TT^® FIX Inbound Drop Copy

Execution Report (8) Message

Purpose

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

Message Direction

From FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

Tag #

Field Name

Req’d

Data type

Comments

Component: <Standard Header>

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 either FIX.4.2 or FIX.4.4.
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 Q: Don't Know Trade (Inbound Drop Copy only) R: Quote Request V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AD: Trade Capture Report Request AE: Trade Capture Report AQ: Trade Capture Report Request Ack
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	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.

ExecID

string

Exchange-provided unique identifier for this execution report.

Uniqueness varies based on the exchange and is typically limited to 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 value to ensure uniqueness across days. Firms that need a unique ExecID for the life of an order can use Tag 16612 as an alternative.

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

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

16612

UniqueExecID

String

TT-generated execution ID in the form of a short-form GUID, no more than 22-characters in length.

ExecRefID

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).

ExecTransType

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.

OrderId

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

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.

ClOrdId

string

Unique identifier for an Order as assigned by TT. Uniqueness is guaranteed within a single FIX trading session. Tag 11 values may be reused after the daily or weekly FIX session reset. Maximum length of the tag 11 is (20) characters.

526

SecondaryClOrdID

String

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

Condition: Sent when provided by the exchange

527

SecondaryExecID

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.

OrigClOrdID

String

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

Condition: Sent if available

10011

TTClOrdID

String

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

Condition: Sent when available

16116

OrderIDGUID

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

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

ExecInst

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

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)

16131

RejectSource

int

Source of the reject message.

Possible values include:

1: Edge server
2: Bouncer (risk server)
3: Gateway
4: Exchange
5: Algo server
6: ASE server
7: TTINT
8: External
9: TTAPI
10: Client application
11: FIX Adapter
12: Stager
13: TT Options Risk

168

EffectiveTime

UTC_Timestamp

Time to start working the order.

Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.

126

ExpireTime

UTC_Timestamp

Time to stop working the order.

Text

String

Additional information about the message

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

378

ExecRestatementReason

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
50: Control user activity (Inbound Drop Copy only)
51: Corporate manager activity (Inbound Drop Copy only)
52: Branch manager activity (Inbound Drop Copy only)
53: Exchange and FIX server connection down (Inbound Drop Copy only)
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
116: Order passing request accepted
117: Order passing request rejected
118: Incoming order self match prevention
119: Resting order self match prevention
120: Cancel due to self match prevention
121: GTC/GTD Restatement
122: Reduction of Order quantity
123: Price Sliding Reprice
124: State Change
9000: Unsolicited order recovery
9001: Timeout
9002: Pending

Note: For markets using OM API for orders, (HKEX, JPX, SGX), if the exchange does not respond immediately to an order request, the TT Order Connector will send a Pending Execution Report with the following fields:

150=D (Restated)
39=A (Pending new)
378=9002 (Pending)

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

OrdStatus

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

LastShares

qty

Indicates the number of contracts that just filled

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

LastPx

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

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)

AvgPx

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.

TransactTime

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

qty

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.

CumQty

qty

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

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)

TradeDate

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

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.

2404

ComplianceText

String

ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.

ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.

If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).

Note: Orders will not be rejected by the exchange if this field is not populated.

Tag 2404 in the TT system behaves as follows:

ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, "Compliance Text".
If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.

18009

TradingStrategy

INT

Defines the type of trading strategy for the order.

Supports the following values:

1 : ARBITRAGE
10: HEDGE
11: DIRECTIONAL

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

18010

ReverseSpreadOC

INT

Sets whether to reverse the spread on open/close.

Supports the following values:

0 : Do not reverse open close flag on far leg
1:Reverse spread open close flag on far leg

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

18232

LastTradingDate

LocalMktDate

New tag for TT

LastTradingDate (Tag 18232) represents the final date that the contract may trade or be closed out.

Appears in the format YYYY-MM-DD

Component: <Instrument>

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

Tag #

Field Name

Req'd

Data type

Comments

SecurityID

String

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

IDSource

String

Source for the value of tag 48 (SecurityID).

Possible values include:

4: ISIN number
5: RIC code
8: Exchange symbol
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key

Note: The following values are only available for Inbound Drop Copy FIX clients.

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

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
B3
BitMEX
BrokerTec
CBOE
CboeFX_SW_NY
CBOT
CFE
CME
Coinbase
CoinFLEX
CurveGlobal
CZCE
DCE
DGCX
EEX
Eurex
Euronext
Fenics
FEX
HKEX
ICE
ICE_L
IDEM
INE
KCG
KRK
LME
LSE
MEFF
MEXDER
MX
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

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

100

ExDestination

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

LastMkt

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

Symbol

String

Exchange-provided product symbol for the tradable product.

Conditions:

Not sent when Tag 167 (SecurityType)=MLEG.
Not sent when an Order Status Request (H) message returns no orders in an Execution Report (8) message.

461

CFICode

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

String

Asset class of the instrument.

Possible values include:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

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

460

Product

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

String

Security description.

200

MaturityMonthYear

MonthYear

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

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

541

MaturityDate

LocalMktDate

Maturity date in format YYYYMMDD.

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

205

MaturityDay

DayOfMonth

Day of expiration for the instrument.

Range: 1-31

Condition: Sent when multiple contracts exist for the same month

18223

ContractYearMonth

String

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

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
C: End 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

The following values are only available for EPEX:

a=Quarter hour
b=Half hour
c=One hour
d=Two hour
e=Four hour
f=Eight hour
g=One plus two
h=Three plus four
i=Baseload
j=Peakload
k=Overnight
l=Extended peak

Note When Tag 18211 DeliveryTerm equals any value except 'M', 'Y' or 'Q', then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.

Condition: Sent when the delivery term is not monthly

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

Condition: Sent when available

SettlDate

LOCALMKTDATE

Settlement date

Condition: Sent when tag 167 (SecurityType) = FOR or NDF

9020

FixingDate

LOCALMKTDATE

Fixing date

Condition: Sent when tag 167 (SecurityType) = NDF

9032

ReportingParty

BOOLEAN

Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.

Condition: Sent when tag 167 (SecurityType) = NDF

9012

IsFirm

int

Indicates the type of quote that was crossed.

Possible values include:

Firm
Last Look

Condition: Sent when tag 167 (SecurityType) = FOR or NDF

201

PutOrCall

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

Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

9787

DisplayFactor

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

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.

AllocID

String

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

Component: <SecurityAltIDGrp>

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	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	Alternate ID for an instrument or security, typically for display purposes.
> 456	SecurityAltIDSource	C	String	Identifies class or source of the SecurityAltID (455) value. Possible values include: 1: CUSIP number (sent only when provided by the exchange) 4: ISIN number 5: RIC code 8: Exchange security ID 91: Ticker Symbol 92: TT product family ID (sent only for Security Definition (d) messages) 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 (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.) 100: Energy Identifier Code (EIC). Currently only used for the EPEX exchange. A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID Notes: 99 (Other) is not valid for order routing requests. At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME. 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
> 16207	BloombergSecurityExchange	C	String	New tag for TT Name of the market where the instrument of the SecurityAltID (455) value trades.

762

SecuritySubType

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>

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

String

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

Exchange

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

Possible values include:

AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
CBOE
CboeFX_SW_NY
CBOT
CFE
CME
Coinbase
CoinFLEX
CurveGlobal
CZCE
DCE
DGCX
EEX
Eurex
Euronext
Fenics
FEX
HKEX
ICE
ICE_L
IDEM
INE
KCG
KRK
LME
LSE
MEFF
MEXDER
MX
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
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.

> 18100

LegExDestination

Exchange

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.

> 602

LegSecurityId

String

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

String

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

String

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

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

See Symbol (55) field for description.

Note: Users can map the value of Tag 600 to a different symbology using the Symbol Mapping feature in User Setup. Refer to the Fix Rules and Symbol Mappings section in the User Setup Help for more information.

> 608

LegCFICode

String

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

See CFICode (461) field for description

> 620

LegSecurityDesc

String

Leg security description.

> 607

LegProduct

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

String

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 (Not valid for 35=c, e or V)

> 764

LegSecuritySubType

String

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

> 610

LegMaturityMonthYear

MonthYear

Multi-leg instrument's individual security's MaturityMonthYear

> 611

LegMaturityDate

LocalMktDate

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

> 18314

LegMaturityDay

DayOfMonth

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

> 612

LegStrikePrice

Price

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

> 1358

LegPutOrCall

int

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

char

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

Qty

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

Currency

Currency associated with a particular leg's price

> 561

Roundlot

Qty

The trading lot size of a security.

> 566

LegPrice

Price

Price of the leg for a multi-leg instrument

> 687

LegQty

Qty

Quantity of this leg.

> 654

LegRefID

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

Price

Execution price assigned to a leg of a multileg instrument.

> 18224

LegContractYearMonth

char

Contract term of the underlying instrument in the form, YYYYMMM

> 18212

LegDeliveryTerm

char

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
C: End 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

LOCALMKTDATE

Date for contract delivery

Condition: Sent when available

> 1366

LegAllocID

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.

> 16568

LegAvgPx

Price

The average (mean) price for the legs of a spread.

This value will be populated on Summary Spread Fill Execution Reports.

16615

LegTTRoutingAccount

String

TT Routing Account for the leg. Valid for routing synthetic spread orders only.

Note: TT Routing Account for the leg. Valid for routing synthetic spread orders only.

Component: <LegSecurityAltIDGrp>

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	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	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: 1: CUSIP number (sent only when provided by the exchange) 4: ISIN number 5: RIC code 8: Exchange security ID 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.) 91: Exchange Ticker 95: Clearport 97: Alias 98: Name 99: Other A: Bloomberg Code H: Clearing House S: OpenFIGI ID
> 16616	LegBloombergSecurityExchange	N	String	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

Component: <LegFillsGrp>

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>

Information about the trader routing the order.

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

Component: <Trader>

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. Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account). 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).
582	CustOrderCapacity	C	int	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), Order Cancel Reject (9) and Trade Capture Report Ack (AR) 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), Order Cancel Reject (9) and Trade Capture Report Ack (AR) 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>

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.

Component: <Parties Group>

Tag #	Field Name	Req'd	Data type	Comments
453	NoPartyIDs	N	int	Number of parties in the PartiesGrp repeating group
> 448	PartyID	C	String	Party identifier code Reserved values when 452=3 (ClientID) and 447=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 447=P (Short code): 3: NORE: Execution decision outside firm Condition: Required when NoPartyIds (453) is greater than 0.
> 452	PartyRole	C	int	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. 223: Secondary Client ID 224: Secondary executing trader 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 C: 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

String

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

Price

Order price

Condition: Sent when Tag 40 (OrdType) is:

2: Limit
4: Stop Limit

StopPx

Price

Trigger price for a stop order

Condition: Sent when Tag 40 (OrdType) is:

3: Stop
4: Stop Limit
K: Market With Leftover as Limit

110

MinQty

Qty

Minimum quantity for a Minimum Volume (MV) order

Condition: Sent only for Minimum Volume (MV) orders

1138

DisplayQty

Qty

Sum of working quantities of child orders.

1088

RefreshQty

Qty

Quantity disclosed for a disclosed quantity (Iceberg) order

Condition: Sent only for disclosed quantity orders

OrderQty

Qty

Total order quantity

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

Side

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.

OrdType

char

Order type

Possible values include:

1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
8: Cross Order
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)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
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

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
22: OTC Privately Negotiated Trade (Inbound Drop Copy FIX clients only)
23: Substitution of futures for forwards (Inbound Drop Copy FIX clients only)
45: Option exercise (Inbound Drop Copy FIX clients only)
51: Average Price (Eurex)
54: Large Notional Off Facility Swap (Inbound Drop Copy FIX clients only)
55Exchange basis facility (Inbound Drop Copy FIX clients only)
57: Netted trade (Inbound Drop Copy FIX clients only)
58: STP Block swap trade (Inbound Drop Copy FIX clients only)
59: Credit event trade (Inbound Drop Copy FIX clients only)
60: Succession event trade (Inbound Drop Copy FIX clients only)
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
1052: Large in Scale (Eurex)
1053: Against Actual (Eurex)
1054: Large in Scale Package (Eurex)
1055: Guaranteed Cross (Eurex)
1056: Request for Cross (Eurex)
1057: EEP CD (NDAQ_EU)
1058: Buyer and Seller No Clearing CD (NDAQ_EU)
1059: Buyer No Clearing CD (NDAQ_EU)
1060: Seller No Clearing CD (NDAQ_EU)
1061: EEP No Fee CD (NDAQ_EU)
1062: Match Exch Manually CD (NDAQ_EU)
1063: Match Exch Combination CD (NDAQ_EU)
1064: Future DS Future Combo CD (NDAQ_EU)
1065: Block Nonfinancial CD(NDAQ_EU)
1066: Exchange for Swap Options CD (NDAQ_EU)
1067: Block Nonfinanical CP CF (NDAQ_EU)
1068: Exchange for Swap Options CF ((NDAQ_EU)
1069: Asset Allocation
1070: Cross Contra Trade
1071: Type Committed (MX/LSE/IDEM/CurveGlobal)
1072: Type Internal (HKEX)
1073: Type Inter-Bank (HKEX)
1074: J-Net One-Sided (OSE)
1075: J-Net Cross (OSE)
1076: EFP Bond
1077: EFP SPI XJO
1078: Cash Related Trade
1079: Non-disclosed OTC Trade
1080: Disclosed OTC Trade
1081: SI Trade
9999: Unknown

Condition: Sent only for wholesale orders and fills

1194

ExerciseStyle

int

Type of exercise for a derivatives security.

Possible values include:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

Conditional: This value only sent if supported by the exchange.

880

TrdMatchID

String

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

Condition: Sent when provided by the exchange.

1057

AggressorIndicator

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

String

Unique indicator for a specific leg.

> 18218

TTCustomerName

String

The Order Profile applied to the TT account.

Can be used by FIX clients to specify the User Setup Order Profile name to be applied to a new order / change order message.

If the successful lookup includes an Order Profile, the profile name is copied to Tag 18218, TT Customer Name.

OpenClose

char

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

Possible values include:

O: Open (default, if unspecified)
C: Close
F: FIFO - first in, first out (currently supported only for specific exchanges including INE,CZCE,DCE,SHFE,CHFFE.)

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

TimeInForce

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
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus

Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3).

If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK.

To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Note: Although the TT FIX schema includes the new 'At the Close' TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release.

Please monitor the TT Release Notes for announcements as to availability of these TIFs.

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

LocalMktDate

Date a Good Till Date order expires

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

1028

ManualOrderIndicator

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

String

Exchange order routing credential that was used to route the order

Condition: Sent when provided by the Exchange

1385

ContingencyType

int

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

String

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

int

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

String

Unique identifier of trade capture report

18222

AOTCPreventionActionType

int

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

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).

HandlInst

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

1031

CustOrderHandlingInst

int

Simplified Execution Source Code as defined by FIA. Identifies the execution method used for Exchange Traded Derivative trades at point of origin, allowing executing and clearing brokers to easily reference the appropriate brokerage rate for the execution method.

Possible values include:

C: Vendor-provided Platform billed by Executing Broker
G: Sponsored Access via Exchange API or FIX provided by Executing Broker
H: Premium Algorithmic Trading Provider billed by Executing Broker
D: Other, including Other-provided Screen
W: Desk
Y: Electronic (default)

Condition: If required by the exchange, this tag is also required. For more information, consult the exchange documentation.

Note: This tag is also 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.

16106

StagedOrderMsg

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

String

ID of the trader working the staged order.

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

16109

StagedOrderStatus

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

Boolean

Whether this message was imported from an external source.

16112

NoLinks

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

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

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
8: Staged bulked child order ID
9: Staged stitched child order ID
A: Staged split child order ID
R: Root algo order ID

Note: When LinkType (Tag 16114) equals R, LinkID (Tag 16113) will contain the TT Order ID of the topmost parent order in the chain (e.g., parent/child/grandchild/etc.) of algo orders.

Condition: Sent when tag 16112 > 0

Component: <FillsGrp>

Specifies the partial fills included in this Execution Report

Condition: Sent when tag 1362 > 0

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

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.

16903

ChildTIF

char

Time-in-Force for the algo child orders

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
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus

Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3).

If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK.

To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Please monitor the TT Release Notes for announcements as to availability of these TIFs.

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

Component: <StrategyParametersGrp>

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.

Component: <StrategyParametersGrp>

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 For a list and descriptions of the parameter names TT uses to support TT Order Types, Autospreader and Aggregator orders, and Free-Form Text fields, refer to the Component: StrategyParametersGrp section of the TT FIX help. For custom or third-party algos, the name must match the name specified by the algo. Note In addition to names listed, TT uses the following reserved field names. These values must not be used when populating FIX Tag 958 (StrategyParameterName). TT strongly recommends clients use the individual tags as defined in the TT XML schema and shown below: OrderQty: OrderQty Tag 38 LimitPrice: Price Tag 44 IfTouchedPrice: StopPx Tag 99 Text A: TextA Tag 16556 Text B: TextB Tag 16557 Text C: TextC Tag 16559 Text TT: TextTT Tag 16558 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 8: Price 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

18226

TTSyntheticType

int

Identifies the type of a parent TT synthetic order, such as an ADL algo, Autospreader or TT Order Type order.

Possible values include:

0: Default
1: Ase_Quote
2: Ase_Hedge
3: Ase_Pr
4: Aggregator_Leg
5: Ase_Spread
6: Aggregator
7: Algo
8: Algo_Child
9: Prime_Ase_Spread
10: TT_Bracket
11: TT_Iceberg
12: TT_If_Touched
13: TT_Market
14: TT_Machine_Gun
15: TT_OCO
16: TT_Sniper
17: TT_Stop
18: TT_Time_Duration
19: TT_Time_Sliced
20: TT_Timed
21: TT_Trailing_Limit
22: TT_Volume_Duration
23: TT_Volume_Sliced
24: TT_Volume_Participation
25: TT_With_A_Tick
26: TT_Retry
27: TT_OCO_OMA
28: TT_OBV
29: TT_Auto_Hedger
31: SDKAlgo
32: SDKAlgo_Child
33: TT_TWAP
34: TT_VWAP
35: RCM_TWAP
36: RCM_VWAP
37: RCM_POV
38: RCM_SCALEPOV
39: RCM_Brisk
40: RCM_Close
41: RCM_PROWLER
42: RCM_SPLICER

18227

Organization

String

User-defined name of the trader's organization.

18229

ReviewUserID

String

Identifies the user who approved the order.

18230

ReviewStatus

int

Identifies the review or approval status of the order.

Possible values:

1 — None
2 — Reviewed
3 — Approved

Component: <OrderAttributesGrp>

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	Number of order attributes in the repeating group
> 2594	OrderAttributeType	C	int	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	Value of order attribute Valid values include: Y: True/Yes N: False/No Condition: Required when OrderAttributeGrp (2593) is greater than 0.

1724

OrderOrigination

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.

528

OrderCapacity

char

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer 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])

529

OrderRestriction

char

Restrictions associated with an order. Sent when provided by the exchange. Currently, only the NASDAQ EU market supports this field.

Valid values:

1: Program Trade
2: Index Arbitrage
3: Non-Index Arbitrage
4: Competing Market Maker
5: Acting as Market Maker or Specialist in the security
6: Acting as Market Maker or Specialist in the underlying security of a derivative security
7: Foreign Entity (of foreign government or regulatory jurisdiction)
8: External Market Participant
9: External Inter-connected Market Linkage
A: Riskless Arbitrage
B: Issuer Holding
C: Issuer Price Stabilization

16624

AccountRiskGroup

String

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

Condition: Sent only for FIX Drop Copy OUT sessions.

16625

TextTTModifyingUser

String

The TT Username of the user modifying the Text TT field on an existing execution report.

Condition: Sent when available in the Execution Report.

16626

NVDR

Boolean

Related to TFEX Non-Voting Depository Receipt (NVDR) trading.

Note TFEX does not provide documentation to ISVs regarding usage of the NVDR (Tag 16626) and TTF (Tag 16627) fields. For information about how to use these fields, please contact the exchange.

16627

TTF

Boolean

Related to TFEX Thai Trust Fund (TTF) trading.

16628

TFUserType

char

Sets the type of user that entered the order. Available values include:

T: Traditional trading
P: Program trading
M: Market Making
G: Market making with Program trading

Note For information on the TFEX user types, please refer to the exchange's documentation.

8013

TrdRegPublicationReason

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

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

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

String

Value corresponding to the Text A field in TT widgets

16557

TextB

String

Value corresponding to the Text B field in TT widgets

16558

TextTT

String

Value corresponding to the Text TT field in TT widgets

16559

TextC

String

Customer-defined text field not sent to exchange.

16561

TimeReceivedFromExchange

String

Time in UTC that an exchange execution report message was received by the TT order connector application.

16117

OrderSource

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
27: TT Admin
28: TT .NET API client
29: TT .NET API server
30: C++ API
31: TT Options Risk
32: External upload
33: Stager
34: TT Score
35: FIX Adapter Child Router

7928

SelfMatchPreventionID

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

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:

m: SMP Instruction type Not Match (ASX)
B: SMP Instruction type cancel both
d: SMP Instruction type decrement Leaves quantity only. Do not restate Order quantity (CBOE)
D: SMP Instruction type decrement Order quantity and Leaves quantity of the larger order/Cancel smaller order (CBOE)
e: SMP Instruction type market-wide
M: SMP Instruction type match (ASX)
N: SMP Instruction type cancel aggressor
O: SMP Instruction type cancel resting
S: SMP Instruction type cancel smallest order (CBOE)

Notes:

This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.

As per ASX 's Unintentional Crossing Prevention (UCP) rules, the exchange does not reject trades when a UCP match is detected.

On ASX orders, Tag 8000 (SMPInstruction) is implicitly set to M, Match when a UCP ID value is provided in Tag 7928 (SelfMatchPreventionID).
On ASX trades for such orders, the value in Tag 8000 (SMPInstruction) reflects whether a UCP match was detected or not by the ASX exchange.

16857

TTSMPID

String

User-defined, alphanumeric identifier used to tag orders so the TT system can match potential crossed trades.

Note TT Self-Match Prevention by ID (TT SMP) is currently available on a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html in the Setup help.

16858

TTSMPInstruction

int

Sets the TT SMP behavior and determines which order is canceled (resting or aggressing) if self-match prevention occurs.

TTSMPInstruction supports the following values:

1: Reject New
3: Cancel Resting
4: Position Transfer
6: Position Transfer Best Bid/Offer
10: Position Transfer Allow Split
11: Position Transfer Allow Split Best Bid/Offer

Note TT Self-Match Prevention by ID (TT SMP) is currently available on a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use FIX Tag 7928 (SelfMatchPreventionID) and FIX Tag 8000 (SMPInstruction).

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html in the Setup help.

16601

EchoDC_01

String