TT® FIX

New Order Multileg (AB) Message

Purpose

Submits a new order for securities that are made up of multiple securities, known as legs, from a FIX client to TT FIX

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: <Standard Header> Y 35=D (MsgType)
11 ClOrdID Y String

Order identifier for the order.

Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Note: Tag 11 (ClOrdID) of an order can change over time.

60 TransactTime N UTCTimestamp

Time, in UTC, the transaction occurred with microsecond precision.

For example:

  • Millisecond precision: 60=20170509-22:34:56.881
  • Microsecond precision: 60=20170509-22:34:56.881321

Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

Component: <Instrument> Y

Instrument associated with this New Order Single (D) message

Component: <LegInstrumentGrp> Y

Number of legs in the repeating group. Can be zero but, must be provided even if zero.

18 ExecInst C MultipleStringValue

Order execution instructions

Possible values include:

  • 2: Work (default)
  • 6: Participate don't initiate
  • G: All or none
  • S: Suspend
  • o: Cancel on connection loss (valid only for New Order Single (D) and New Order Multileg (AB) messages)
  • q: Release from suspension
  • X: Test request

Note: If you submit multiple values that include an unsupported value, TT FIX will choose the appropriate supported value.

To submit a new order in a “suspended” status, set this tag value to S.

Condition: Required when submitting a suspended order

44 Price C Price

Limit price for limit orders

Condition: Required when Tag 40 (OrdType) is:

  • 2: Limit
  • 4: Stop Limit
99 StopPx C Price

Trigger price for a stop order

Condition: Required when Tag 40 (OrdType) is:

  • 4: Stop Limit
  • K: Market With Leftover as Limit
38 OrdQty Y Qty Total order quantity
110 MinQty C Qty

Minimum quantity for a Minimum Volume (MV) order

Condition: Required for Minimum Volume (MV) orders

1138 DisplayQty
C Qty

Quantity to disclose for a disclosed quantity (Iceberg) order

Condition: Required for disclosed quantity (Iceberg) orders

54 Side Y char

Side of the order

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
40 OrdType Y char

Order type

Possible values include:

  • 1: Market
  • 2: Limit
  • 3: Stop
  • 4: Stop Limit
  • 5: Market On Close (MOC)
  • B: Limit On Close (LOC)
  • K: Market with Leftover as Limit
  • Q: Market Limit Market (MLM) with Leftover as Limit
  • S: Stop Market to Limit
  • p: Limit (post-only)
77 OpenClose N char

Whether the order opens or closes a position

Possible values include:

  • O: Open (default, if unspecified)
  • C: Close
59 TimeInForce N char

How long an order remains active

Possible values include:

  • 0: Day (default, if not specified)
  • 1: Good Till Cancel (GTC)
  • 2: At The Opening (OPG)
  • 3: Immediate or Cancel (IOC)
  • 4: Fill Or Kill (FOK)
  • 5: Good Till Crossing
  • 6: Good Till Date
  • A: Auction
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus
432 ExpireDate C LocalMktDate

Date a Good Till Date order expires

Condition: Required when Tag 59 (TimeInForce) = 6 (Good Till Date)

1028 ManualOrderIndicator N char

Whether the order is sent manually or through automated trading logic.

Possible values include:

  • Y: Manual
  • N: Automated

Default value is N if the tag is omitted.

Component: <Trader> Y

Information about the trader routing the order

16999 ClearingAccountOverride N String

Overrides the clearing account defined in the Setup application for the user's account named in Tag 1.

16556 TextA N String Value corresponding to the Text A field in TT widgets
16557 TextB N String Value corresponding to the Text B field in TT widgets
16558 TextTT N String Value corresponding to the Text TT field in TT widgets
16559 TextC N String Customer-defined text field not sent to exchange.
Component: <StrategyParametersGrp> N

Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields

1385 ContingencyType
N int

Type of contingency

Possible values include:

  • 1: One Cancels the Other (OCO)
  • 2: One Triggers Other (OTO)
  • 3: One Updates the Other (OUO) - Absolute Quantity Reduction
  • 4: One Updates the Other (OUO) - Proportional Quantity Reduction
21 HandlInst C int

Order handling instructions.

Possible values include:

  • 1: Automated execution order, private, no broker intervention
  • 2: Automated execution order, public, broker intervention OK
  • 3: Staged order, broker intervention required

Condition: Required when submitting a staged order

16106 StagedOrderMsg N string, 256 character maximum

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order.

Note: Valid only for staged orders (Tag 21 (HandlInst)=3)

16111 StagedRoutingLevel C char

Indicator of who can work the staged order.

Possible values include:

  • B: Broker
  • I: Internal

Condition: Required for staged orders (Tag 21 (HandlInst)=3)

58 Text N String

Additional information for the person who works the order

528 OrderCapacity C char

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer Defaults in Setup.

Possible values include:

  • A: Agency (maps to [AOTC])
  • G: Proprietary (maps to [AOTC])
  • I: Individual (maps to [AOTC])
  • P: Principal (maps to [DEAL])
  • R: Riskless Principal (maps to [MTCH])
  • W: Agent for Other Member (maps to [AOTC])

Condition: Required for exchanges subject to MiFID II regulations.

1724 OrderOrigination C int

Identifies the origin of the order. whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer. The value corresponds to the Direct Electronic Access setting for Customer Defaults in Setup.

Valid values include:

  • 5: Order from a direct access or sponsored access customer
  • 99: Other

Condition: Required for exchanges subject to MiFID II regulations.

Note: For MiFID II markets only, TT FIX will automatically send 1724=99 as the default value if this tag is omitted.

16566 DropCopyOrder C char

Indicates the message is a drop copy order message. This tag is generated by TT FIX Adapter to provide a complete audit trail for the order.

Condition: Sent only for Drop Copy FIX Adapter sessions with the Compliance Fee (Send original order/cancle/change messsages and pending execution reports) option is enabled in Setup. When sent, the value of this tag will always be Y.

Note: FIX clients should not send this tag for incoming messages.

Component <PartiesGrp> Y

Entities involved in the financial transaction associated with this FIX message

Component: <OrderAttributesGrp> Y

Attributes associated with the order

16117 OrderSource N int TT component that most recently acted on an active order.

Possible values include:

  • 0: ASE
  • 2: NTW
  • 3: Invalid
  • 4: T Trader
  • 6: Mobile
  • 7: ROE
  • 9: External
  • 10: FIX Adpater
  • 11: Aggregator
  • 12: Bouncer
  • 13: Lambda Liquidator
  • 14: External FIX Adapter
  • 15: Prime ASE
  • 16: Nimbus
  • 17: ADL
  • 18: TTSDK
  • 19: TT Algo
  • 20: ADL Prime
  • 21: TTSDK Prime
  • 22: TT Algo Prime
  • 23: Chart
  • 24: TTD
  • 25: TTD Chart
  • 26: TTINT

Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
7928 SelfMatchPreventionID N int Exchange-registered identifier that enables customers to prevent the matching of orders for accounts with common ownership, even across different executing firms.
8000 SMPInstruction N int Instruction provided to the exchange as to whether to cancel the resting or incoming (aggressing) order in the event of a self-match.

Possible values include:

  • 0: SMP Instruction type cancel resting
  • N: SMP Instruction type cancel aggressor
  • B: SMP Instruction type cancel both

Note: This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.
16601 EchoDC_01 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16602 EchoDC_02 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16603 EchoDC_03 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16604 EchoDC_04 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16605 EchoDC_05 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16606 EchoDC_06 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16607 EchoDC_07 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16608 EchoDC_08 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16609 EchoDC_09 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16610 EchoDC_10 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

Component: <Standard Trailer> Y

Message Notes

The New Order Multileg (AB) message is used by FIX clients to submit an order for a contract that comprise multiple securities, known as legs.

Eurex Book-or-Cancel orders

You can submit a Book-or-Cancel (BOC) order for Eurex Futures, which immediately deletes the order if any portion of the order would be filled when entered. To submit a Eurex BOC order, send a New Order Single (D) message with the following tag values:

  • Tag 207 (SecurityExchange) = Eurex (or tag 100 (ExDestination) with the appropriate MIC code)
  • Tag 40 (OrdType) = 2 (Limit)
  • Tag 18 (ExecInst) = 6 (Participate don't initiate)
  • Tag 59 (TimeInForce) = 0 (Day)