Appendix: ALF Protocol Reference¶

Learning objectives

After reading this appendix you will understand:

what ALF means and how it differs from real FIX
the exact token-level syntax accepted by pm-alf-console
which fields are required for each supported command
how all single-leg order types are expressed in ALF
how amendments, cancels, quotes, OCO orders, and combo orders are encoded
which parser behaviors are important when writing another client for EduMatcher

What ALF is¶

ALF stands for ALmost Fix.

It is EduMatcher's compact text command protocol for entering orders through pm-alf-console. ALF borrows the field=value idea from FIX, but it is not FIX:

there are no numeric tags
there is no FIX session layer
there are no sequence numbers
there is no checksum or body length
there are no repeating-group rules
there are no standard FIX message types

ALF is intentionally smaller and easier to type by hand:

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.25

This appendix is the normative reference for ALF syntax and semantics. If another tool, bot, or GUI wants to generate ALF commands, this document is the correct source to follow.

Scope and boundaries¶

ALF is the text command language accepted by pm-alf-console. It is not the internal engine wire format. The gateway converts ALF commands into the engine's ZeroMQ + JSON message payloads.

That distinction matters:

ALF is what a human or external client writes
engine messages are what the gateway publishes internally

This appendix describes the ALF side, not the internal message bus.

Core syntax rules¶

Line structure¶

Every ALF command is a single line:

<COMMAND>|<FIELD>=<VALUE>|<FIELD>=<VALUE>|...

The first token is always the command verb. Everything after that is a pipe-delimited list of fields.

Formal grammar¶

This notation is ABNF-style (Augmented Backus-Naur Form), not classic BNF. The repetition form:

n*m element

means "repeat element at least n times and at most m times".

Examples:

1*X means one or more X
*X means zero or more X
2*4X means between 2 and 4 X

So in the ALF grammar:

command = 1*( ALPHA / "_" ) means a command is made of one or more letters or underscores
key = 1*( ALPHA / DIGIT / "_" / "." ) means a key is one or more letters, digits, underscores, or dots

alf-line      = command *( "|" segment )
command       = 1*( ALPHA / "_" )
segment       = key "=" value
key           = 1*( ALPHA / DIGIT / "_" / "." )
value         = *VCHAR

VCHAR is also ABNF terminology. It means a visible printable character. So:

value = *VCHAR means the value may contain zero or more visible characters
the leading * is why the value is allowed to be empty

In strict ABNF, VCHAR usually means printable non-space ASCII characters. For ALF, read this line as simplified shorthand for:

everything after the first = up to the next |

That is closer to the real gateway parser behavior. The parser does not enforce a full RFC-style character class check; it splits on |, then splits each segment on the first =, and treats the remainder as the raw value text.

In practice:

| separates segments
the first = in a segment separates key from value
no quoting or escaping layer exists

Whitespace¶

The gateway trims whitespace only at the very start and end of the full line. It does not trim spaces around individual fields. Write:

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.25

not:

NEW | SYM=AAPL | SIDE=BUY

Case handling¶

ALF is effectively case-insensitive for command verbs, field names, enum values, and symbols, because the gateway normalizes parsed values to uppercase.

These are treated the same:

new|sym=aapl|side=buy|type=limit|qty=100|price=150.25
NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.25

Important consequence: user-supplied labels are also normalized to uppercase.

Examples:

COMBO_ID=pair-01 becomes PAIR-01
OCO_ID=exit-aapl becomes EXIT-AAPL
QUOTE_ID=mm-1 becomes MM-1

If you generate ALF programmatically, assume that labels and symbols are case-folded to uppercase by the gateway.

Field order¶

After the command word, field order is generally not significant. The gateway parses fields into a key/value map and then validates what is present.

These are equivalent:

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.25
NEW|TYPE=LIMIT|PRICE=150.25|QTY=100|SIDE=BUY|SYM=AAPL

Exceptions:

the command verb must be the first token
combo leg numbering must be consistent with LEG_COUNT

Duplicate and unknown fields¶

If the same field appears more than once, the last occurrence wins.

Example:

NEW|SYM=AAPL|SYM=MSFT|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.25

This is parsed as SYM=MSFT.

Unknown fields are ignored by the gateway unless they are required for the specific command being validated.

Numeric formatting¶

ALF uses human-readable decimal prices:

PRICE=150.25
STOP=149.90
TRAIL=1.50

Quantities are integers:

QTY=100
VISIBLE=25

The gateway converts decimal prices to the symbol's internal tick representation before sending them to the engine.

No escaping¶

ALF has no escaping mechanism for |. Do not place | inside values.

The first = in a segment splits key from value. Everything after that first = is considered part of the value, but values containing additional = are not part of the documented protocol and should be avoided.

Common field vocabulary¶

Field	Meaning
`SYM`	Symbol, for example `AAPL`
`SIDE`	`BUY` or `SELL`
`TYPE`	Order type or high-level order family such as `COMBO` or `OCO`
`QTY`	Integer quantity
`PRICE`	Limit price in display units
`STOP`	Stop trigger price in display units
`TRAIL`	Trailing-stop offset in display units
`TIF`	Time in force: `DAY`, `GTC`, `ATO`, `ATC`
`VISIBLE`	Displayed peak size for iceberg orders
`SMP`	Self-match-prevention action
`ID`	Engine-generated single-order identifier
`COMBO_ID`	User-supplied combo label
`OCO_ID`	User-supplied OCO label
`QUOTE_ID`	User-supplied quote label

Supported `TIF` values¶

Value	Meaning
`DAY`	Valid for the trading day only
`GTC`	Good till cancelled
`ATO`	At the open; only meaningful during the opening auction
`ATC`	At the close; only meaningful during the closing auction

Supported `SMP` values¶

Value	Meaning
`NONE`	Allow self-trades
`CANCEL_AGGRESSOR`	Cancel the incoming order if it would self-match
`CANCEL_RESTING`	Cancel the resting order and continue matching
`CANCEL_BOTH`	Cancel both the incoming and resting order

Command families¶

ALF commands fall into three groups:

Group	Commands
Trading commands forwarded to the engine	`NEW`, `AMEND`, `CANCEL`, `QUOTE`, `QUOTE_CANCEL`, `KILL`, `SYMBOLS`, `QBOOT`
Gateway-local informational commands	`STATUS`, `ORDERS`, `POS`, `QLEGS`, `HELP`
Session-control commands for the CLI process	`EXIT`, `QUIT`

If you are writing another interface that wants to submit orders, the most important commands are the trading commands.

Single-leg `NEW` orders¶

Generic form¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=<order-type>|QTY=<quantity>[|...]

Formal grammar¶

new-single =
    "NEW"
    "|SYM=" symbol
    "|SIDE=" side
    "|TYPE=" order-type
    "|QTY=" quantity
    *( "|" option )

Where option depends on the selected order type.

Supported single-leg order types¶

Type	Required fields	Optional fields	Notes
`MARKET`	`SYM`, `SIDE`, `TYPE=MARKET`, `QTY`	`TIF`, `SMP`	`TIF` is accepted syntactically but market-order behavior still applies
`LIMIT`	`SYM`, `SIDE`, `TYPE=LIMIT`, `QTY`, `PRICE`	`TIF`, `SMP`	Standard resting limit order
`IOC`	`SYM`, `SIDE`, `TYPE=IOC`, `QTY`, `PRICE`	`TIF`, `SMP`	Immediate-or-cancel behavior still applies even if `TIF` is supplied
`FOK`	`SYM`, `SIDE`, `TYPE=FOK`, `QTY`, `PRICE`	`TIF`, `SMP`	Fill-or-kill behavior still applies even if `TIF` is supplied
`STOP`	`SYM`, `SIDE`, `TYPE=STOP`, `QTY`, `STOP`	`TIF`, `SMP`	Becomes a market order when triggered
`STOP_LIMIT`	`SYM`, `SIDE`, `TYPE=STOP_LIMIT`, `QTY`, `STOP`, `PRICE`	`TIF`, `SMP`	Becomes a limit order when triggered
`ICEBERG`	`SYM`, `SIDE`, `TYPE=ICEBERG`, `QTY`, `PRICE`, `VISIBLE`	`TIF`, `SMP`	`VISIBLE` must be strictly less than `QTY`
`TRAILING_STOP`	`SYM`, `SIDE`, `TYPE=TRAILING_STOP`, `QTY`, `TRAIL`	`STOP`, `TIF`, `SMP`	`STOP` is optional; if omitted the engine derives the initial stop from the last trade price

Formal syntax by order type¶

MARKET¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=MARKET|QTY=<quantity>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=BUY|TYPE=MARKET|QTY=100

LIMIT¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=LIMIT|QTY=<quantity>|PRICE=<price>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Examples:

NEW|SYM=AAPL|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=152.00
NEW|SYM=MSFT|SIDE=BUY|TYPE=LIMIT|QTY=200|PRICE=310.00|TIF=GTC

IOC¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=IOC|QTY=<quantity>|PRICE=<price>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=BUY|TYPE=IOC|QTY=250|PRICE=150.20

FOK¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=FOK|QTY=<quantity>|PRICE=<price>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=BUY|TYPE=FOK|QTY=100|PRICE=150.00

STOP¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=STOP|QTY=<quantity>|STOP=<stop-price>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=SELL|TYPE=STOP|QTY=100|STOP=148.00

STOP_LIMIT¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=STOP_LIMIT|QTY=<quantity>|STOP=<stop-price>|PRICE=<limit-price>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=SELL|TYPE=STOP_LIMIT|QTY=100|STOP=148.00|PRICE=147.50

ICEBERG¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=ICEBERG|QTY=<quantity>|PRICE=<price>|VISIBLE=<visible-quantity>[|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Example:

NEW|SYM=AAPL|SIDE=BUY|TYPE=ICEBERG|QTY=1000|PRICE=150.00|VISIBLE=100

TRAILING_STOP¶

NEW|SYM=<symbol>|SIDE=<BUY|SELL>|TYPE=TRAILING_STOP|QTY=<quantity>|TRAIL=<offset>[|STOP=<initial-stop>][|TIF=<DAY|GTC|ATO|ATC>][|SMP=<...>]

Examples:

NEW|SYM=AAPL|SIDE=SELL|TYPE=TRAILING_STOP|QTY=100|TRAIL=1.50|STOP=148.00
NEW|SYM=AAPL|SIDE=SELL|TYPE=TRAILING_STOP|QTY=100|TRAIL=1.50

Semantics:

TRAIL is mandatory
STOP is optional
if STOP is omitted, the engine derives the initial stop from the last trade price
if STOP is omitted and no prior trade exists, the engine rejects the order

Auction-only `TIF` values¶

ATO and ATC are accepted by the single-leg parser even though they are not prominent in tab completion.

Examples:

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.00|TIF=ATO
NEW|SYM=AAPL|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=151.00|TIF=ATC

These are only meaningful during the opening and closing auction phases.

Practical parsing notes¶

PRICE, STOP, and TRAIL are decimal display prices, not ticks
QTY and VISIBLE must parse as integers
VISIBLE must be strictly less than total QTY
the gateway generates the final engine order ID; you do not supply it in NEW

`AMEND` - order amendments¶

AMEND applies only to existing single-leg orders identified by full engine-generated order ID.

Formal syntax¶

AMEND|ID=<order-id>[|PRICE=<new-price>][|QTY=<new-total-quantity>]

At least one of PRICE or QTY must be present.

Supported amendment forms¶

Form	Meaning
`AMEND\|ID=...\|PRICE=...`	Price-only amendment
`AMEND\|ID=...\|QTY=...`	Quantity-only amendment
`AMEND\|ID=...\|PRICE=...\|QTY=...`	Change both price and quantity

Examples¶

Price only:

AMEND|ID=ORD-12345678|PRICE=151.00

Quantity only, lower quantity:

AMEND|ID=ORD-12345678|QTY=80

Quantity only, higher quantity:

AMEND|ID=ORD-12345678|QTY=200

Change both:

AMEND|ID=ORD-12345678|PRICE=151.00|QTY=200

Amendment semantics¶

As implemented today:

only resting LIMIT and ICEBERG orders can be amended
MARKET, IOC, FOK, STOP, STOP_LIMIT, and TRAILING_STOP orders are not amendable
QTY is the new total order quantity, not a delta
QTY must stay positive
the new total quantity must be greater than the already-filled quantity

Priority rules¶

The engine follows exchange-style amendment priority rules:

quantity decrease only, same price -> priority is preserved
price change -> priority is reset
quantity increase -> priority is reset

Example:

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.00
AMEND|ID=...|QTY=80 keeps queue priority if the price stays 150.00
AMEND|ID=...|PRICE=150.10 loses queue priority
AMEND|ID=...|QTY=120 also loses queue priority

Important identifier rule¶

Use the full order ID from the gateway's order table or acknowledgement stream. Inline gateway messages often abbreviate IDs visually, but AMEND requires the full internal ID.

`CANCEL` - order and group cancellation¶

Single order cancel¶

CANCEL|ID=<order-id>

Example:

CANCEL|ID=ORD-12345678

Combo cancel¶

CANCEL|COMBO_ID=<combo-label>

Example:

CANCEL|COMBO_ID=PAIR-001

OCO cancel¶

CANCEL|OCO_ID=<oco-label>

Example:

CANCEL|OCO_ID=EXIT-AAPL

Cancellation semantics¶

ID cancels one single-leg order
COMBO_ID cancels a combo and its still-resting child legs
OCO_ID cancels the whole OCO pair
fills that already happened are never reversed by cancel

`NEW|TYPE=OCO` - one-cancels-other pairs¶

OCO syntax creates two linked orders on the same symbol and with the same quantity. When one leg fills or is otherwise actioned, the sibling is cancelled.

Formal syntax¶

NEW
|TYPE=OCO
|OCO_ID=<label>
|SYM=<symbol>
|QTY=<quantity>
[|TIF=<DAY|GTC|ATO|ATC>]
|LEG1_SIDE=<BUY|SELL>
|LEG1_TYPE=<order-type>
[|LEG1_PRICE=<price>]
[|LEG1_STOP=<stop-price>]
[|LEG1_TRAIL=<trail-offset>]
|LEG2_SIDE=<BUY|SELL>
|LEG2_TYPE=<order-type>
[|LEG2_PRICE=<price>]
[|LEG2_STOP=<stop-price>]
[|LEG2_TRAIL=<trail-offset>]

OCO field semantics¶

Field	Meaning
`OCO_ID`	User label for the pair
`SYM`	Shared symbol for both legs
`QTY`	Shared quantity for both legs
`TIF`	Shared TIF for both legs
`LEG1_`, `LEG2_`	Per-leg side, type, and trigger/limit fields

If TIF is omitted, the gateway defaults it to DAY.

OCO leg expressibility¶

ALF OCO syntax can express these leg types cleanly:

Leg type	Supported in ALF OCO syntax	Required extra fields
`MARKET`	Yes	none
`LIMIT`	Yes	`LEGn_PRICE`
`IOC`	Yes	`LEGn_PRICE`
`FOK`	Yes	`LEGn_PRICE`
`STOP`	Yes	`LEGn_STOP`
`STOP_LIMIT`	Yes	`LEGn_STOP` and `LEGn_PRICE`
`TRAILING_STOP`	Yes	`LEGn_TRAIL`, optional `LEGn_STOP`
`ICEBERG`	No practical ALF support	ALF OCO syntax has no `LEGn_VISIBLE` field

Examples¶

Classic take-profit / stop-loss exit:

NEW|TYPE=OCO|OCO_ID=EXIT-AAPL|SYM=AAPL|QTY=100|TIF=GTC|LEG1_SIDE=SELL|LEG1_TYPE=LIMIT|LEG1_PRICE=155.00|LEG2_SIDE=SELL|LEG2_TYPE=STOP|LEG2_STOP=148.00

Limit exit plus trailing-stop protection:

NEW|TYPE=OCO|OCO_ID=EXIT-TRAIL|SYM=AAPL|QTY=100|TIF=GTC|LEG1_SIDE=SELL|LEG1_TYPE=LIMIT|LEG1_PRICE=155.00|LEG2_SIDE=SELL|LEG2_TYPE=TRAILING_STOP|LEG2_TRAIL=1.50

OCO semantics¶

both legs share the same SYM, QTY, TIF, and gateway identity
each leg receives its own engine-generated order ID
the gateway first receives an OCO ACK
each leg is then posted and acknowledged as a normal order
when one leg fills or is cancelled in a way that completes the OCO action, the sibling is auto-cancelled

`NEW|TYPE=COMBO` - multi-leg combo orders¶

Combo syntax creates a parent combo plus child orders across multiple symbols.

Formal syntax¶

NEW
|TYPE=COMBO
|COMBO_ID=<label>
[|COMBO_TYPE=AON]
[|TIF=<DAY|GTC|ATO|ATC>]
[|SMP=<NONE|CANCEL_AGGRESSOR|CANCEL_RESTING|CANCEL_BOTH>]
|LEG_COUNT=<n>
|LEG0.SYM=<symbol>
|LEG0.SIDE=<BUY|SELL>
|LEG0.QTY=<quantity>
[|LEG0.TYPE=<order-type>]
[|LEG0.PRICE=<price>]
...
|LEG<n-1>.SYM=<symbol>
|LEG<n-1>.SIDE=<BUY|SELL>
|LEG<n-1>.QTY=<quantity>
[|LEG<n-1>.TYPE=<order-type>]
[|LEG<n-1>.PRICE=<price>]

Combo field semantics¶

Field	Meaning
`TYPE=COMBO`	Selects combo mode
`COMBO_ID`	User label used later by `CANCEL\|COMBO_ID=...`
`COMBO_TYPE=AON`	Optional today; defaults to `AON`
`TIF`	Shared TIF for all child legs
`SMP`	Shared SMP setting applied to all child legs
`LEG_COUNT`	Number of legs, from 2 to 10
`LEGi.*`	Per-leg fields, using zero-based numbering

If COMBO_TYPE is omitted, the gateway defaults it to AON. If TIF is omitted, it defaults to DAY.

Combo leg expressibility¶

This is an important ALF limitation.

The current text parser exposes only:

LEGi.SYM
LEGi.SIDE
LEGi.QTY
LEGi.TYPE
LEGi.PRICE

It does not expose:

LEGi.STOP
LEGi.TRAIL
LEGi.VISIBLE

So, in practical ALF terms:

Leg type	Practical ALF combo support	Reason
`LIMIT`	Yes	Default leg type; `PRICE` available
`MARKET`	Yes	No extra fields required
`IOC`	Yes	`PRICE` available
`FOK`	Yes	`PRICE` available
`STOP`	No practical ALF support	No `LEGi.STOP` field
`STOP_LIMIT`	No practical ALF support	No `LEGi.STOP` field
`TRAILING_STOP`	No practical ALF support	No `LEGi.TRAIL` field
`ICEBERG`	No practical ALF support	No `LEGi.VISIBLE` field

Examples¶

Two-leg pairs trade:

NEW|TYPE=COMBO|COMBO_ID=PAIR-001|COMBO_TYPE=AON|TIF=GTC|LEG_COUNT=2|LEG0.SYM=MSFT|LEG0.SIDE=BUY|LEG0.QTY=100|LEG0.PRICE=415.00|LEG1.SYM=AAPL|LEG1.SIDE=SELL|LEG1.QTY=100|LEG1.PRICE=210.00

Three-leg arbitrage-style order:

NEW|TYPE=COMBO|COMBO_ID=ARB-01|COMBO_TYPE=AON|TIF=DAY|LEG_COUNT=3|LEG0.SYM=AAPL|LEG0.SIDE=BUY|LEG0.QTY=200|LEG0.PRICE=210.00|LEG1.SYM=MSFT|LEG1.SIDE=SELL|LEG1.QTY=100|LEG1.PRICE=415.00|LEG2.SYM=GOOG|LEG2.SIDE=SELL|LEG2.QTY=50|LEG2.PRICE=170.00

Combo semantics¶

LEG_COUNT must be between 2 and 10
leg numbering is zero-based: LEG0, LEG1, LEG2, ...
duplicate symbols are rejected by the engine
the engine posts child orders to the relevant per-symbol books
if a child leg is cancelled or expires, the remaining legs are cascade-cancelled
combo state is tracked separately from the ordinary ORDERS table

`QUOTE` and `QUOTE_CANCEL`¶

Quotes are a two-sided market-maker convenience command. One QUOTE submits or replaces both a bid and an ask for the same symbol.

Formal syntax¶

QUOTE|SYM=<symbol>|BID=<bid-price>|ASK=<ask-price>|BID_QTY=<quantity>|ASK_QTY=<quantity>[|TIF=<DAY|GTC|ATO|ATC>][|QUOTE_ID=<label>]

Cancel syntax:

QUOTE_CANCEL|SYM=<symbol>

Example¶

QUOTE|SYM=AAPL|BID=149.90|ASK=150.10|BID_QTY=500|ASK_QTY=500|TIF=DAY|QUOTE_ID=MM-AAPL-1
QUOTE_CANCEL|SYM=AAPL

Quote semantics¶

only gateways configured with the MARKET_MAKER role may submit quotes
BID must be strictly less than ASK
both quantities must be positive
a new quote for the same gateway and symbol replaces the previous active quote
a quote creates two internal LIMIT orders, one bid and one ask

`KILL`¶

KILL triggers the kill switch for the current gateway.

Syntax¶

KILL
KILL|SYM=<symbol>

Examples¶

Cancel all eligible exposure for the gateway:

KILL

Cancel only for one symbol:

KILL|SYM=AAPL

Semantics¶

KILL applies to the current authenticated gateway only. It does not cancel other gateways' orders.

The engine performs these steps:

Validate that the gateway is currently allowed to submit risk actions
Cancel the gateway's active quote entry or entries
Cancel the gateway's remaining resting non-quote orders
Return a kill-switch acknowledgement with summary counts

More precisely:

if no SYM is supplied, the engine removes all active quotes for that gateway from the internal quote index
if SYM is supplied, it removes only the active quote for that gateway + symbol pair
each removed quote entry then cancels its bid leg and ask leg
after quote cancellation, the engine walks every order book and cancels every resting order where:
order.gateway_id matches the current gateway
the order is not a quote-origin order
the symbol matches SYM if a symbol filter was supplied

This means KILL cancels:

active market-maker quote legs for the current gateway
ordinary resting limit-style exposure for the current gateway
any other gateway-owned resting child orders that are sitting in a book and are not quote-origin orders

This means KILL does not:

cancel other gateways' orders
reverse fills that already happened
reach into already-completed orders that are no longer resting in a book
count quotes as one unit; the acknowledgement counts cancelled quote legs separately from cancelled non-quote orders

If the gateway is not allowed to perform the action, the engine sends a reject acknowledgement instead of cancelling anything.

Acknowledgement behavior¶

The gateway receives a KILL ACK or KILL REJ.

On success, the acknowledgement includes:

cancelled_orders - number of cancelled non-quote resting orders
cancelled_quotes - number of cancelled quote legs

Important detail: cancelled_quotes counts legs, not quote records. One two-sided quote typically contributes up to 2 to this count.

Examples¶

If gateway MM01 currently has:

one active two-sided quote in AAPL
one active two-sided quote in MSFT
three resting non-quote orders in AAPL
one resting non-quote order in GOOG

then:

KILL|SYM=AAPL

will cancel:

the AAPL quote's bid and ask legs
the three resting non-quote AAPL orders

but it will leave:

the MSFT quote untouched
the GOOG resting order untouched

while:

KILL

will cancel all of the above gateway-owned resting exposure across all symbols.

Informational gateway commands¶

These commands are part of the ALF command language accepted by pm-alf-console, but they are not order-entry messages in the strict sense.

`STATUS`¶

Purpose: quick local gateway/session summary.

STATUS

STATUS reports the current gateway ID, known symbols, cached order counts by lifecycle state, cached quote-leg counts, and position symbols. It is useful as a fast health check after connecting or after a burst of activity.

STATUS is not the detailed order-inspection command. Use ORDERS when you need order IDs, prices, quantities, remaining quantity, TIF, or per-order lifecycle state.

`ORDERS`¶

ORDERS

Purpose: detailed order inspection for the current gateway session.

ORDERS prints the gateway's order table, including order IDs, symbol, side, type, TIF, quantity, remaining quantity, price, current lifecycle status, and last update time.

`POS`¶

POS

Prints positions and P&L computed from fills seen by this gateway instance.

`SYMBOLS`¶

SYMBOLS

Requests the currently active symbols from the engine.

`QBOOT`¶

QBOOT
QBOOT|SYM=<symbol>

Requests active quote bootstrap state for the current gateway from the engine.

This is intended for MM startup/reconnect flows where quote legs may have been seeded by configuration before the gateway connected. The gateway prints a table of active quote bootstrap entries including quote id, symbol, state, bid/ask prices, and remaining quantities.

Use QBOOT|SYM=<symbol> when you only need one symbol.

`QLEGS`¶

QLEGS
QLEGS|SYM=<symbol>
QLEGS|SHOW=<ACTIVE|RECENT|ALL>
QLEGS|SYM=<symbol>|SHOW=<ACTIVE|RECENT|ALL>

Prints the gateway's local quote-leg projection for market-maker quote lifecycle monitoring. This command is read-only and does not send modify or cancel actions to the engine.

QLEGS is designed to reduce cognitive load when operating a market-maker gateway by showing quote legs with explicit fill state, remaining size, and latest lifecycle status in one place.

Field behavior:

SYM (optional): limit output to one symbol.
SHOW (optional): controls filtering mode; defaults to ACTIVE.
ACTIVE: quote legs that are currently live or still have remaining size.
RECENT: completed/cancelled legs with no remaining size.
ALL: union of active and recent rows.

Typical output columns:

Symbol, Quote, Leg, Order
Qty, Rem, Filled, Filled?
Leg status, Quote status, Time

Operational usage pattern:

Submit a quote.
Run QLEGS|SYM=<symbol> to confirm both legs are active.
After a fill/status event, run QLEGS|SYM=<symbol>|SHOW=ALL.
Determine which leg traded and whether the quote is still active before re-quoting.

Examples:

MM_AAPL_01> QLEGS
# show currently active quote legs across all symbols

MM_AAPL_01> QLEGS|SYM=AAPL
# show currently active quote legs for AAPL only

MM_AAPL_01> QLEGS|SYM=AAPL|SHOW=ALL
# show both active and recently completed/cancelled AAPL quote legs

MM_AAPL_01> QLEGS|SHOW=RECENT
# show recent completed quote legs across all symbols

Important notes:

QLEGS is a gateway-local view built from quote acknowledgements and order lifecycle events observed by this gateway session.
On reconnect, the local view is rebuilt from current order snapshots and new events; use QBOOT when you need protocol-level startup bootstrap state for active quote slots owned by this gateway.

`HELP`¶

HELP

Prints the gateway help text.

`EXIT` / `QUIT`¶

EXIT
QUIT

Stops the gateway process.

Configuration reference¶

ALF gateway authorization and behavior are configured in the main engine configuration file (engine_config.yaml), under the gateways.alf list.

Path location:

engine_config.yaml -> gateways -> alf -> list of gateway entries

All supported ALF gateway configuration fields are listed below.

Field	Type / allowed range	Default	Description
`gateways.alf[].id`	Non-empty string	None (required)	Gateway identity used by `pm-alf-console --id ...` and engine allowlist checks.
`gateways.alf[].description`	String	Empty string	Human-readable gateway description.
`gateways.alf[].role`	Enum: `TRADER`, `MARKET_MAKER`, `ADMIN`	`TRADER`	Participant role used for authorization/policy checks.
`gateways.alf[].disconnect_behaviour`	Enum: `CANCEL_QUOTES_ONLY`, `CANCEL_ALL`, `LEAVE_ALL`	`CANCEL_QUOTES_ONLY`	Engine behavior applied when that gateway disconnects.
`gateways.alf[].quote_refresh_policy`	Enum: `INACTIVATE_ON_ANY_FILL`, `INACTIVATE_ON_FULL_FILL`, `NEVER_INACTIVATE`	`INACTIVATE_ON_ANY_FILL`	Controls market-maker quote life-cycle after fills.
`gateways.alf[].enforce_mm_obligation`	Boolean (`true`/`false`)	`false`	Enables per-gateway market-maker obligation checks.
`gateways.alf[].mm_max_spread_ticks`	Integer, `> 0`	`10`	Maximum allowed quote spread for MM obligation checks.
`gateways.alf[].mm_min_qty`	Integer, `> 0`	`100`	Minimum quote size for MM obligation checks.
`gateways.alf[].mm_obligations`	Mapping of symbol -> obligation object	Empty mapping	Optional per-symbol MM overrides when configured.

Example:

gateways:
  alf:
    - id: TRADER01
      description: Human trader workstation
      role: TRADER
      disconnect_behaviour: CANCEL_ALL
      quote_refresh_policy: INACTIVATE_ON_ANY_FILL
      enforce_mm_obligation: false
      mm_max_spread_ticks: 10
      mm_min_qty: 100

What to watch out for during implementation¶

Normalize command verbs, field names, symbols, and enum values to uppercase before validation; mixed-case input is common in real clients.
Parse segments by splitting only on the first = in each KEY=VALUE token; extra = characters in values should not break parsing.
Apply last-value-wins behavior for duplicate keys; do not reject a command only because a key appears twice.
Do not trim field-level whitespace implicitly; only trim line boundaries, otherwise behavior diverges from gateway semantics.
Treat QTY in AMEND as new total quantity (not delta) and reject values below already-filled quantity.
Enforce OCO and combo field-shape constraints early (leg numbering, required leg fields) to avoid partial acceptance of malformed multi-leg commands.
Keep a strict separation between user-facing ALF parsing and internal engine payload format; do not expose internal message details in ALF syntax.

Worked examples¶

Basic buy-side session¶

NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.00
AMEND|ID=<returned-order-id>|QTY=80
CANCEL|ID=<returned-order-id>

Stop-protected exit¶

NEW|TYPE=OCO|OCO_ID=EXIT-AAPL|SYM=AAPL|QTY=100|TIF=GTC|LEG1_SIDE=SELL|LEG1_TYPE=LIMIT|LEG1_PRICE=155.00|LEG2_SIDE=SELL|LEG2_TYPE=STOP|LEG2_STOP=148.00

Market-maker quoting¶

QUOTE|SYM=MSFT|BID=414.90|ASK=415.10|BID_QTY=250|ASK_QTY=250|QUOTE_ID=MSFT-MM-01
QLEGS|SYM=MSFT
QUOTE_CANCEL|SYM=MSFT
QBOOT|SYM=MSFT
QLEGS|SYM=MSFT|SHOW=ALL

Multi-symbol combo¶

NEW|TYPE=COMBO|COMBO_ID=PAIR-001|COMBO_TYPE=AON|TIF=DAY|LEG_COUNT=2|LEG0.SYM=MSFT|LEG0.SIDE=BUY|LEG0.QTY=100|LEG0.PRICE=415.00|LEG1.SYM=AAPL|LEG1.SIDE=SELL|LEG1.QTY=100|LEG1.PRICE=210.00

Summary of important implementation truths¶

If you are writing another ALF producer, the most important exact behaviors are:

ALF is not FIX. It is a simpler pipe-delimited command language.
The command verb must be first; after that, field order is mostly free.
Parsed values are normalized to uppercase, including user labels.
Repeated fields use the last value seen.
Single-leg orders support all documented order types, including TRAILING_STOP.
AMEND applies only to resting LIMIT and ICEBERG orders.
OCO syntax can express stop and trailing-stop legs, but not iceberg legs.
Combo ALF syntax does not expose per-leg STOP, TRAIL, or VISIBLE fields, so some engine-level leg types are not practically expressible in ALF combo form.
QBOOT is the protocol-level way to discover active quote bootstrap state for the current gateway (optionally filtered by symbol).
QLEGS is a gateway-local monitoring view for quote legs; use SHOW=ALL after fills to inspect both live and recently completed legs.

Appendix: ALF Protocol Reference¶

What ALF is¶

Scope and boundaries¶

Core syntax rules¶

Line structure¶

Formal grammar¶

Whitespace¶

Case handling¶

Field order¶

Duplicate and unknown fields¶

Numeric formatting¶

No escaping¶

Common field vocabulary¶

Supported TIF values¶

Supported SMP values¶

Command families¶

Single-leg NEW orders¶

Generic form¶

Formal grammar¶

Supported single-leg order types¶

Formal syntax by order type¶

MARKET¶

LIMIT¶

IOC¶

FOK¶

STOP¶

STOP_LIMIT¶

ICEBERG¶

TRAILING_STOP¶

Auction-only TIF values¶

Practical parsing notes¶

AMEND - order amendments¶

Formal syntax¶

Supported amendment forms¶

Examples¶

Amendment semantics¶

Priority rules¶

Important identifier rule¶

CANCEL - order and group cancellation¶

Single order cancel¶

Combo cancel¶

OCO cancel¶

Cancellation semantics¶

NEW|TYPE=OCO - one-cancels-other pairs¶

Formal syntax¶

OCO field semantics¶

OCO leg expressibility¶

Examples¶

OCO semantics¶

NEW|TYPE=COMBO - multi-leg combo orders¶

Formal syntax¶

Combo field semantics¶

Combo leg expressibility¶

Examples¶

Combo semantics¶

QUOTE and QUOTE_CANCEL¶

Formal syntax¶

Example¶

Quote semantics¶

KILL¶

Syntax¶

Examples¶

Semantics¶

Acknowledgement behavior¶

Examples¶

Informational gateway commands¶

STATUS¶

ORDERS¶

POS¶

SYMBOLS¶

QBOOT¶

QLEGS¶

HELP¶

EXIT / QUIT¶

Configuration reference¶

What to watch out for during implementation¶

Worked examples¶

Basic buy-side session¶

Stop-protected exit¶

Market-maker quoting¶

Supported `TIF` values¶

Supported `SMP` values¶

Single-leg `NEW` orders¶

Auction-only `TIF` values¶

`AMEND` - order amendments¶

`CANCEL` - order and group cancellation¶

`NEW|TYPE=OCO` - one-cancels-other pairs¶

`NEW|TYPE=COMBO` - multi-leg combo orders¶

`QUOTE` and `QUOTE_CANCEL`¶

`KILL`¶

`STATUS`¶

`ORDERS`¶

`POS`¶

`SYMBOLS`¶

`QBOOT`¶

`QLEGS`¶

`HELP`¶

`EXIT` / `QUIT`¶