TT® FIX

Order Cancel/Replace Request (G) Message

Purpose

Used to change an existing order

Message Direction

From FIX client to TT FIX

Supported Tags

Tag # Field Name Req’d Data type Comments
Component Block <Standard Header> Y 35=G (MsgType)
37 OrderId C string

Internal TT order key assigned to all orders submitted through any TT software. The value remains constant for the life of an order.

Condition: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

16116 OrderIDGUID C int

TT order ID

This tag is populated with the regular TT order ID when a shortened ID is sent in tag 37 (OrderID).

Condition: Sent only when the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application.

41 OrigClOrdId Y string

Original order ID. Equal to the current value of Tag 11 (ClOrdID) of the order that this message modifies.

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

11 ClOrdID Y String New ID for the canceled order. This value must be unique since the TT FIX session reset.
1 Account Y String

Order-routing account

60 TransactTime N UTCTimestamp

Time, in UTC, that the FIX Client submitted the message

For MiFID II markets, the time will use microsecond precision; otherwise, the time uses millisecond precision. For exampe:

  • Millisecond precision: 60=20170509-22:34:56.881
  • Millisecond precision: 60=20170509-22:34:56.881321
207 SecurityExchange C Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the security.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • BVMF
  • CFE
  • CME
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required only when price conversion based on symbol mappings is needed.

167 SecurityType C String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • TBOND: treasury bond
  • NONE: No security type

Condition: Required only when price conversion based on symbol mappings is needed.

55 Symbol C String

Exchange-provided product symbol for the tradable product.

Condition: Required only when price conversion based on symbol mappings is needed.

202 StrikePrice C Price

Stirke price for an option

Condition: Required when Tag 167 (SecurityType) is OPT and when price conversion based on symbol mappings is needed.

18 ExecInst C MultipleStringValue

Order execution instructions

Possible values include:

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

To submit an updated order in “held” status, set this tag value to S. To restart a held order, set this tag value to q.

Condition: Required when submitting a hold 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

New tag for TT

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
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
  • 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.

1385 ContingencyType N int

Type of contingency

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
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus
142 SenderLocationId REQD string Specific message originator's location (i.e. geographic location and/or desk, trader)
376 ComplianceId C string

New tag for TT

ID used to represent this transaction for compliance purposes

ID representing the algorithm associated with the order, for compliance purposes

FIX Adapter will continue to echo the Compliance ID in 376 for backward compatibility with pre-MIFID Eurex gateways. If the FIX client sends tag 376 on a new order, the value will not be copied into the MIFID Algo ID field. We're assuming if the client sends tag 376, they are still connecting to a legacy Eurex GW so it will be communicated in the pre-MIFID implemention.

MIFID alogrithm IDs must be sent / received using the Parties repeating group with 2376=22 (algorithm).

Condition: Required when tag 1028=N and the associated exchange requires the tag

21 HanldInst 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

16999 ClearingAccountOverride N String

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

16558 TextTT N String Value corresponding to the Text TT field in TT widgets
Component: <StrategyParametersGrp> N

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

Component: <TargetStrategyBlock> N

Alternative to the <StrategyParametersGrp> repeating group for TT Order types, user-defined ADL algos, or third-party algos.

Note: For informational fields (TextA and TextB), you must use the <StrategyParametersGrp> repeating group.

Component: <StrategyParametersGrp> Y

Strategy parameter block for TT order types, user-defined ADL algos, or informational fields

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.

16566 DropCopyOrder C char

Indicates the message is a drop copy order message (35=D,F or G) or a pending execution report (35=8, 150=6, A or E). 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 Block: <PartiesGrp> Y

Entities involved in the financial transaction associated with this FIX message

Component Block: <OrderAttributesGrp> Y

Attributes associated with the order

Component Block <Standard Trailer> Y

Message Notes

The Order Cancel Replace Request (G) message is used by FIX clients to make changes to a previously submitted order.

Notes for 7.X TT FIX Adapter Developers

TT FIX uses the order id provided in the message to get the information about the order's instrument automatically. Therefore, the tags in the Instrument Component Block are no longer required in the Order Cancel Replace Request (G) message.

  • AutoAggressive [16481]
  • ClearingAccount [440]
  • CustomerOrFirm [375]
  • ExchangeGateway [18203]
  • FFT2 [16102]
  • FFT3 [16103]
  • HandlInst [21]
  • MaxShow [210]
  • NoRelatedSym [146]
  • OrderOriginationID [16142]
  • OrderTag [16105]
  • PassiveAggressive [16480]
  • RatioQty [319]
  • Rule80A [47]
  • SettlType [63]
  • UnderlyingCurrency [318] (Renamed to LegCurrency)
  • UnderlyingDeliveryTerm [18212] (Renamed to LegDeliveryTerm)
  • UnderlyingMaturityDay [314]
  • UnderlyingMaturityMonthYear [313] (Renamed to LegMaturityMonthYear)
  • UnderlyingOptAttribute [317] (Renamed to LegOptAttribute)
  • UnderlyingPutOrCall [315] (Renamed to LegPutOrCall)
  • UnderlyingSecurityAltID [10456] (Renamed to LegSecurityAltID)
  • UnderlyingSecurityExchange [308] (Renamed to LegSecurityExchange)
  • UnderlyingSecurityID [309] (Renamed to LegSecurityID)
  • UnderlyingSecurityType [310] (Renamed to LegType)
  • UnderlyingStrikePrice [316] (Renamed to LegStrikePrice)
  • UnderlyingSymbol [311] (Renamed to LegSymbol)
  • UserTag [16104]