Exchange Take Profit Stop Loss Orders

Take Profit Stop Loss (TPSL) orders are supported in FIX 5.0 with the Create a new order REST API.

TPSL orders allow users to set predefined profit and loss levels simultaneously for their position.

When an asset price reaches one of the target prices, the position is closed with a limit order. If one of the orders is triggered, the other order is canceled automatically. An order can only have one TP/SL on one side.

NewOrderSingle (35=D)

These parameters are required for TPSL orders in addition to the standard NewOrderSingle fields:

Tag	Name	Type	Required	Description
40	OrdType	Char	Y	Order Type must be O (the letter Oh)
44	Price	Decimal	Y	Take profit price (in this context) See Price Rules below.
99	StopPx	Decimal	Y	Stop loss trigger price
3040	StopLimitPx	Decimal	Y	Limit order price if stop loss triggers

Price Rules

• Sell TPSL: Price must be > StopPx and StopPx must be > StopLimitPx
• Buy TPSL: Price must be < StopPx and StopPx must be < StopLimitPx

Caveats

• Only GTC and GTD are supported for TimeInForce
• TPSL orders cannot be submitted during auction mode.
• The Post-Only tag is not supported. It cannot be populated or must be false.
• Batch orders are not supported.

Auction Mode Transition

Existing TPSL orders will be canceled if a product is transitioned to auction mode.

Samples

TPSL Sell Order

This TPSL sell order for BTC-USD places a live sell limit order at price 9785

Side=2|Price=9785|StopLimitPx=8245|StopPx=8500

• If the price falls below 8500 and no part of this limit order has been filled, it will be repriced from 9785 to 8245.
• If this limit order is filled or partially filled at 9785, then it will never be repriced.

This differs from regular stop orders where a stop order is NOT live until the price is traded through the StopPx. The direction of the trigger is determined by the Side of the order and thus, TriggerPriceDirection is NOT accepted.

Message Flow

TPSL Order Example

-> OrdType=O|Side=2|Price=9785|StopLimitPx=8245|StopPx=8500...

Execution Report Example

<- MsgType=8|OrdType=O|Side=2|Price=9785|StopLimitPx=8245|StopPx=8500...

Repricing Example

If the stop is triggered and the order is repriced, an ExecutionReport is returned with a RestatementReason of 3 for “Repricing of order”:

<- MsgType=8|OrdType=O|ExecType=D|ExecRestatementReason=3|Price=8245...

WebSocket User Channel

If the stop is triggered and the order is repriced, a change message is published, for example:

{
    "new_price": "8245",
    "order_id": "...",
    "type": "change",
    "side": "sell",
    "old_price": "9785",
    "reason": "tpsl_triggered"
}

Only the user channel with your TPSL order displays with tpsl_triggered. Other clients will receive change reason, modify_order.

OrderCancelReplaceRequest (35=G)

TPSL orders can be modified using OrderCancelReplaceRequest. These parameters are specific to TPSL order modifications in addition to the standard OrderCancelReplaceRequest fields.

The modified Price, StopPx, and StopLimitPx values must adhere to the Price Rules defined above.

Triggered Orders Cannot Be Modified

Once either the take profit or stop loss leg of a TPSL order has triggered, the order cannot be modified. Modification requests for triggered orders will be rejected.

Tag	Name	Type	Req	Description
40	OrdType	Char	Y	Must be O (TPSL).
44	Price	Decimal	Y	The new take profit price.
99	StopPx	Decimal	Y	The new stop loss trigger price.
3040	StopLimitPx	Decimal	Y	The new limit order price if stop loss triggers.