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: <Standard Header>
Y 35=G (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 must be the first tag in the message.

You must set the value to 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 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.

50 SenderSubID N String

Unique ID for the message sender

For order routing messages, this tag overrides the exchange Operator ID configured in Setup.

57 TargetSubID C String

Unique ID for the message receiver.

Condition: If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.

116 OnBehalfOfSubID C String

New tag for TT

Unique Trader ID

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.

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, 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: This tag is valid only 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.

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
  • ALGO
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • 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.

Note: Sent for drop copy order messages, with Tag 16566 (DropCopyOrder) = Y.

100 ExDestination C Exchange

Market Identifier Code (MIC) of the sub-market where the instrument trades.

Execution destination for the 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: Sent for drop copy order messages, with Tag 16566 (DropCopyOrder) = Y.

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

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:

  • 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) and New Order Multileg (AB) 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.

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

Note: If 54=B or 54=C, the order will be rejected, as these values are valid only for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC) messages.

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)
  • 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)
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
  • 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.

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
  • 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.

142 SenderLocationId REQD string Specific message originator's location (i.e. geographic location and/or desk, trader)
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: 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.

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.
Group: <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.

Note: For drop copy order messages, with Tag 16566 (DropCopyOrder) = Y, this group is not sent; the information is returned in the <StrategyParametersGrp> instead.

528 OrderCapacity C char

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Order Tag 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.

18221 CompanyID N String

TT-defined name of the firm that sent the message to the exchange

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 Customer Defaults in Setup.

Valid values include:

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

Condition: Required for exchanges subject to MiFID II regulations.

16566 DropCopyOrder C char

Indicates the message is a drop copy order message. 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 Feed (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.

Group: <PartiesGrp> Y

Entities involved in the financial transaction associated with this FIX message

Group: <OrderAttributesGrp> Y

Attributes associated with the order

16117 OrderSource N int TT component that most recently acted on an active order.

Possible values include:

  • 0: ASE
  • 2: NTW
  • 3: Invalid
  • 4: T Trader
  • 6: Mobile
  • 7: ROE
  • 9: External
  • 10: FIX Adpater
  • 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

Note: This tag is valid only 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.
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.
16112 NoLinks C int

Number of links contained in this repeating group

Condition: Sent only for FIX Drop Copy OUT sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled for the session in TT Setup. The tag is ignored if sent on FIX Order Routing sessions.

> 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 Staged / Synthetic Child order / fill message 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

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 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] (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]