TT® FIX

Message structure: message header

Overview

Every message sent to and received from TT FIX must start with message sender and receiver information, message type, and message size.

Message header tags in requests from a FIX client to TT FIX

Tag # Field Name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag must be the first tag in the message.

You must set the value to FIX4.2.

9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.

35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 6: Indication Of Interest
  • 7: Advertisement
  • 8: Execution Report
  • 9: Order Cancel Reject
  • a: Quote Status Request
  • A: Logon
  • B: News
  • b: Quote Acknowledgement
  • C: Email
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • E: Order List
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • g: Trading Session Status Request
  • H: Order Status Request
  • h: Trading Session Status
  • i: Mass Quote
  • j: Business Message Reject
  • J: Allocation
  • K: List Cancel Request
  • k: Bid Request
  • l: Bid Response
  • L: List Execute
  • m: List Strike Price
  • M: List Status Request
  • N: List Status
  • P: Allocation Ack
  • Q: Dont Know Trade
  • R: Quote Request
  • S: Quote
  • T: Settlement Instructions
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • Z: Quote Cancel
49 SenderCompID Y String

ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup

56 TargetCompID Y String

TT session identity

TT FIX does not validate this field. To guarantee session persistence, the FIX client must maintain the same value of this field for the life of the session.

You can use any value in this tag to identify the TT session for the FIX client. TT FIX will return this value in tag 49 (SenderCompID) in its responses.

116 OnBehalfOfSubID C String

New tag for TT

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.

Condition: Required when multiple users are associated with the account.

34 MsgSeqNum Y SeqNum

Message sequence number

142 SenderLocationId N string Specific message originator's location (i.e. geographic location and/or desk, trader)
43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Must send when a FIX client resends messages

Note: If 43=Y is present, TT will reject New Order Single (D) and Order Cancel/Replace Request (G) messages with a Business Message Reject (j) message.

122 OrigSendingTime C UTCTimestamp

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Required for resent messages

52 SendingTime Y UTCTimestamp

Time, in UTC, the message was sent.

Message header tags in responses from TT FIX to a FIX client

Tag # Field name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag is always the first tag in the message.

The value is always FIX4.2.

9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.

35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 6: Indication Of Interest
  • 7: Advertisement
  • 8: Execution Report
  • 9: Order Cancel Reject
  • a: Quote Status Request
  • A: Logon
  • B: News
  • b: Quote Acknowledgement
  • C: Email
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • E: Order List
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • g: Trading Session Status Request
  • H: Order Status Request
  • h: Trading Session Status
  • i: Mass Quote
  • j: Business Message Reject
  • J: Allocation
  • K: List Cancel Request
  • k: Bid Request
  • l: Bid Response
  • L: List Execute
  • m: List Strike Price
  • M: List Status Request
  • N: List Status
  • P: Allocation Ack
  • Q: Dont Know Trade
  • R: Quote Request
  • S: Quote
  • T: Settlement Instructions
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • Z: Quote Cancel
49 SenderCompID Y String

ID of the FIX session

The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.

56 TargetCompID Y String

FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup

The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.

50 SenderSubId C String

Unique ID for the message sender

For CME, the value corresponds to the Operator ID.

Condition: Sent if TT User Setup specifies an exchange operator ID

142 SenderLocationId N string Specific message originator's location (i.e. geographic location and/or desk, trader)
116 OnBehalfOfSubID N Data type: String

New tag for TT

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.

129 DeliverToSubID C String

Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.

Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.

34 MsgSeqNum Y SeqNum

Message sequence number.

43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Sent when TT FIX resends messages

97 PossResendFlag C Boolean

Whether the message might contain information that has been sent under another sequence numbe

Possible values include:

  • Y: Possible resend
  • N: Original transmission

Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.

122 OrigSendingTime C UTCTimestamp

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Sent when TT FIX resends a message

52

SendingTime

Y UTCTimestamp

Time, in UTC, the message was sent.