 17 =Sector -Trend-Med 18 =Sector -Trend-High 19 =RefPx-Revert-Low 20 =RefPx -Revert-Med 21 =RefPx -Revert-High 22 =RefPx -Trend-Low 23 =RefPx -Trend-Med 24 =RefPx -Trend-High Default value No default value Range 1-24 9147 MinParticipation Float Minimum Participation Supported values n/a Default value No default value Range 0.01 99.99 Step Size 0.01 9157 LongShort Integer LongShort must be greater than 0. This value in percentage ratio. For example, Value of 100 is 1:1 Long to Short ratio. Value of 200 is 2:1 Long to Short ratio. Value of 50 is 1:2 Long to Short ratio.




Tag Field Name Type Description 9162 Benchmark String Benchmark Supported values n/a IS IS Close Close VWAP VWAP TWAP TWAP 9310 OnOpenQuantity Integer Ranges Description -1 Defined by strategy 0-100 Percentage of order quantity 101-1,000,00 Quantity 9311 OnCloseQuantity Integer Ranges Description -1 Defined by strategy 0-100 Percentage of order quantity 101-1,000,00 Quantity 9314 MaxRasied Price 2 decimal places. 9315 MaxSpent Price 2 decimal places. 9316 ReferencePriceBuy Price 4 decimal places. 9317 ReferencePriceSell Price 4 decimal places. 9318 TargetVolumeBuy Float 0.01-99.99 9319 TargetVolumeSell Float 0.01-99.99




Algorithmic Strategies

CLOSE Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the CLOSE strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime Y 9102 EndTime Y 9103 MaxParticipation N 9106 IWouldPx N 9111 Aggression N

Representative Order Ticket




DARKSWEEP Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the DARKSWEEP strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9111 Aggression N Representative Order Ticket




FLOAT Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the FLOAT strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9144 PostQty Y Representative Order Ticket




IS Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the IS strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9111 Aggression N 9145 Tracking N Representative Order Ticket




JUICE Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the JUICE strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9111 Aggression Y Representative Order Ticket




LSR, LSRL, LSRD, LSRC, LSR1, LSR2 & LSR3 Strategies In addition to the required FIX tags for orders as described above, the below parameters are available on the LSR, LSRL, LSRD and LSRC strategies as well as LSR1/2/3. The Ex Destination must be LA. Strategy Parameters


Tag Field Name Reqd 100 Ex Destination Value must be LA Y 110 MinQty N 111 MaxFloor N 9003 Invisible N 9101 Start Time N 9102 End Time N




LSRO, LSRO1, LSRO2 & LSRO3 Strategies In addition to the required FIX tags for orders as described above, the below parameters are available on the LSRO strategy and LSRO1/2/3. The Ex Destination must be LA. Strategy Parameters


Tag Field Name Reqd 100 Ex Destination Value must be LA Y 110 MinQty N 111 MaxFloor N 9003 Invisible N 9101 Start Time N 9102 End Time N




PNPAIR Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the PNPAIR strategy. Strategy Parameters for New Order Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9111 Aggression N 9121 SpreadLimt Y 9124 BasketId Y 9316 Reference PriceBuy Y 9317 ReferencePriceSell Y Strategy Parameters for Cancel Replace Tag Field Name Modifiable Note 9101 StartTime Y If modified, it must be modified for both legs 9102 EndTime Y If modified, it must be modified for both legs 9111 Aggression Y If modified, it must be modified for both legs 9121 SpreadLimit Y If modified, it must be modified for both legs 9316 ReferencePriceBuy Y If modified, it must be modified for both legs 9317 ReferencePriceSell Y If modified, it must be modified for both legs




CNPAIR Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the CNPAIR strategy. Strategy Parameters for New Order Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9111 Aggression N 9121 SpreadLimt Y 9124 BasketId Y 9318 TargetVolumeBuy Y 9319 TargetVolumeSell Y Strategy Parameters for Cancel Replace Tag Field Name Modifiable Note 9101 StartTime Y If modified, it must be modified for both legs 9102 EndTime Y If modified, it must be modified for both legs 9111 Aggression Y If modified, it must be modified for both legs 9121 SpreadLimit Y If modified, it must be modified for both legs 9318 TargetVolumeBuy Y If modified, it must be modified for both legs 9319 TargetVolumeSell Y If modified, it must be modified for both legs




PORTOPEX Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the PORTOPEX strategy. Strategy Parameters for New Order Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9124 Basket Id Y 9157 LongShort N 9162 Benchmark Y 9314 MaxRaised N 9315 MaxSpent N Strategy Parameters for Cancel Replace Tag Field Name Modifiable Note 9101 StartTime Y If modified, it must be modified for all order in basket 9102 EndTime Y If modified, it must be modified for all order in basket 9157 LongShort Y If modified, it must be modified for all order in basket 9314 MaxRasied Y If modified, it must be modified for all order in basket 9315 MaxSpent Y If modified, it must be modified for all order in basket




POV Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the POV strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9103 MaxParticipation Y 9106 IWouldPx N 9111 Aggression N 9117 BlockLimit N Representative Order Ticket




SCALEPOV Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the SCALEPOV strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9103 MaxParticipation Y 9106 IWouldPx N 9117 BlockLimit N 9145 Tracking N 9147 MinParticipation Y Representative Order Ticket




SORT Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the SORT strategy. Strategy Parameters


Tag Field Name Reqd 9101 Start Time N 9102 End Time N 9116 RefillQty N 9144 PostQty N




TWAP Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the TWAP strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9103 MaxParticipation N 9106 IWouldPx N 9310 OnOpenQuantity N 9311 OnCloseQuantity N Representative Order Ticket




VWAP Strategy In addition to the required FIX tags for orders as described above, the below parameters are available on the VWAP strategy. Strategy Parameters Tag Field Name Reqd 9101 StartTime N 9102 EndTime N 9103 MaxParticipation N 9106 IWouldPx N 9310 OnOpenQuantity N 9311 OnCloseQuantity N Representative Order Ticket




Default Order Start and End Times When not specified in tag 9101 the StartTime will default to the current time. When not specified in tag 9102 the EndTime will default as described in the table below. Order Sent Default EndTime value Before 16:00 (4PM) ET 16:00 (4PM) ET On or after 16:00 (4PM) ET 17:00 (5PM) ET Using LocateReqd to Affirm Short Sales For DVP clients and partners that do not assert short sale order status in the Lime SHORT_SALE_AFFIRM tag (tag 9009), the LocateReqd (tag 114) can be configured for use as a substitute. Note that LocateReqd (tag 114) is not normally used for short sale assertion. If so configured, the reception of tag 114 (LocateReqd=Y) will be treated as affirmation of short sale for an order. This option is only available to DVP accounts.




Appendix A FIX atdl FIXatdl XML specifications are available upon request for system integration. An example TWAP description is shown below.




Appendix B - Revision History Version Date Comments 1.0 08/23/10 EMS/OMS Broker Ticket Specs R1.0 1.1 09/09/10 Min Participation Tag corrected from 9103 to 9147 Correction of display values for SCALEPOV in the Appendices, e.g. Custom1 to Custom 1 also remove text: (not a valid value for PORTOPEX strategy) Removal of GTX & GTD as allowable TAG126 Value 9012 is an alternate to tag 100 , tag 100 is preferable Can specify a blank start end time and we will default to current/EOD on our side We do expect that users may want to trade multiple accounts, account tag is provisioned per user Locate & locate broker NOT required on cancel/replace 1.2 09/10/10 Clean up Qty step size added as 100 Tracking values / display vales corrected for IS 1.3 09/24/10 Page 5, Time In Force, amended tag 126 to Tag 59 1.4 10/05/10 Renamed document from "EMS/OMS Broker Tickets And required FIX values" Added FIX session-level messaging details 1.5 10/19/10 Clarify tag 9300 is reserved for future use 1.6 09/16/11 Refactor specification 1.7 05/15/12 Add PAIR and PORTOPEX 1.8 12/05/12 Update Spec to match Production Spec. 1.9 1/11/12 Change the ClOrdId to 16 Char max. 2.1 5/24/13 Fix Strategy Name to DARKSWEEP in all places in document Change LongShort to indicate that it a percentage. 2.2 10/13/14 Added LimeAlgo strategy offerings (LSR & variants). 2.3 10/15/14 Remove unsupported features 2.4 01/29/15 Add LSRD strategy (part of LimeAlgo suite) 2.5 02/04/15 Add MinQty, MaxFloor, Invisible tags to LSR* strategies 2.6 04/14/15 Add LSRC strategy (part of LimeAlgo suite)

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