Order Wire Format Specification

For more information about order semantics, see the ib docs, that is, at
http://www.interactivebrokers.com/en/main.php, pull down SOFTWARE, and drill down to the C++ or Java socket client properties frame via:

FIX/API $\rightarrow$ API User's Guide $\rightarrow$ Use the APIs $\rightarrow$ Java $\rightarrow$ Java Socket Properties

Note that the PlaceOrder wire format is the high turnover datatype, with a version id of 15 for the current protocol record format, and that the documentation above describes approximately 20 additional fields not found in the version 15 format. The newest version differentiates ignoreRth and rthOnly, and in addition adds auction strategy, ocaType, rule80A, settlingFirm, allOrNone, minQty, percentOffset, eTradeOnly, firmQuoteOnly, nbboPriceCap, and six BOX parameters.

To verify that the data element sequence ordering corresponds to that of the order portion of the wire format, see the Java client sample code. For an overall view of the wire format data element ordering, see the comments in the PlaceOrder class.

Bill Pippin 2010-01-14