FIX Gateway

System Overview

The TT FIX Gateways allow third parties to bridge their market data sources and matching engines with the TT environment.

The TT FIX Gateways support a subset of the FIX protocol (Version 4.2 with Errata 20010501) message types and tags within the message types. Refer to the website http://www.fixtradingcommunity.org/ for additional FIX tag descriptions and message definitions.

Note: The TT FIX Gateways support only those messages and tags described in this document. Do not submit other messages or tags, as doing so can produce unexpected results.

The TT FIX Gateway consists of a TT FIX Price Gateway and a TT FIX Order Gateway. The TT FIX Price Gateway connects to a third party's market data source. The TT FIX Order Gateway connects to a third party's matching engine.

TT FIX Price Gateway

The TT FIX Price Gateway supports only non-persistent FIX sessions. In other words, it will always send a Logon (A) message with Tag 34 (MsgSeqNum)=1 and Tag 141 (ResetSeqNumFlag)=Y when initiating a connection. As a result, the FIX session will terminate when the connection does.

After the TT FIX Price Gateway creates a connection to the FIX acceptor, the TT FIX Price Gateway will send a Security Definition Request (c) to the FIX acceptor. The FIX acceptor will return a Security Definition (d) message for each supported instrument. Security Definition (c) messages that contain insufficient or badly expressed information will be rejected with the Business Message Reject (j) message.

For each valid instrument received from the FIX acceptor, the TT FIX Price Gateway will send a single Security Status Request (e) message. The TT FIX Price Gateway will wait until it receives a Security Status (f) message from the FIX acceptor for a given instrument before it will process a price subscription request from TT client applications.

TT FIX Order Gateway

The TT FIX Order Gateway supports only persistent FIX sessions. When it is started for the first time, it will send a Logon (A) message with Tag 34 (MsgSeqNum)=1. When there are unscheduled restarts, the standard FIX message sequence number negotiation will take place. After the TT FIX Order Gateway create a connection to the FIX acceptor, the TT FIX Order Gateway will begin to process requests from TT client applications for routing orders.