Limit With Funds (LWF) orders allow users to fully execute an order up to a notional value specified in the product quote currency.
LWF orders are supported in FIX 4.2 and FIX 5.0.

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Parameters

TagNameTypeRequiredDescription
40OrdTypeCharYOrder Type must be 2 (Limit)
152CashOrderQtyDecimalYThe notional value you wish to trade
All values for TimeInForce, SelfTradePrevention, and PostOnly are supported.
You must not define OrderQty when submitting a limit order with CashOrderQty.

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Summary

CashOrderQty on limit orders is available for both buy and sell orders despite the following example featuring a buy order.
Today, if you want to trade $30,000 worth of BTC, you might submit a market order: OrdType=1|Side=1|CashOrderQty=30000 However, a market order leaves the executed price out of the client’s control. With the following market state:
Bid SizeBidAskAsk Size
60,00010
1059,000
You can try to trade $30,000 of BTC by placing a limit buy order. To do this you must perform the notional/price division to calculate the necessary OrderQty. The resulting order would look like: OrdType=2|Side=1|Price=60000|OrderQty=0.5 If this order is filled at $2,000, then everything works as intended. In actuality, the market may change from the time in between when the user submits the order and when it is received by the exchange. To illustrate, consider the case where the market state has changed to the following at the time when the exchange receives your order:
Bid SizeBidAskAsk Size
59,00010
1058,999
Your order now fills at 59,000forquantity‘0.5‘.Theresultingnotionalforthistradeis59,000 for quantity `0.5`. The resulting notional for this trade is 29,500, which is less than what you originally wanted. To solve this issue, you can specify CashOrderQty instead of OrderQty: OrdType=2|Side=1|Price=60000|CashOrderQty=30000 Given the same market state:
Bid SizeBidAskAsk Size
59,00010
1058,999
The order will be filled as taker with quantity 0.50847457, making the total notional of this order $29,999.9996. In a separate example, with the following market state:
Bid SizeBidAskAsk Size
60,5001
59,5000.3
1059,999
Your order will fill as a taker at price 59,500withquantity‘0.3‘.Thusonly59,500 with quantity `0.3`. Thus only 17850 notional will be filled. The remaining 12,150notionalwillthenrestonthebookatprice12,150 notional will then rest on the book at price 60,000 with quantity 0.2025.

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Caveats

  • Orders may be filled at less than the notional specified due to fees and truncation of product base increment.
  • TPSL / Iceberg / Stop / Batch orders are not be supported with this feature.
  • OrderCancelReplaceRequest with CashOrderQty is not supported.

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Market Data

  • OrderQty/CumQty/LeavesQty is supplied in all Execution Reports. In particular OrderQty is calculated after the order has been processed as a taker (i.e., it is NOT calculated with CashOrderQty / Price), such that all quantity tags are consistent with one another.
  • Size field is populated in all WebSocket feed messages. No changes are expected from the perspective of a WebSocket consumer.

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Examples

In the following examples, all irrelevant tags are omitted.