Overview

Getting Started

The FIX Recovery service lets FIX Order Routing and FIX Drop Copy clients request data for specific
time periods and markets using their existing sessions. This
service uses FIX messages,
Recovery Request
(U2) or Logon (A), to
submit a request for missing data that might result from a technical
issue with a FIX client or a FIX session. FIX Order Routing and FIX Drop Copy clients may request:

• Execution Report
  (8) messages for all order acknowledgements and fills, as well as all Order Cancel Reject (9) messages,
  sent during the specified time range and market. For this type of request, the FIX client must specify
  the time period using the StartDate (916) and EndDate (917) tags.

• Reconciliation: Only the missed messages for a market sent from the
  beginning of the session (last session reset
  time).
  For this type of request, the FIX client must include the CustomMode (18002) tag.

The FIX Recovery service connects to the existing FIX session but
uses a different DNS and port number, as described in Managing FIX sessions.
This service uses a non-persistent session that accepts a single Recovery
Request (U2) message and then terminates after all responses are sent.

To begin creating a FIX Recovery client application using TT FIX, you will
need to:

• Download the TT FIX 4.2 and 4.4
  schemas.
  This schema summarizes the supported FIX messages and tags.
• Configure
  client connectivity.
  Create and configure client connection to TT FIX Order Routing services via
  the Internet or Stunnel.

Note Execution Reports sent during the recovery
process include only the final state of any Execution Reports that were restated due to fill confirmation, or the fast
fill vs. clearing fill Execution Reports sent for OM markets. Any intermediate states for a given Execution Report are
omitted from the recovery feed.

FIX Drop Copy Compliance Feed

TT FIX Drop Copy includes a “Compliance Feed” option that enables customers to receive a full Order Audit Trail in
FIX format for all FIX, screen and algo order flow occurring in the TT system.

When enabled, the Drop Copy server will synthesize in real-time the appropriate new order, cancel/replace, cancel and
pending messages, including timestamps for each message accurate to the MIFID II RTS 25 standard, for all executions
received on the customer’s Drop Copy feed.

• For synthetic New Order Single (D), Order Cancel-Replace (G), New Order Multileg (AB), Multileg Order
  Cancel-Replace (AC) and Order Cancel Request (F) messages, TransactionTime (FIX Tag 60) represents the time that
  the message was sent to the TT Order Connector from a TT trading application. This includes TT Web, TT Desktop,
  TT FIX, Algo Server, etc.
• For synthetic pending Execution Report (8) messages, ExecType (FIX Tag 150 = A, E or 6), TransactionTime (FIX
  Tag 60) represents the time that the request message was sent from the TT Order Connector to the execution
  venue.

Note If you have Compliance messages enabled for your Drop Copy session, you
will also receive these in the FIX recovery.

FIX Recovery Time frame

For the FIX Recovery service, there is a time limitation dependent on the user’s total number of accounts.

In general:

• Users with less than 250 accounts, the recovery service allows message retrieval up to 720 hours or roughly 30
  days.

• Users with more than 250 accounts, the recovery service allows message retrieval up to 168 hours or roughly 7
  days.

Submitting requests outside of the supported time frame may result in a reject with Tag 58 equal to Start date is
earlier than permissible limit of *** hours where *** equals the allotted time period in
hours.

Performing a FIX Recovery

You can perform a FIX Recovery using one of the following methods:

• Submitting a Recovery Request (35=U2) message
• Submitting a Logon (35=A) message with StartDate and EndDate tags included
  (Alternative Method)
  

Note Reconciliation can be used with the
Recovery Request (35=U2) or
Logon (35=A) methods.