Li Meal Go Fix Manual

Algo
FIX Spec

Version 2.6
April 14th, 2015
Lime Brokerage LLC Confidential

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Lime Brokerage Algo Client Integration Guide
04/14/2015
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

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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
clientservice@limebrokerage.com
Lime Brokerage-Specific Information

Algorithmic Strategies
Details on the strategies offered by Lime can be obtained by contacting clientservice@limebrokerage.com
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
CLOSE
DARKSWEEP
FLOAT
IS
JUICE
LSR variants
PNPAIR
CNPAIR
PORTOPEX
POV
SCALEPOV
SORT
TWAP
VWAP
Trading Start
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
08:00 (8:00AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
08:00 (8:00AM) ET
09:30 (9:30AM) ET
09:30 (9:30AM) ET
Trading End
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
17:00 (5PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
16:00 (4PM) ET
17:00 (5PM) ET
16:00 (4PM) ET
16:00 (4PM) ET

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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.


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Common FIX Fields

Required FIX Tags for Orders
The following FIX tags are required on all New Order Single FIX messages (35=D).
Tag
1
Field Name
Account
11
ClOrdId
38
OrderQty
40
OrdType
54
Side
55
Symbol
100
ExDestination
9100
Strategy
Type
String
Description
Account identifier. Required when routing via bureau or gateway.
Value is assigned by Lime and optionally provisioned by Lime.

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.

Integer Quantity ordered.

Integer Order type.

Supported values
1
Market
2
Limit

Integer Side of order.

Supported values
1
Buy
2
Sell
5
Short
9
Cover

String Ticker symbol.

String Algorithmic service identifier.

Supported values
A1
Lime Brokerage
LA
Lime Brokerage LimeAlgo suite

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
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Tag
Field Name
Type
04/14/2015
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
44
Field Name
Price
Type
Description
Decimal Price per unit of quantity (e.g. per share)

Additionally, the following tags are required to submit US Option orders.
Tag
167
200
Field Name
SecurityType
MaturityMonthYear
201
PutOrCall
202
205
9100
StrikePrice
MaturityDay
Strategy
Type
String
Integer
Description
Must be OPT
Maturity month and year of contract in YYYYMM format

Integer Option type of contract

Supported values n/a
0
Put
1
Call

Decimal Strike price of underlying
Integer Maturity day of contract, 1-31
String
The following strategies may be used with US Options orders

Supported values
LSRO
LSRO1
LSRO2
LSRO3

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Optional Fields & Strategy Parameters

The following table lists fields and values used by various strategies.
Tag
59
Field Name
TimeInForce
Type
Character
110
MinQty
Integer
111
MaxFloor
Integer
9003
Invisible
Boolean
9034
Peg Type
Character
9101
StartTime
UTC
Timestamp
9102
EndTime
UTC
Timestamp
9103
MaxParticipation
Decimal
Description
Time in force of the order

0
Day (default)
3
IOC (100=LA strategies only)

Minimum execution quantity

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.

Enabling this option results in a hidden order (no shares
displayed on any venue)

Peg type of the order

1
Primary
2
Market
3
Mid-Point

Strategy starting time (effective time)

Default value
Current time
Range
n/a
Step Size
1 minute

Strategy ending time (expire time)

Default value
16:00 ET (4pm Eastern Time)
Range
n/a
Step Size
1 minute

Maximum Participation

Supported values Up to 2 decimal places
Default value
No default value
Range
0.01 99.99
Step Size
0.01

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Tag
9106
9111
Field Name
IWouldPx
Type
Decimal
Aggression
Integer
9116
RefillQty
Integer
9117
9121
9124
9144
BlockLimit
SpreadLimit
Basket Id
PostQty
Integer
Price
String
Integer
Description
I Would Price

Supported values
Default value
Range
Step Size

Aggression

Supported values
Default value
Range
Up to 4 decimal places
No default value
>0
0.0001
Integers 0-10
No default value
Dependent upon strategy
DARKSWEEP: 0,1,5
CNPAIR : 1,2,3
PNPAIR:1,2,3
JUICE 1,2,...10
All others: 0,1,...10

1
Step Size

Refill Quantity

Supported values Integers 100 to 1,000,000
Default value
No default value
Range
100-1,000,000
Step Size
100

500-1,000,000 ( increments of 100)
Spread Limit 2 decimal places and can be negative.
Basket Id to group orders
Post Quantity

Default value
No default value
Range
100-1,000,000
Step Size
100


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Tag
9145
Field Name
Tracking
Type
Integer
Description
Tracking

Supported values
Default value
Range
9147
MinParticipation
Float

9157
LongShort
Integer
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
No default value
1-24

Minimum Participation

Default value
No default value
Range
0.01 99.99
Step Size
0.01

LongShort must be greater than 0. This value in percentage ratio.
For example,
Value of 100 is 1:1 Long to Short ratio.

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Tag
9162
Field Name
Benchmark
Type
String
9310
OnOpenQuantity
Integer
9311
OnCloseQuantity
Integer
9314
9315
9316
9317
9318
9319
MaxRasied
MaxSpent
ReferencePriceBuy
ReferencePriceSell
TargetVolumeBuy
TargetVolumeSell
Price
Price
Price
Price
Float
Float
Description
Benchmark

Supported values
IS
Close
VWAP
TWAP

Ranges
-1
0-100
101-1,000,00

Ranges
-1
0-100
101-1,000,00

2 decimal places.
2 decimal places.
4 decimal places.
4 decimal places.
0.01-99.99
0.01-99.99
n/a
IS
Close
VWAP
TWAP
Description
Defined by strategy
Percentage of order quantity
Quantity
Description
Defined by strategy
Percentage of order quantity
Quantity

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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
9101
9102
9103
9106
9111
Field Name
StartTime
EndTime
MaxParticipation
IWouldPx
Aggression
Reqd
Y
Y
N
N
N

Representative Order Ticket

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DARKSWEEP Strategy
DARKSWEEP strategy.
Strategy Parameters
Tag
9101
9102
9111
Field Name
StartTime
EndTime
Aggression
Reqd
N
N
N


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FLOAT Strategy
FLOAT strategy.
Strategy Parameters
Tag
9101
9102
9144
Field Name
StartTime
EndTime
PostQty
Reqd
N
N
Y


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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
9101
9102
9111
9145
Field Name
StartTime
EndTime
Aggression
Tracking
Reqd
N
N
N
N


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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
9101
9102
9111
Field Name
StartTime
EndTime
Aggression
Reqd
N
N
Y

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

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

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PNPAIR Strategy
PNPAIR strategy.
Strategy Parameters for New Order
Tag
9101
9102
9111
9121
9124
9316
9317
Field Name
StartTime
EndTime
Aggression
SpreadLimt
BasketId
Reference PriceBuy
ReferencePriceSell
Reqd
N
N
N
Y
Y
Y
Y
Strategy Parameters for Cancel Replace

Tag
9101
9102
9111
9121
9316
9317
Field Name
StartTime
EndTime
Aggression
SpreadLimit
ReferencePriceBuy
ReferencePriceSell
Modifiable
Y
Y
Y
Y
Y
Y
Note
If modified, it must be modified for both legs

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CNPAIR Strategy
CNPAIR strategy.
Tag
9101
9102
9111
9121
9124
9318
9319
Field Name
StartTime
EndTime
Aggression
SpreadLimt
BasketId
TargetVolumeBuy
TargetVolumeSell
Reqd
N
N
N
Y
Y
Y
Y

Tag
9101
9102
9111
9121
9318
9319
Field Name
StartTime
EndTime
Aggression
SpreadLimit
TargetVolumeBuy
TargetVolumeSell
Modifiable
Y
Y
Y
Y
Y
Y
Note

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PORTOPEX Strategy
PORTOPEX strategy.
Tag
9101
9102
9124
9157
9162
9314
9315
Field Name
StartTime
EndTime
Basket Id
LongShort
Benchmark
MaxRaised
MaxSpent
Reqd
N
N
Y
N
Y
N
N

Tag
9101
9102
9157
9314
9315
Field Name
StartTime
EndTime
LongShort
MaxRasied
MaxSpent
Modifiable
Y
Y
Y
Y
Y
Note
If modified, it must be modified for all order in basket

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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
9101
9102
9103
9106
9111
9117
Field Name
StartTime
EndTime
MaxParticipation
IWouldPx
Aggression
BlockLimit
Reqd
N
N
Y
N
N
N


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SCALEPOV Strategy
SCALEPOV strategy.
Strategy Parameters
Tag
9101
9102
9103
9106
9117
9145
9147
Field Name
StartTime
EndTime
MaxParticipation
IWouldPx
BlockLimit
Tracking
MinParticipation
Reqd
N
N
Y
N
N
N
Y


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


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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
9101
9102
9103
9106
9310
9311
Field Name
StartTime
EndTime
MaxParticipation
IWouldPx
OnOpenQuantity
OnCloseQuantity
Reqd
N
N
N
N
N
N


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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
9101
9102
9103
9106
9310
9311
Field Name
StartTime
EndTime
MaxParticipation
IWouldPx
OnOpenQuantity
OnCloseQuantity
Reqd
N
N
N
N
N
N


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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.


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Appendix A FIX atdl

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

<?xml version='1.0' encoding='utf-8'?>
<strategies xmlns='http://www.fixprotocol.org/working_groups/algowg/documents/FPL-AlgoSchema-core-
v2.2.8.xsd' xmlns:val='http://www.fixprotocol.org/working_groups/algowg/documents/FPL-AlgoSchema-valid-
v2.2.8.xsd'
xmlns:xsi='http://www.w3.org/2001/XMLSchema-instance'
xsi:schemaLocation='http://www.fixprotocol.org/working_groups/algowg/documents/FPL-AlgoSchema-core-
v2.2.8.xsd FPL-AlgoSchema-core-v2.2.8.xsd'>



<strategy name='TWAP' algoExtModel='Custom Embedded' fixTag='9100' uiRep='TWAP'
wireValue='TWAP' version='1' applicableMsgTypes='D F G' supportsCxlRpl='true' providerID='ATM' >

<parameter name='StartTime' uiRep='Start Time' fixTag='9101' use='optional'
mutableOnCxlRpl='true' type='19' />

<parameter name='EndTime' uiRep='End Time' fixTag='9102' use='optional'

<parameter name='MaxParticipation' uiRep='Max Participation' fixTag='9103' use='optional'
mutableOnCxlRpl='true' type='11' minValue='0' maxValue='100' />

<parameter name='IWouldPx' uiRep='I Would Price' fixTag='9106' use='optional'

</strategy>
</strategies>


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Appendix B - Revision History

Version
1.0
Date
08/23/10
Comments
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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