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The batch order entry tool relies on 2 fields to properly locate an instrument: locator_type and locator

  • The file layout must have one of the following delimiters: Comma (,) pipe (|) or tab (/t)
  • Entries from the file failing to locate a Delta1 instrument are dropped and displayed in the "Errors" section of the batch order entry tool. 
  • Orders successfully locating a Delta1 instrument are loaded into the "Orders" section of the batch order entry tool. 

Overview:

Supported File Formats

The following file formats/extensions are supported:

  • .csv - Comma Separated Value
  • .txt - Text file

Bulk upload files having an extension other than those listed above will be ignored. 

Layout

The batch order file consists of a header row and subsequent rows containing the information required to locate a Delta1 instrument and queue an order. 

  • Field names must be present in the first row of the file
  • Fields may be in any order
  • A file has a limit of 500 records
  • For .csv/.txt files a supported delimiter must be used to separate fields

Instrument Locators

Two fields in the batch order entry file are used to identify the Delta1 instrument, locator_type and locator. The locator type field simply tells the Delta1 Trading Front-end how to read the values provided in the locator field. A single file can have any combination of locator types and locators. The following locator types are supported:

MPSECID 

Delta1 marketplace security identifier is a globally unique integer used by FIX gateways to quickly route orders to the correct marketplace. Each Delta1 instrument is assigned an MPSECID which is published daily in the Delta1 Product Catalog. 

MPSECID Example
# locator for IGZ No Dividend Risk SSF expiring February 15th 2019
11949211190215000000

# locator for a IGZ No Dividend Risk SSF calendar spread with near-term February 15th 2019 and far-term March 15th 2019
11949221190215190315

# locator for IGZ No Dividend Risk 36 Day STARS with near-term February 7th 2019 and far-term March 15th 2019
14121321190207190315

FQIN 

A fully qualified instrument name is the format displayed in the Delta1 Trading Front-end. This field is a combination of the OneChicago Symbol and Expiration. To locate the FQIN for a product simply select "Add Product" to view real-time market data. Combine the Symbol and Expiration columns to construct the FQIN. 

FQIN Example
# locator for IGZ No Dividend Risk SSF expiring February 15th 2019
IGZ1D Feb15'19

# locator for a IGZ No Dividend Risk SSF calendar spread with near-term February 15th 2019 and far-term March 15th 2019
IGZ1D Feb15'19/Mar15'19

# locator for IGZ No Dividend Risk 36 Day STARS with near-term February 7th 2019 and far-term March 15th 2019
IGZ1H/IGZ1D Feb07'19/Mar15'19

STARS™

The STARS™ (Security Transfer and Return Spread) locator can only be used to locate a STARS™ instrument. A STARS™ instrument is a type of SSF spread having the near-term contract expiring on the current trade date and the far-term expiring at any other date in the future. This locator simply requires the name of the security underlying the SSF and the desired number of days to expiration or the expiration date of the far-term. Note that Delta1 only makes available specific terms based on market participant demand.

STARS Example
# locator for IGZ No Dividend Risk 36 Day STARS with near-term February 7th 2019 (today) and far-term March 15th 2019
IGZ 36
IGZ 20190315

Fields

FieldDescription

LOCATOR_TYPE

Describes the format of the text provided in the locator field

Valid values:

MPSECIDMarket place security identifier
FQIN Fully qualified instrument name
STARSSTARS™ - Security transfer and return spread

Eg. STARS

LOCATOR

Properly formatted locator corresponding to the provided locator_type

Eg. IGZ 36

ACCOUNT

A valid customer account added through Account Management

Eg. ABC123

POSITION_EFFECT

Valid values:

OPENOpening order
CLOSEClosing order

Eg. OPEN

TIF

Time-In-Force

Valid values:

DAYOrder is good for the current day trading session
IOCImmediate or cancel order

Eg. DAY

SIDE

Indicates the side of the order. For SSF spreads this value indicates the action for the far-term contract and the inverse action for the near-term contract.

Valid values:

BUYBuy order
SELLSell order

Eg. BUY

PRICE

Decimal price of the order, precision up to 4 decimal places.

Eg. 0.0123

QUANTITY

Integer number of contracts for the order. Do not include thousand separators. Quantity must be > 0.

Eg. 1000

Sample Files

The below sample uses multiple locator types to identify different instruments. The files contain the following instructions:

  • With Account number ABC123
    • BUY IGZ No Dividend Risk SSF expiring February 15th 2019 @ $100 for 1000 contracts

    • BUY IGZ No Dividend Risk SSF calendar spread with near-term February 15th 2019 and far-term March 15th 2019 @ $0.0123 for 10 contracts

    • SELL IGZ No Dividend Risk 36 Day STARS™ with near-term February 7th 2019 (today) and far-term March 15th 2019 @ $0.10 for 100 contracts

    • SELL IGZ No Dividend Risk 8 Day STARS™ with near-term February 7th 2019 (today) and far-term February 15th 2019 @ $0.0021 for 250 contracts

Spreadsheet (.csv)
LOCATOR_TYPELOCATORACCOUNTPOSITION_EFFECTTIFSIDEPRICEQUANTITY
MPSECID
11949211190215000000
ABC123
OPENDAY
BUY
100
1000
FQIN
IGZ1D Feb15'19/Mar15'19
ABC123
OPENDAY
BUY
0.0123
10
STARS
IGZ 36
ABC123
OPENDAY
SELL
0.10
100 
STARS
IGZ 20190215
ABC123
OPENDAY
SELL
0.0021
250


Comma Separated (csv/txt)
LOCATOR_TYPE, LOCATOR, ACCOUNT, POSITION_EFFECT, TIF, SIDE, PRICE, QUANTITY
MPSECID, 11949211190215000000, ABC123, OPEN, DAY, BUY, 100, 1000
FQIN, IGZ1D Feb15'19/Mar15'19, ABC123,  OPEN, DAY, BUY, 0.0123, 10
STARS, IGZ 36, ABC123,  OPEN, DAY, SELL, 0.10, 100 
STARS, IGZ 20190215, ABC123, OPEN, DAY, SELL, 0.0021, 250




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