05/05/2023 |
Improvements |
FIX Services |
FIX Order Router, v219 introduces support for submission of Strategy Creation (35=c) and RFQ (35=R) request messages via the order routing session.
The SecDef Request (35=c) defines a specific Security to be traded at the exchange. The request security can be defined as a multileg security made up of one or more instrument legs.
If the security already exists in PDS (based on normal lookup rules), respond w/ a 35=d message for the instrument. If not, FIX OR forwards the request to the appropriate native Order Connecctor and waits for a response.
The SecDef request (c) message definition has added a number of tags to match the Instrument and InstrumentLeg components as defined on the SecDef (d) message. These new tags are valid for use in submission of request messages to FIX OR sessions only.
-------------------------
The RequestForQuote (35=R) message is used to request quotes from market makers / brokers in the marketplace prior to placement of an order. This workflow is most commonly used for multileg strategies where there is insufficient liquidity in the CLOB to get the best price for the instrument trade.
If the RFQ request is unsuccessful for any reason, a MassQuoteAck (35=b) is sent on the FIX OR session with QuoteReqID set in tag 131 and QuoteRejectReason set in tag 300. Successful RFQs are acked by a 35=b with QuoteAckStatus = 0, “OK”, in tag 16859.
Quote response messages from the marketplace (also 35=R) are distributed over the FIX market data feed as well as to TTW and API clients. No quote responses are sent over the FIX OR session.
The new tags added to the (R) message are valid for use in submission of request messages to FIX OR sessions only. FIX Market Data sessions that subscribe for (R) messages are not impacted by the schema change.
(Ref 153099)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added (2) new tags to TT FIX schema file.
<field number='16860' name='ParentVendorAlgoID' type='STRING' />
<field number='16861' name='ParentVendorAlgoType' type='STRING' />
These tags are included in FIX D/F/G/AB/AC message definitions but are for TT internal use only. These tags not available for use by TT FIX client order routing or drop copy sessions.
(Ref 152924)
Version: v219 |
05/05/2023 |
Fixes |
FIX Services |
Fixed an issue where FIX Sessions that were actively connected to TT could sometimes show status as 'down' in TT Setup.
(Ref 152397)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added new FIX tags to facilitate integration of ASX Exchange Drop Copy messages inbound to TT. These tag are not received on messages from other exchanges, nor on ASX trades executed on the TT Platform.
* Tag 1788 - 'LegID'
* Tag 2254 - 'NoLegInstrumentParties'
* Tag 2255 - 'LegInstrumentPartyID'
* Tag 2256 - 'LegInstrumentPartyIDSource'
* Tag 2257 - 'LegInstrumentPartyRole'
* Tag 1851 - 'StrategyLinkID'
* Tag 1853 - 'AveragePricingIndicator'
(Ref 152305)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added new enums to several existing FIX tags to facilitate integration of Euronext Exchange Drop Copy messages inbound to TT. These values are not received on messages from other exchanges, nor on Euronext trades executed on the TT Platform.
Tag 39:
* 'H' - Trade Cancel
Tag 40:
* 'P' - Peg
* 'X' - Iceberg
Tag 150:
* 'a' - 'CANCELLED_BY_STP'
* 'b' - 'ORDER_CANCELLED_DUE_TO_COD_MECHANISM'
* 'n' - 'ORDER_CANCELLED_DUE_TO_POTENTIAL_TRADE_OUTSIDE_FSP_LIMITS'
* 'u' - 'ORDER_CANCELLED_DUE_TO_MARKET_MAKER_PROTECTION'
* 'v' - 'ORDER_CANCELLED_BY_CLEARING_RISK_MANAGER'
* 'w' - 'ORDER_CANCELLED_DUE_TO_TRADE_PRICE_* ALIDATION'
* 'O' - 'ELIMINATED_BY_CORPORATE_E* ENT'
* 'P' - 'CANCELLED_BY_MEMBER_RISK_MANAGER'
* 'U' - 'ORDER_CANCELLED_BY_MARKET_OPERATIONS'
* 'V' - 'CANCELLED_DUE_TO_KILL_COMMAND'
* 'X' - 'REMAINING_QUANTITY_KILLED'
* 'Y' - 'BEGINNING_OF_PAKO_PERIOD'
* 'R' - 'RFQ_PARTIALLY_OR_FULLY_MATCHED_WITH_OTHER_COUNTERPARTS'
(Ref 152304)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added support for TradingSessionSubID, tag 625, in AE, AR messsage definitions. Required to support SGX OTC trade reporting.
Valid values are:
1) Pre-Trading
2) Opening / opening auction
3) Continuous
4) Closing / closing auction
5) Post-Trading
6) Intraday Auction
7) Quiescent
(Ref 152303)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added support for SessionStatus, tag 1409, in Logout (5) messages. TT may receive this tag in Logout (5) messages on certain Exchange Drop Copy sessions. Tag 1409 is not supported for Logout (5) messages between TT FIX clients and TT.
(Ref 152302)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
The following tags have been added to the Logon (A) message in TT FIX schema to faciliate integration with a 3rd-party system. These tags are not supported for Logon (A) messages between TT FIX clients and TT.
* Tag 115 - OnBehalfOfCompID
* Tag 128 - DeliverToCompID
* Tag 354 - EncodedTextLen
* Tag 355 - EncodedText
(Ref 152301)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
TT has added (3) new allocation message types and their associated tags to the TT FIX schema:
* AllocationInstruction (J)
* AllocationInstructionAck (P)
* AllocationReport (AS)
Support for these allocation messages is available on a limited basis. For more information, please contact FIXIntegration@trade.tt.
(Ref 152300)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
CME STP inbound drop copy has added support for SideTrdRegTimestamp, tag 1012, in TradeCaptureReport messages.
In order to process tag 1012 in incoming messages from CME, the following tags have been temporarily added to the TT FIX schema file, but will *not* appear in TCR messages sent from TT to FIX clients: 1016, 1154, 1851, 1853, 2361, 5149, 10027-10030, 10034 and 10039.
(Ref 152299)
Version: v219 |
05/05/2023 |
Fixes |
FIX Services |
FIxed an issue where a custom UDS that includes a fixed leg price and an otherwise identical exchange calendar spread that does not include a fixed leg price were misidentified as duplicates by FIX Order Router.
(Ref 151837)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added support for OptAttribute(206) and LegOptAttribute(613).
TT's security database (PDS) will include an attribute on certain option instruments where multiple versions of the same contract exist in the database at the same time. When only the original version of the contract exists, no version will be present. Version values will be V0, V1, V2, etc.
The addition of OptAttribute(206) and LegOptAttribute(613) will allow clients to include a specific version on orders and drop copy messages.
(Ref 151747)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added support in FIX Order Router for routing TT Order Types, Premium Order Types and 3rd-party Algos as Care Orders.
(Ref 151746)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
For FIX Recovery Service only, added Duration (tag 16944) to 35=U2and 35=A msgs, representing the minutes from start time to use for the recovery query.
(Ref 151745)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Added support for TTUS Drop Copy session setting "Drop Synthetic Parent Execution Reports." This option is disabled by default.
(Ref 151744)
Version: v219 |
05/05/2023 |
Improvements |
FIX Services |
Support the new templates for FIX Symbol Mapping added by TTUS:
1. <SYM><MYY>
2. <SYM><MYY><C/P>
3. <SYM><MYY><SYM><MYY>
4. <SYM><MYY><MYY>
5. <SYM><MY><C/P> <STRIKE> <KEY>
6. <SYM><MYY><C/P> <STRIKE> <KEY>
Template #1 applies to Futures products only. Template #2 applies to Options products only. Template #3 & #4 apply to Spread products only.
This is similar to existing templates, but omits the <KEY> field for clients who don't use the YellowKey option.
(Ref 151742)
Version: v219 |
05/05/2023 |
Plan |
FIX Services |
Limited production deployment of the v219 FIX Services began May 5 and will be completed over the next 4 weeks.
All TT FIX services for the v219 release have been deployed to UAT Data Centers since March 31, 2023.
This release includes changes to the FIX XML schema files. Clients are strongly encouraged to download and deploy the latest XML schema files from the URL below prior to release: https://library.tradingtechnologies.com/tt-fix/general/System_Overview.html
Release Notes for FIX v219 and prior releases can be reviewed at any time by going to https://library.tradingtechnologies.com/release_notes/fix-v219-production.html
(Ref 151741)
Version: v219 Learn More |
05/05/2023 |
Improvements |
FIX Services |
The following tags were introduced by the upcoming TFEX API Migration and have been added to TT FIX NewOrderSingle, NewOrderMultiLeg, ExecutionReport, TradeCaptureReport and TradeCaptureReportAck message types.
Tag 16628: "TFUserType"; type: char; optional; Type of User that entered the order
Supported values;
> T = Traditional trading
> P = Program trading
> M = Market making
> G = Market making with Program trading
Tag 16626: "NVDR"; type: boolean; optional
Tag 16627: "TTF"; type: boolean; optional
NOTE: TFEX does not provide documentation to ISVs regarding usage of the NVDR and TTF fields. For information about how to use these fields, please contact the exchange.
This update includes changes to the FIX XML schema files. Clients are strongly encouraged to download and deploy the latest XML schema files from: https://library.tradingtechnologies.com/tt-fix/general/System_Overview.html prior to release.
(Ref 150358)
Version: v219 |