10. Using Excel > Order Input

Introduction

The second sheet in sfExcel is called Orders. This is the sheet where you create orders by writing out the relevant information.

Method

•	The cells with a yellow background are the only cells that should be populated by the user. The last column, Status is most important. The word ready should be written to this column once all the other required information has been entered. In other words this should be the last cell populated.

•	If the status is set to ready and sfExcel has Allow order submission… enabled, the order will be recognized and submitted to the exchange.

•	The status cell will change from 'ready' to 'Pending' when the order is submitted to the exchange by Swordfish.

•

The standard configuration of sfExcel is to allow only one bid or one offer on a specific instrument at a time. Thus for example if the user has an active bid on DEC11 ALSI and submits an automated bid on DEC11 ALSI from sfExcel, the previous active bid will be cancelled, before the new bid is submitted.

Note

•	Due to the restriction mentioned above, the following scenario is common:

1.	Order A: Bid on instrument X is submitted from sfExcel.

2.	Order A: Reaches exchange and becomes an Active Order.

3.	Order B: Bid on instrument X is input into sfExcel.

4.	sfExcel issues Cancel on Order A.

5.	Exchange confirms Order A is cancelled.

6.	sfExcel submits Order B to the exchange.

7.	Order B becomes active at the exchange.

•	This is a standard scenario when orders are placed a few seconds apart. If orders are placed at a high frequency and perhaps less than a second after each other, the following scenario can arise:

1.	Order A: Bid on instrument X is input into sfExcel.

2.	Order A is recognized by Swordfish and readied for submission to exchange.

3.	Order B: Bid on instrument X is input into sfExcel immediately after Order A.

•

Since Order B must replace Order A, and since Order A has not yet been submitted to the exchange, there is no point in submitting Order A as it would either way simply be cancelled. Consequently the time for the various submit and cancel orders would be a waste of time. Thus in this scenario, Order B simply replaces Order A. Order A never gets submitted, but gets bumped from the queue, by Order B instead.

•	Generally orders will progress through the statuses in ‘Ready’, ‘Pending’, ‘Active’ order and then progress to ‘Completed’ or ‘Cancelled’.

•	Once the order becomes Active, the Ref Code and Ord. Seq. columns will be populated with data.

•	The table below lists the various statuses that can occur – statuses with a blue background are input statuses, i.e. the user must enter these statuses. Those with a red background are feedback statuses, indicating the status of the order.

Status	Description
Ready	This is the status that the user should enter on the Orders sheet to indicate that an order is ready to be recognized and submitted.
Pending	The order has been recognized by the code.
Active	The order is active at the exchange.
Cancelled	The order has been cancelled.
Completed	The order has been filled.
Replaced_N	The order has been replaced by a subsequent order on the same side on the same instrument, and the order was replaced before it was sent to the exchange.
Replaced_P	The order has been replaced by a subsequent order on the same side on the same instrument, and the order was replaced after it was sent to the exchange.
Replaced_Q	This order, that itself had replaced another order, has been replaced by a subsequent order on the same side on the same instrument and the order was replaced after it was sent to the exchange.
Cancel	This is the status that the user should enter on the Orders sheet to indicate that an active order must be cancelled.

Note

Only NOR (Normal) order type is supported in sfExcel and not TAK (Take and kill) or FOK (Fill or kill).