Contents
DISCLAIMER .......................................................................................................................................................................................................... 2
CONTENTS ............................................................................................................................................................................................................. 3
SUMMARY OF CHANGES ................................................................................................................................................................................... 5
INTRODUCTION .................................................................................................................................................................................................... 6
SESSION MANAGEMENT ................................................................................................................................................................................... 7
TELECOMMUNICATION LINK TYPES .................................................................................................................................................................... 7
AUTHENTICATION ................................................................................................................................................................................................ 7
SEQUENCE NUMBER MANAGEMENT .................................................................................................................................................................. 7
SESSION PROTOCOL ......................................................................................................................................................................................... 9
MESSAGE FORMAT AND FIELD DELIMITER ......................................................................................................................................................... 9
MESSAGE RECOVERY ......................................................................................................................................................................................... 9
STANDARD MESSAGE HEADER .......................................................................................................................................................................... 9
STANDARD MESSAGE TRAILER ........................................................................................................................................................................ 10
MESSAGE COMPRESSION ................................................................................................................................................................................. 10
ADMINISTRATIVE MESSAGES ........................................................................................................................................................................ 11
LOGON .............................................................................................................................................................................................................. 11
HEARTBEAT ....................................................................................................................................................................................................... 11
TEST REQUEST ................................................................................................................................................................................................. 13
RESEND REQUEST ............................................................................................................................................................................................ 13
SEQUENCE RESET AND GAP FILL .................................................................................................................................................................... 13
SESSION LEVEL REJECT ................................................................................................................................................................................... 14
LOGOUT ............................................................................................................................................................................................................ 14
APPLICATION MESSAGES .............................................................................................................................................................................. 15
NEW ORDER SINGLE: BASIC ............................................................................................................................................................................ 15
IB SMART Routing ................................................................................................................................................................................... 17
Stock Security Definition .......................................................................................................................................................................... 18
Derivative Contract Definition .................................................................................................................................................................. 18
Foreign Exchange Definition ................................................................................................................................................................... 18
Fixed Income Definition ........................................................................................................................................................................... 18
Spot Definition ........................................................................................................................................................................................... 19
Contract for Difference Definition ............................................................................................................................................................ 19
Mutual Fund Definition ............................................................................................................................................................................. 19
Multiple Account Routing ......................................................................................................................................................................... 19
Simultaneous FIX and TWS Access ...................................................................................................................................................... 19
Execution Only Orders ............................................................................................................................................................................. 20
Good Until and Good After Orders ......................................................................................................................................................... 20
Short Sale Exempt Stock Orders ............................................................................................................................................................ 20
NEW ORDER SINGLE: ADVANCED ORDER TYPES ........................................................................................................................................... 22
Relative Order ........................................................................................................................................................................................... 22
Market Peg ................................................................................................................................................................................................ 22
Midpoint Peg .............................................................................................................................................................................................. 23
Trailing Stop .............................................................................................................................................................................................. 23
Barrier / Adjustable Stop Orders ............................................................................................................................................................. 24
Hidden / Iceberg Orders ........................................................................................................................................................................... 25
Guaranteed VWAP Orders ...................................................................................................................................................................... 26
Discretionary Orders................................................................................................................................................................................. 26
One Cancels All Orders ........................................................................................................................................................................... 27
Auto Stop / Bracket Orders ...................................................................................................................................................................... 27
Price Improvement Auction Orders ........................................................................................................................................................ 27
Pegged to Stock (Delta) Orders .............................................................................................................................................................. 28
Conditional Orders .................................................................................................................................................................................... 29
ISE Facilitation Orders ............................................................................................................................................................................. 30
IB Algorithmic Orders - Stock .................................................................................................................................................................. 31
IB Algorithmic Orders - Options .............................................................................................................................................................. 34
Server Managed Volatility Orders ........................................................................................................................................................... 36
Stop Trigger Methods ............................................................................................................................................................................... 38
Pre-Trade Allocation Orders .................................................................................................................................................................... 38
NEW ORDER MULTILEG .................................................................................................................................................................................... 40
Order Modification .................................................................................................................................................................................... 42
Cancellation ............................................................................................................................................................................................... 42
Orders with Stock Leg .............................................................................................................................................................................. 42
Orders with Futures Leg .......................................................................................................................................................................... 43
