TT® FIX

Execution Report (8) Message

Purpose

Used to send order information to a FIX client, such as confirmations, fills, and unsolicited changes

Message Direction

From TT FIX to FIX client

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: <Standard Header>
Y 35=8 (MsgType)
For additional information about this component group, consult the full documentation.
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 FIX.4.2.

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
  • 8: Execution Report
  • 9: Order Cancel Reject
  • A: Logon
  • B: News
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • H: Order Status Request
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AE: Trade Capture Report
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 PossResend 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.

17 ExecID C string

Unique identifier for this execution report.

Uniqueness is guaranteed within a single trading day or the life of a multi-day order. Firms that want to maintain historical archives should consider appending a date to the ExecID field value to assure uniqueness across days.

Note: Do not try to interpret or parse the value.

Condition: Sent unless an Order Status Request (H) message returns no orders.

16612 UniqueExecID N String TT-generated execution ID in the form of a short-form GUID, 22-characters in length.
19 ExecRefID C String

Reference identifier used with Correct transaction types

Tag 19 (ExecRefID) will be populated with the Tag 17 (ExecID) value of the fill that is being corrected.

Condition: Sent when Tag 20 (ExecTransType) = 2 (Correct); also sent for FIX 4.4 when Tag 150 (ExecType) = G (Trade Correct) or H (Trade Cancel).

20 ExecTransType N char

Type of execution report

Possible values include:

  • 0: New
  • 1: Cancel
  • 2: Correct
  • 3: Status (in response to an Order Status Request (H) message)

Note: This tag is sent only for FIX 4.2 Execution Reports. This functionality is replaced with Tag 150 (ExecType) for FIX 4.4.

37 OrderId Y string

Internal TT order key assigned to all orders submitted through any TT software.

The value remains constant for the life of an order.

Note: The value is unique per TT environment.

198 SecondaryOrderID C string

Unique identifier for the order, as assigned by the exchange.

Note: The value can vary over time for the same order.

Condition: Sent unless an Order Status Request (H) message returns no orders.

11 ClOrdId C string

Unique identifier as defined by the client application

Condition: Sent only for solicited orders (those placed through TT FIX Order Router).

526 SecondaryClOrdID C String

Unique identifier for the order as assigned by the buy-side

Condition: Sent when provided by the exchange

527 SecondaryExecID C String

Exchange-generated fill ID

For exchanges that do not provide this tag, the value will be set to order_id:order_sequence.

Condition: Sent unless an Order Status Request (H) message returns no orders.

41 OrigClOrdID C String

Previous order identifier. Equal to Tag 11 (ClOrdID) of the original request message

Condition: Sent if available

10011 TTClOrdID C String

Internal unique id across TT system; used primarily for internal debugging

Condition: Sent when available

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.

150 ExecType Y char

Indicates the reason for sending this Execution Report

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 3: Done for day
  • 4: Canceled
  • 5: Replaced
  • 6: Pending cancel
  • 7: Stopped
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • B: Calculated
  • C: Expired
  • D: Restated
  • E: Pending replace
  • F: Trade
  • G: Trade correction (same as 20=2 in FIX 4.2)
  • H: Trade cancel (same as 20=1 in FIX 4.2)
  • I: Order status (same as 20=3 in FIX 4.2)
  • J: Trade in a clearing hold
  • K: Trade has been released to clearing
  • L: Triggered or activated by system
18 ExecInst C MultipleStringValue

Execution instructions sent in the order request

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) 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.

Condition: Sent when available

103 OrdRejReason C int

Reason for rejecting the incoming request

Possible values include:

  • 0: Broker option
  • 1: Unknown symbol
  • 2: Exchange closed
  • 3: Order exceeds limit
  • 4: Too late to enter
  • 5: Unknown order
  • 6: Duplicate order
  • 7: Duplicate of a verbally-communicated order
  • 8: Stale order
  • 9: Trade along required
  • 10: Invalid Investor ID
  • 11: Unsupported order characteristic
  • 12: Surveillance option
  • 13: Incorrect quantity
  • 14: Incorrect allocated quantity
  • 15: Unknown account
  • 16: Price exceeds current price band
  • 18: Invalid price increment
  • 19: Message pending
  • 20: Routing error
  • 99: Other
  • 1003: Market closed
  • 1007: FIX field missing or incorrect
  • 1010: Required field missing
  • 1011: FIX field incorrect
  • 1012: Price must be greater than zero
  • 1013: Invalid order qualifier
  • 1014: User not authorized
  • 2013: Market hours not suported by opposite
  • 2019: Invalid expire date
  • 2044: Order not in book
  • 2045: Order not in book 2
  • 2046: Disclosed qty cannot be greater
  • 2047: Unknown contract
  • 2048: Cancel with different sender comp id
  • 2049: ClOrdId different than correleation ClOrdId
  • 2050: ClOrdId different than original ClOrdId
  • 2051: Different side
  • 2052: Different group
  • 2053: Different security type
  • 2054: Different account
  • 2055: Different qty
  • 2056: Cancel with different trader id
  • 2058: Stop price must be greater
  • 2059: Stop price must be smaller
  • 2060: Sell stop price must be below ltp
  • 2061: Buy stop price must be above ltp
  • 2100: Different product
  • 2101: Different inflight fill modification
  • 2102: Modify with different sender comp id
  • 2103: Modify with different trader id
  • 2115: Order qty outside allowable range
  • 2130: Invalid order type for pcp
  • 2137: Order price outside limits
  • 2179: Order price outside bands
  • 2311: Invalid order type for group
  • 2500: Instrument cross request in process
  • 2501: Ordr qty too low
  • 2600: Market maker protection has tripped
  • 4000: Engine did not respond
  • 6001: Pending replace
  • 6002: Pending cancel
  • 7000: Order rejected
  • 7001: Contract not gtc gtd eligible
  • 7009: Contract past expiration
  • 7011: Max contract working qty exceeded
  • 7015: Modify with different side
  • 7018: Contract not gtc gtd eligible 2
  • 7020: No trading calendar for expire date
  • 7021: Expire date beyond instrument expiration
  • 7022: Expire date beyond leg instrument expiration
  • 7024: Market in no cancel
  • 7027: Invalid order type for reserved market
  • 7028: Order session date in past
  • 7613: Disclosed qty cannot be smaller
  • 9999: Technical error function not performed

Condition: Sent when Tag 150 (ExecType) is 8 (Reject)

58 Text C String

Additional information about the message

Condition: Sent when the TT FIX needs to send additional information

378 ExecRestatementReason C int

Reason for the restatement

Possible values include:

  • 0: GT corporate action
  • 1: GT renewal
  • 2: Verbal change
  • 3: Repricing of order
  • 4: Broker option
  • 5: Partial decline of order quantity
  • 6: Cancel on trading halt
  • 7: Cancel on system failure
  • 8: Market
  • 9: Cancel not best
  • 10: Warehouse recap
  • 11: Peg refresh
  • 99: Other
  • 100: Cancel on disconnect
  • 103: Cancel oldest (resting) due to self-match prevention
  • 104: Cancel from credit violation
  • 105: Cancel from firmsoft
  • 106: Cancel from risk
  • 107: Cancel newest (aggressing) due to self-match prevention
  • 108: Cancel due to minimum lot size not met
  • 109: Cancel by system
  • 110: Cancel by proxy
  • 111: Cancel due to order expiry
  • 112: Cancel due to order outside price limits
  • 113: Cancel due to session transition
  • 114: Cancel due to auction delete
  • 115: Cancel due to other reason

Condition: Sent when Tag 150 (ExecType) = D (Restated)

39 OrdStatus Y int

Status of the order

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 3: Done for day
  • 4: Cancelled
  • 5: Replaced
  • 6: Cancel pending
  • 7: Stopped
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • B: Calculated
  • C: Expired
  • D: Accepted for bidding
  • E: Pending replace
32 LastShares C int

Indicates the number of contracts that just filled

Condition: Sent only when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

31 LastPx C Price

Price of this fill

If Tag 442 (MultiLegReportingType) is 2 (Leg), the value represents the price at which a leg of the spread filled. The message's Instrument Component identifies the filled leg.

Condition: Sent when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

669 LastParPx C Price

NPV price for the fill of an Eris Forward starting swap or an Eris Forward product listed on the ICE exchange.

Condition: Sent only for Eris Forward starting swaps when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

6 AvgPx Y Price

Average price of all fills on this order

The value is calculated as follows:

  • If order has no fills, TT FIX sends 0 in this tag.
  • If the order has fills, TT FIX sends the sum over all fill execution reports of the product of Tag 32 (LastShares) and Tag 31 (LastPx) divided by the Tag 14 (CumQty).
  • If Tag 442 (MultiLegReportingType) is 2 (Leg), TT FIX sends the average price at which the leg filled.
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: If you want tag 60 to use millisecond precision, you can add a TrimTimestamp rule in the Setup app for the FIX profile.

151 LeavesQty Y int

Number of contracts that are still working in the market

Possible values include:

  • Value of (Tag 38 (OrderQty) - Tag 14 (CumQty)), if the order is still in the market
  • 0, otherwise

Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contracts that are still working for the leg of the specified strategy.

14 CumQty Y int

Total number of contracts that have filled over the life of this order

The value always equals the sum of the Tag 32 (LastShares) of all fill execution reports received for this order, including this one.

Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contacts that have filled for the leg of the specified strategy.

442 MultiLegReportingType N char

Indicates what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.)

Possible values include:

  • 1: Single security
  • 2: Individual leg of multi-leg security
  • 3: Parent of multi-leg security (summary fill)
75 TradeDate N LocalMktDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

16611 MlegHeadExecId N String

A TT-generated unique ID that may be used to indicate the execution ID for a specific spread execution and to tie leg executions back to the spread execution message.

Present only if 442=2 or 3 and 150=1, 2 or F.

Component: <Instrument>
Y

Instrument associated with this message. For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
48 SecurityID N String

TT security ID that uniquely identifies the instrument in the TT platform.

22 IDSource N String

Source for the value of tag 48 (SecurityID).

Possible values include:

  • 5: RIC code
  • 8: Exchange symbol
  • 96: TT security ID
  • 97: Alias
  • 98: Name
  • X: Series key

Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):

  • ASX
  • DGCX
  • CFE
  • CME
  • EEX
  • EUREX
  • Euronext
  • Hkex
  • ICE
  • ICE_L
  • LME
  • MEFF
  • MX
  • OSE
  • SGX
  • TFX
  • TOCOM
207 SecurityExchange C Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify a security.

Possible values include:

  • AGGREGATOR
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • IDEM
  • KCG
  • LSE
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

100 ExDestination C Exchange

Name of the sub-market where the instrument trades.

TT FIX uses this value to identify a security.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Sent when available for FIX 4.2 sessions

30 LastMkt C Exchange

Market of execution for last fill, or an indication of the market where an order was routed.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Sent when available for FIX 4.4 sessions

55 Symbol C String

Exchange-provided product symbol for the tradable product.

Conditions:

461 CFICode N String

Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

Note: For SPOT and CUR products, you must also specify the corresponding tag 167 (SecurityType) value.

167 SecurityType C String

Asset class of the instrument.

Possible values include:

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

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

460 Product N int Product type associated with the security.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
107 SecurityDesc N String Security description.
200 MaturityMonthYear C MonthYear

Month and year the instrument reaches maturity in the format YYYYMM.

Condition: Sent when Tag 167 (SecurityType) is not MLEG

541 MaturityDate C LocalMktDate

New tag for TT

Maturity date in format YYYYMMDD.

Condition: Sent when Tag 167 (SecurityType) is not MLEG

205 MaturityDay C DayOfMonth

Day of expiration for the instrument.

Range: 1-31

Condition: Sent when multiple contracts exist for the same month

18223 ContractYearMonth N String

Contract term in the form, YYYYMMM

18211 DeliveryTerm C char

Term of delivery for the instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • H: Hour
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • U: Bundle
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Sent when the delivery term is not monthly

743 DeliveryDate C LOCALMKTDATE

Date for contract delivery

Condition: Sent when available

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT

202 StrikePrice C Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

9787 DisplayFactor C Float

Factor to use when multiplying prices sent from a FIX client and dividing prices sent from TT FIX

Condition: Sent only in Security Definition (d) messages when provided by the exchange

15 Currency C Currency

ISO-standard symbol for the instrument’s trading currency.

Condition: Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

70 AllocID C String

Identifier assigned to a leg of a leg fill for ASX clearing purposes (clearing deal number).

Component: <SecurityAltIDGrp>
Y

Instrument associated with this message. For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
454 NoSecurityAltID C int

Replaces 7.X tag 10454 (NoSecurityAltID)

Number of alternate security IDs contained in this repeating group

Condition: Sent when there are one or more alternate security IDs

> 455 SecurityAltID Y String

Replaces 7.X tag 10455 (SecurityAltID)

Alternate ID for an instrument or security, typically for display purposes.

> 456 SecurityAltIDSource C String

Replaces 7.X tag 10456 (SecurityAltIDSource)

Identifies class or source of the SecurityAltID (455) value.

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 93: TT product ID (sent only for Security Definition (d) messages)
  • 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.)
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other

Note: 99 (Other) is not valid for order routing requests.

Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):

  • ASX
  • DGCX
  • CFE
  • CME
  • EEX
  • EUREX
  • Euronext
  • Hkex
  • ICE
  • ICE_L
  • LME
  • MEFF
  • MX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Sent when tag 455 (SecurityAltId) is sent

762 SecuritySubType Y String

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType(167)="MLEG" might use this tag to specify the name of the option or futures strategy, such as "Calendar", "Vertical", or "Butterfly"

Component: <LegInstrumentGrp>
C Group

Repeating group of legs in a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

Condition: Required when the value of tag 167 (SecurityType) is MLEG for New Order Single (D) and Order Cancel/Replace Request (G) messages.

Note: This tag can be included 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.

Tag # Field Name Req'd Data type Comments
555 NoLegs Y String

Replaces 7.X tag 146 (NoRelatedSym)

Number of legs in the repeating group

Can be zero (e.g. standardized multileg instrument such as an Option strategy). The value must be provided even if zero.

> 616 LegSecurityExchange C Exchange

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

Multi-leg instrument's individual security's SecurityExchange.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • IDEM
  • KCG
  • LSE
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.
OR
> 18100 LegExDestination C Exchange

New tag for TT

Execution destination for the leg order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.
OR
> 602 LegSecurityId C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

TT security ID that uniquely identifies the instrument in the TT platform.

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.

> 603 LegIDSource C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

Multileg instrument's individual security's SecurityIDSource.

Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.

> 600 LegSymbol N String

Replaces 7.X tag 311 (UnderlyingSymbol)

Multi-leg instrument's individual security's Symbol.

Condition: Required when Tag 167 (SecurityType)=MLEG.

See Symbol (55) field for description

> 608 LegCFICode N String

Multileg instrument's individual security's CFICode (tag 461).

See CFICode (461) field for description

> 620 LegSecurityDesc N String

Leg security description.

> 607 LegProduct N String

Multileg instrument's individual security's product.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
> 609 LegSecurityType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

Multi-leg instrument's individual security's SecurityType.

Possible values include:

  • FUT: Future
  • MLEG: Multi-leg
  • OPT: Option
  • SPOT: EEX spot products
  • TBOND: Treasury bond
  • CS: Common stock
  • NONE: No security type
> 764 LegSecuritySubType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

> 610 LegMaturityMonthYear N MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

> 611 LegMaturityDate N LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDate.

> 18314 LegMaturityDay N DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDay.

> 612 LegStrikePrice N Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

Multi-leg instrument's individual security's StrikePrice.

> 1358 LegPutOrCall C int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

> 624 LegSide N char

Replaces 7.X tag 16624 (LegSide)

The side of this individual leg (multi-leg security).

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
> 623 LegRatioQty N Qty

Replaces 7.X tag 319 (RatioQty)

Ratio of quantity for this individual leg relative to the entire multi-leg security

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.
> 556 LegCurrency N Currency

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

> 566 LegPrice N Price

Replaces 7.X tag 10566 (LegPrice)

Price of the leg for a multi-leg instrument

> 687 LegQty N Qty

Quantity of this leg.

> 654 LegRefID N string

Unique indicator for a specific leg.

Note: Sent only for FIX 4.4 sessions when the tag is included the corresponding New Order Multileg (AB) request. FIX 4.4 Drop Copy sessions will not send this tag for orders placed from the TT Trade application.

> 637 LegLastPx N Price

Execution price assigned to a leg of a multileg instrument.

> 18224 LegContractYearMonth N char Contract term of the underlying instrument in the form, YYYYMMM
> 18212 LegDeliveryTerm C char

Replaces 7.X tag 18212 (UnderlyingContractTerm)

Term of delivery for the underlying instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • H: Hour
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Required when both of the following are true:

  • The Security Definition indicates it is required.
  • The delivery term is not monthly.
> 18213 LegDeliveryDate C LOCALMKTDATE

New tag for TT

Date for contract delivery

Condition: Sent when available

> 1366 LegAllocID C String

Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number).

Condition: Sent when provided by the exchange.

Component: <LegSecurityAltIDGrp>
N Group

Repeating group of security alt IDs for legs in a multileg instrument. For additional information about this group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
604 NoLegSecurityAltID C int

Replaces 7.X tag 146 (NoRelatedSym)

Number of alternate leg security IDs contained in this repeating group

Condition: Sent when there are one or more alternate leg security IDs

> 605 LegSecurityAltID Y String

Replaces 7.X tag 10456 (UnderlyingSecurityAltID)

Alternate ID for an instrument or security, typically for display purposes.

> 606 LegSecurityAltIDSource Y String

New tag for TT

Class or source of the LegSecurityAltID (605) value.

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.)
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other
Component: <LegFillsGrp>
C Group

Repeating group of fills for this leg instrument.

Condition: Only used in Execution Report (8) messages when the FIX client is connected to a TT FIX 4.4 session.

Tag # Field Name Req'd Data type Comments
16120 LegNoFills C NumInGroup

Number of partial leg fills included in an Execution Report

Condition: Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. "sweeping the market". Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX.

Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.

> 16121 LegFillExecID C String

Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).

Condition: Sent when tag 16120 > 0

> 16122 LegFillPx C Price

Price of this leg fill

Condition: Sent when tag 16120 > 0

> 16123 LegFillQty C Qty

Quantity of this leg fill

Condition: Sent when tag 16120 > 0

> 16124 LegFillTradingVenueRegulatoryTradeID C String

Trading Venue transaction identification code of this leg fill

Condition: Sent if available when tag 16120 > 0

> 16125 LegFillLastLiquidityIndicator N int

Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group.

Possible values include:

  • 1: Added liquidity
  • 2: Removed liquidity
Component: <Trader>
Y Information about the trader routing the order.

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
1 Account C String

Order-routing account

The value matches the Tag 1 (Account) in the corresponding request.

Condition: Sent when available.

Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).

528 OrderCapacity C char

New tag for TT

Designates the capacity of the firm placing the order

Possible values include:

  • A: Agency
  • G: Proprietary
  • I: Individual
  • P: Principal
  • R: Riskless Principal
  • W: Agent for Other Member

Condition: Sent when provided by the Exchange

582 CustOrderCapacity C int

New tag for TT

Capacity of customer placing the order

Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

Possible values include:

  • 1: Member trading for own account
  • 2: Clearing Firm trading for its proprietary account
  • 3: Member trading for another member
  • 4: All other

Condition: Sent when provided by the Exchange

10553 TTID C String

TT login email address

Condition: Sent when available

18220 BrokerID C String

TT-defined short code for the broker.

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

18221 CompanyID C String

TT-defined name of the firm that sends messages to the exchange

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

Note: If the Company Administrator specified a FIX Company ID for a managed user in Setup, that value is returned in this tag.

18101 AccountID C String

TT-defined ID of the TT account referenced in tag 1 (Account).

Condition: Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.

18102 UserID C String

TT-defined ID of the TT user referenced in tag 129 (DeliverToSubId)

Condition: Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.

Component: <Parties Group>
N Information about the entities involved in the financial transaction associated with this FIX message.

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
453 NoPartyIDs N int

New tag for TT

Number of parties in the PartiesGrp repeating group

> 448 PartyID C String

New tag for TT

Party identifier code

Reserved values when 452=3 (ClientID) and 448=P (Short code):

  • 0: Own account; no client
  • 1: PNAL (Pending allocation)
  • 2: AGGR (Aggregated)
  • GU: CME give-up code (to override the Give-up code configured in Setup)
  • SX: SGX give-up code (to override the Give-up code configured in Setup)

Reserved when 452=12 (Executing trader) and 448=P (Short code):

  • 3: NORE: Execution decision outside firm

Condition: Required when NoPartyIds (453) is greater than 0.

> 452 PartyRole C int

New tag for TT

Type or role of PartyID (tag 448)

Possible values include:

  • 1: Executing firm (formerly FIX 4.2 ExecBroker)
  • 2: Broker of credit
  • 3: Client id (formerly FIX 4.2 ClientID)
  • 4: Clearing firm (formerly FIX 4.2 ClearingFirm)
  • 5: Investor id
  • 6: Introducing firm
  • 7: Entering firm
  • 8: Locate
  • 9: Fund manager client id
  • 10: Settlement location
  • 11: Order origination trader
  • 12: Executing trader (associated with Executing Firm - actually executes)
  • 13: Order origination firm
  • 14: Giveup clearing firm
  • 15: Correspondant clearing firm
  • 16: Executing system
  • 17: Contra firm
  • 18: Contra clearing firm
  • 19: Sponsoring firm
  • 20: Underlying contra firm
  • 21: Clearing organization
  • 22: Exchange
  • 24: Customer account
  • 25: Correspondent clearing organization
  • 26: Correspondent broker
  • 27: Buyer seller
  • 28: Custodian
  • 29: Intermediary
  • 30: Agent
  • 31: Sub custodian
  • 32: Beneficiary
  • 33: Interested party
  • 34: Regulatory body
  • 35: Liquidity provider
  • 36: Entering trader
  • 37: Contra trader
  • 38: Position account
  • 39: Contra investor id
  • 40: Transfer to firm
  • 41: Contra position account
  • 42: Contra exchange
  • 43: Internal carry account
  • 44: Order entry operator id
  • 45: Secondary account number
  • 46: Foreign firm
  • 47: Third party allocation firm
  • 48: Claiming account
  • 49: Asset manager
  • 50: Pledgor account
  • 51: Pledgee account
  • 52: Large trader reportable account
  • 53: Trader mnemonic (NASDAQ_EU only)
  • 54: Sender location
  • 55: Session id
  • 56: Acceptable counterparty
  • 57: Unacceptable counterparty
  • 58: Entering unit
  • 59: Executing unit
  • 60: Introducing broker
  • 61: Quote originator
  • 62: Report originator
  • 63: Systematic internaliser
  • 64: Multilateral trading facility
  • 65: Regulated market
  • 66: Market maker
  • 67: Investment firm
  • 68: Host competent authority
  • 69: Home competent authority
  • 70: Competent authority of the most relevant market in terms of liquidity
  • 71: Competent authority of the transaction
  • 72: Reporting intermediary
  • 73: Execution venue
  • 74: Market data entry originator
  • 75: Location id
  • 76: Desk id
  • 77: Market data market
  • 78: Allocation entity
  • 79: Prime broker providing general trade services
  • 80: Step out firm
  • 81: Brokerclearingid
  • 82: Central registration depository
  • 83: Clearing account
  • 84: Acceptable settling counterparty
  • 85: Unacceptable settling counterparty
  • 122: Investment decision maker (IDM)
  • 200: Account code
  • 201: Takeup firm
  • 202: Clearing instruction
  • 203: Customer info
  • 204: Allocation entity ID
  • 205: Account type
  • 206: Giveup firm
  • 207: MIFID ID
  • 208: Composite MIFID ID (ICE only)
  • 209: CTI code
  • 210: LMA clearing account
  • 211: Authorized trader ID (ICE only)
  • 212: Frequent trader ID (CFE only)
  • 213: User (TFEX only)
  • 214: Member(TFEX only)
  • 215: Trading member(TFEX only)
  • 216: Clearing member(TFEX only)
  • 217: Acting user(TFEX only)
  • 218: Trader ID(TFEX only)
  • 219: Owner type(TFEX only)
  • 220: Routing Member ID (ICE only)
  • 221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to "SX" when mutually offsetting to SGX. Set 448 to "GU" for all other Give-ups on CME.)
  • 222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup.

Condition: Required when NoPartyIds (453) is greater than 0.

> 2376 PartyRoleQualifier N char

Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448).

Possible values include:

  • 22: Algorithm
  • 23: Firm or legal entity
  • 24: Natural person

Default values are set for this tag when PartyRole (tag 452) is one of the following:

  • When 452=3 (Client ID), the default is 2376=23 (Firm).
  • When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person).
  • When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person).

Condition: Required when NoPartyIds (453) is greater than 0.

> 447 PartyIdSource C char

Identifies class or source of the PartyID (448) value.

Possible values include:

  • 1: Korean investor ID
  • 2: Taiwanese qualified investor ID (QFII FID)
  • 3: Taiwanese trading account
  • 4: Malaysian central depository
  • 5: Chinese investor ID
  • 6: UK national insurance or pension number
  • 7: US social security number
  • 8: US employer or tax ID number
  • 9: Australian business number
  • A: Australian tax file number
  • B: BIC
  • B: Generally-accepted market participant identifier
  • D: Proprietary
  • E: ISO country code
  • F: Settlement entity location
  • G: MIC
  • H: CSD participant member code
  • I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document
  • P: Short code

Condition: Required when NoPartyIds (453) is greater than 0.

16999 ClearingAccountOverride N String

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

44 Price C Price

Order price

Condition: Sent when Tag 40 (OrdType) is:

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

Trigger price for a stop order

Condition: Sent when Tag 40 (OrdType) is:

  • 4: Stop Limit
  • K: Market With Leftover as Limit
110 MinQty C Qty

Minimum quantity for a Minimum Volume (MV) order

Condition: Sent only for Minimum Volume (MV) orders

1138 DisplayQty C Qty

New tag for TT

Sum of working quantities of child orders.

1088 RefreshQty C Qty

New tag for TT

Quantity disclosed for a disclosed quantity (Iceberg) order

Condition: Sent only for disclosed quantity orders

38 OrderQty C Qty

Total order quantity

Condition: Sent unless an Order Status Request (H) message returns no orders.

54 Side C char

Order side

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
  • B: As Defined (FIX 4.4 only)
  • C: Opposite (FIX 4.4 only)

Condition: Sent unless an Order Status Request (H) message returns no orders.

40 OrdType C 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)
  • J: Market If Touched (MIT)
  • K: Market with Leftover as Limit
  • Q: Market Limit Market (MLM) with Leftover as Limit
  • S: Stop Market to Limit
  • T: Market to Limit (without Limit Price) If-Touched
  • U: Market to Limit If Touched (MLM-IT)
  • p: Limit (post-only)

Condition: Sent unless an Order Status Request (H) message returns no orders.

As per the FIX 4.2 specification:

Condition: Sent unless an Order Status Request (H) message returns no orders.

  • For Market On Open (MOO) orders, the TT FIX sends Tag 40 (OrdType) = 1 (Market) and Tag 59 (TimeInForce) = 2 (At The Opening).
  • For Limit on Open (LOO) orders, the TT FIX sends Tag 40 (OrdType) = 2 (Limit) and Tag 59 (TimeInForce) = 2 (At The Opening).

The TT FIX supports Limit Stop Market (LSM) orders only for Eurex.

828 TrdType C int

The type of wholesale trade.

Possible values include:

  • 0: Regular Trade
  • 1: Block Trade
  • 2: Exchange For Physical
  • 3: Transfer
  • 11: Exchange For Risk
  • 12: Exchange For Swap
  • 14: Exchange Of Options For Options
  • 1000: Volatility
  • 1001: EFP Financial
  • 1002: EFP Index Futures
  • 1003: Strategy Block Trade
  • 1004: Block Standard CF
  • 1005: Block Combination CF
  • 1006: EFS EFP CF
  • 1007: Block Internal CF
  • 1008: Portfolio CF
  • 1009: Correction CF
  • 1010: Block Combination Buyer CF
  • 1011: Block Combination Seller CF
  • 1012: EFS EFP Combination CF
  • 1013: EFS EFP Combination Buyer CF
  • 1014: EFS EFP Combination Seller CF
  • 1015: OTC Standard CIO
  • 1016: OTC Combination CIO
  • 1017: OTC Combination Buyer CIO
  • 1018: OTC Combination Seller CIO
  • 1019: Standard Trade CD
  • 1020: Standard Outside Spread CD
  • 1021: Combination CD
  • 1022: Old CD
  • 1023: Internal CD
  • 1024: Portfolio CD
  • 1025: Correction CD
  • 1026: Exchange Granted FD
  • 1027: Standard Outside FD
  • 1028: Off Hours FD
  • 1029: Block FD
  • 1030: Exch Granted Exceed Max Lot FD
  • 1031: Exch Granted Eml Off Hours FD
  • 1032: Exch Granted Late FD
  • 1033: Flex Contract Conversion FD
  • 1034: Ice Efrp
  • 1035: Iceblk
  • 1036: Basis
  • 1037: Volatility Contingent
  • 1038: Stock Contingent
  • 1039: CCX EFP
  • 1040: Other Clearing Value
  • 1041: N2EX
  • 1042: EEX
  • 1043: EFS EFP Contra
  • 1044: Efm
  • 1045: Ng EFP EFS
  • 1046: Contra
  • 1047: Cpblk
  • 1048: Bilateral Off Exch
  • 1049: OTC Privately Negotiated Trades
  • 1050: OTC Large Notional Off Facility Swap
  • 1051: Block Swap Trade
  • 9999: Unknown

Condition: Sent only for wholesale orders and fills

880 TrdMatchID C String

Identifier assigned to a trade for ASX clearing purposes (clearing deal number).

Condition: Sent when provided by the exchange.

1057 AggressorIndicator C String

Whether the order initiator is an aggressor in the trade. Possible values include Y or N.

Condition: Sent when provided by the exchange.

18217 RefID N String Unique indicator for a specific leg.
77 OpenClose C char

Whether the resulting position after a trade should be an opening position or closing position

Possible values include:

  • O: Open
  • C: Close

Condition: Sent unless an Order Status Request (H) message returns no orders.

59 TimeInForce C 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
  • 7: At the Close
  • 8: Good through Crossing
  • 9: At Crossing
  • A: Auction
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

Condition: Sent unless an Order Status Request (H) message returns no orders.

432 ExpireDate C LocalMktDate

Date a Good Till Date order expires

Condition: Sent unless Tag 59 (TimeInForce) = 6 (Good Till Cancel)

1028 ManualOrderIndicator C char

Whether the order is sent manually or through automated trading logic

Possible values include: Y (manual) and N (automatic).

Condition: Sent when provided by the Exchange

18216 ExchCred C String

Exchange order routing credential that was used to route the order

Condition: Sent when provided by the Exchange

1385 ContingencyType C int

New tag for TT

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

Condition: Sent when provided by the Exchange

548 CrossID C String

New tag for TT

Identifier for a cross order

Must be unique during a given trading day. Recommend that firms use the order date as part of the CrossID for Good Till Cancel (GT) orders.

Condition: Sent for cross orders when provided by the Exchange

549 CrossType C int

New tag for TT

Type of cross order submitted to a market

Possible values include:

  • 1: Cross AON - cross trade which is executed completely or not. Both sides are treated in the same manner. This is equivalent to an "All or None"
  • 2: Cross IOC - cross trade which is executed partially and the rest is canceled.
  • 3: Cross One Side - cross trade which is partially executed with the unfilled portions remaining active
  • 4: Cross Same Price - cross trade is executed with existing orders with the same price.

Condition: Sent when provided by the Exchange

571 TradeReportID N String

Unique identifier of trade capture report

18222 AOTCPreventionActionType N int

New tag for TT

Indicates the action taken to avoid internal crossing orders

Possible values include:

  • 0: None
  • 1: Held
  • 2: Cancel
  • 3: Fill
  • 4: Reduced order
  • 5: Reduced change
  • 6: Released order
  • 7: Replaced order
  • 8: No action on order
  • 9: Cancel replace
16728 TotalNumOrders C int

Number of orders included in the response to an order book download request.

Condition: Included for order book downloads that do not provide Tag 11 (ClOrdID) or Tag 37 (OrderID). For more information about order book downloads, refer to Order Status Request (H).

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

16110 StagedOrderOwner C String

ID of the trader working the staged order.

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

16109 StagedOrderStatus C char

Claim status of the staged order

Possible values include:

  • A: Staged order is available to claim
  • O: Staged order has been claimed

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

16115 ExternalSource N Boolean

Whether this message was imported from an external source.

16112 NoLinks C int

Number of links contained in this repeating group

Condition: Sent when available

> 16113 LinkID C String

An identifier used to distinguish that this is a child order or fill that came from an synthetic parent order. Child orders and fills that came from the same parent order will have the same LinkID.

Note: If the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application, this tag will contain a shortened ID.

Condition: Sent when tag 16112 > 0

> 16114 LinkType C char

The kind of link. This identifies the relationship between the child orders and fills and the parent order.

Possible values include:

  • 7: Staged child order ID
  • P: Parent order ID
  • X: Position transfer ID

Condition: Sent when tag 16112 > 0

Component: <FillsGrp>
Y

Specifies the partial fills included in this Execution Report

Condition: Sent when tag 1362 > 0

Note: For CME only, this repeating group is omitted when 1362 = 1 as it duplicates the information returned in tags 17 (ExecId), 31 (LastPx) and 32 (LastQty).

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
1362 NoFills C NumInGroup

Number of partial fills included in this Execution Report

Condition: Sent when an order is filled through multiple price levels in a single match transaction, i.e. "sweeping the market," or when itemizing leg fills from a single summary fill received from the exchange. Sent when tag 1362 > 0.

1363 FillExecID C String

Unique identifier of execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).

Condition: Sent when tag 1362 > 0

1364 FillPx C Price

Price of this partial fill

Condition: Sent when tag 1362 > 0

1365 FillQty C Qty

Quantity (e.g. shares) bought or sold in this partial fill

Condition: Sent when tag 1362 > 0

16118 FillTradingVenueRegulatoryTradeID C Qty

Trading Venue transaction identification code

Condition: Sent if available when tag 1362 > 0

Note: FillTradingVenueRegulatoryTradeID is only populated on execution reports from Eurex and EEX markets. For these markets, tag 8016 will no longer be sent.

16119 FillLastLiquidityIndicator N int

Whether this fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this FillsGrp repeating group.

Possible values include:

  • 1: Added liquidity
  • 2: Removed liquidity
16623 SpreadLegRatioQty N Qty

Ratio of quantity for this individual leg relative to the entire inter-product spread.

Sent only for spread leg fills in FIX 4.4 sessions.

Component: <StrategyParametersGrp>
Y Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
957 NoStrategyParameters N NumInGroup

Repeating group of parameters for the algo or the free-form text fields to attach to the order

> 958 StrategyParameterName C String

Name of the algo parameter or free-form text field

TT uses the following parameter names to support TT order types:

Note: For descriptions of these strategy parameters, see Parameters and values for TT Order Types.

TT uses the following parameter names to support Autospreader and Aggregator orders:

TT uses the following parameter names to support TT free-form text fields:
  • Text A (Corresponds to the Text A field in TT widgets)
    Note: Some exchanges use sMemo instead of TextA.
  • Text B (Corresponds to the Text B field in TT widgets)
  • Text TT: (Corresponds to the Text TT field in TT widgets)

For custom or third-party algos, the name must match the name specified by the algo.

Condition: Required when tag 957 > 0

> 959 StrategyParameterType C Int

Type of data contained in tag 960 (StrategyParameterValue)

Possible values include:

  • 1: Int
  • 6: Float
  • 7: Qty
  • 13: Boolean
  • 14: String
  • 19: UTCTimestamp

Condition: Required when tag 957 > 0

> 960 StrategyParameterValue C String

Value of the parameter or additional order information

Condition: Required when tag 957 > 0

Component: <OrderAttributesGrp>
Y

Attributes associated with the order

Condition: Sent when available

For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
2593 NoOrderAttributes N int

New tag for TT

Number of order attributes in the repeating group

> 2594 OrderAttributeType C int

New tag for TT

Type of order attribute

Valid values include:

  • 2: Liquidity provision activity order
  • 3: Commodity Derivative Indicator (risk reduction) order
  • 4: Algorithmic order

Condition: Required when OrderAttributeGrp (2593) is greater than 0.

> 2595 OrderAttributeValue C String

New tag for TT

Value of order attribute

Valid values include:

  • Y: True/Yes
  • N: False/No

Condition: Required when OrderAttributeGrp (2593) is greater than 0.

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 Order Tag Defaults in Setup.

Valid values include:

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

Condition: Sent unless an Order Status Request (H) message returns no orders.

16624 AccountRiskGroup C String

Name of the risk group associated with the account specified in tag 1 (Account).

Condition: Sent only for FIX Drop Copy OUT sessions.

8013 TrdRegPublicationReason N int

Indicates whether the transaction was executed under a pre-trade waiver in accordance with Articles 4 and 9 of Regulation (EU) 600/2014. Pre-trade waiver flag is only applicable to OTC and Block orders and will be provided only when made available by the exchange.

Valid values include:

  • 4: ILQD
  • 5: SIZE
  • 6: LRGS
8016 TradingVenueRegulatoryTradeID C String

Code assigned by the trading venue to the transaction pursuant to Article 12 of RTS on the maintenance of relevant data relating to orders in financial instruments, (a/k/a Trading Venue Transaction ID Code or TV TIC).

Condition: Sent only for MIFID II exchanges when made available by the exchange and which is different than tag 17 (ExecID).

851 LastLiquidityIndicator C int

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.

Possible values include:

  • 1: Added liquidity
  • 2: Removed liquidity

Condition: Sent only when tag 39 (OrdStatus) is 1 (Partially Filled) or 2 (Filled).

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.
16561 TimeReceivedFromExchange N String Time in UTC that an exchange execution report message was received by the TT order connector application.
16117 OrderSource N int TT component that most recently acted on an active order.

Possible values include:

  • 0: ASE
  • 2: NTW
  • 3: Invalid
  • 4: TT Trader
  • 6: Mobile
  • 7: ROE
  • 9: External
  • 10: TT FIX
  • 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
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 For additional information about this component group, consult the full documentation.
Tag # Field Name Req’d Data type Comments
10 Checksum Y String

Unencrypted three-character checksum

This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

Message Notes

The Execution Report (8) message is used to respond to a successful order request, a fill, or an unsolicited order change.

Aggregated fill groups behavior

TT FIX normally sends aggregated fills in a single Execution Report message in FillsGrp fand LegFillsGrp repeating groups. If you prefer to receive aggregated fills as individual fills, you can enable the Send FillsGrp as Individual Execution Reports setting for the FIX session in Setup. When this setting is enabled and tag 1362 (NoFills) >=1, TT FIX sends synthetic Execution Report for each entry in the fills group.

This setting applies to outright, leg and summary spread fills for both FIX 4.2 and 4.4 versions.

Notes for 7.X FIX Adapter Developers

The following Execution Report (8) message tags from TT FIX Adapter 7.X are deprecated in TT FIX:

  • ClearingAccount [440]
  • ContraBroker [375] (Replaced with the Party ID Repeating Group in Trader Component Block)
  • CustomerOrFirm [204]
  • ExchangeGateway [18203]
  • ExecBroker [76] (Replaced with the Party ID Repeating Group in Trader Component Block)
  • FFT2 [16102]
  • FFT3 [16103]
  • OrderEnteredTime [6038]
  • OrderOriginationID [16142]
  • OrderTag [16105]
  • Rule80A [47]
  • TTAccountType [18205]
  • TTSessionID [16018]
  • TTUsername [10553]
  • UnderlyingCurrency [318] (Changed to LegCurrency [556] in a LegInstrumentGrp)
  • UnderlyingDeliveryTerm [18212] (Changed to LegDeliveryTerm [18212] in a LegInstrumentGrp)
  • UnderlyingMaturityDay [314](Changed to LegMaturityDay [18314] in a LegInstrumentGrp)
  • UnderlyingMaturityMonthYear [313] (Changed to LegMaturityMonthYear [610] in a LegInstrumentGrp)
  • UnderlyingOptAttribute [317] (Changed to LegOptAttribute [613] in a LegInstrumentGrp)
  • UnderlyingPutOrCall [315] (Changed to LegPutOrCall [1358] in a LegInstrumentGrp)
  • UnderlyingSecurityAltID [10456] (Changed to LegSecurityAltID [606] in a LegInstrumentGrp)
  • UnderlyingSecurityExchange [308] (Changed to LegSecurityExchange[616] in a LegInstrumentGrp)
  • UnderlyingSecurityID [309] (Changed to LegSecurityID [602] in a LegInstrumentGrp)
  • UnderlyingSecurityType [310] (Changed to LegSecurityType [609] in a LegInstrumentGrp)
  • UnderlyingStrikePrice [316] (Changed to LegStrikePrice [612] in a LegInstrumentGrp)
  • UnderlyingSymbol [311] (Changed to LegSymbol [600] in a LegInstrumentGrp)
  • UserTag [16104]