TT® FIX

Component: <LegFillsGrp>

Overview

The <LegFillsGrp> specifies the partial leg fills included in an Execution Report (8) when connected to a TT FIX 4.4 session.

Supported tags

Tag # Field Name Req'd Data type Comments
16120 NoLegFills C NumInGroup

Number of partial leg fills included in an Execution Report

Condition: Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. "sweeping the market". Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX.

Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.

16121 LegFillExecID C String

Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).

Condition: Sent when tag 16120 > 0

16122 LegFillPx C Price

Price of this leg fill

Condition: Sent when tag 16120 > 0

16123 LegFillQty C Qty

Quantity of this leg fill

Condition: Sent when tag 16120 > 0

16124 LegFillTradingVenueRegulatoryTradeID C String

Trading Venue transaction identification code of this leg fill

Condition: Sent if available when tag 16120 > 0

16125 LegFillLastLiquidityIndicator N int

Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group.

Possible values include:

  • 1: Added liquidity
  • 2: Removed liquidity