TT® FIX Drop Copy

Order Cancel Request (F) Message

Order Cancel Request (F) Message

Note: Users must subscribe to the FIX Compliance Feed to receive the Order Cancel Request (F) Message. The FIX Compliance Feed enables customers to receive a full Order Audit Trail in FIX format for all FIX, screen and algo order flow occurring in the TT system.

Your administrator must enable this option when Adding and configuring a FIX Session in Setup.

Order Cancel Request (F) Message

Purpose

Used to cancel an order

Message Direction

From TT FIX to FIX client

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>
Y 35=F (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 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 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

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), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) 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.
1 Account Y String

The Order-routing account.

Note: This value is only available in Order Cancel Request messages (35=F) for FIX Drop Copy sessions with Compliance Feed enabled.
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: Required when the message does not contain Tag 41 (OrigClOrdID)

> 18218 TTCustomerName C 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.

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.

11 ClOrdID Y String

Unique identifier for an Order as assigned by TT; included in Tag 11 (ClOrdID) of the initial message. 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.

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.

1028 ManualOrderIndicator N char

Whether the order is sent manually or through automated trading logic.

Possible values include:

  • Y: Manual
  • N: Automated
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.

16999 ClearingAccountOverride N String

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

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.
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.
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.

529 OrderRestriction C 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

Condition: Required for exchanges subject to MiFID II regulations.

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: Required for exchanges subject to MiFID II regulations.

2404 ComplianceText C 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.
16566 DropCopyOrder C char

Indicates the message is a drop copy order message. This tag is generated by TT FIX 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.

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
  • 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

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.

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
  • 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: <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

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.
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
  • 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

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.
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.
16631 EchoDC_11 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16632 EchoDC_12 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16633 EchoDC_13 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16634 EchoDC_14 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16635 EchoDC_15 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16636 EchoDC_16 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16637 EchoDC_17 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16638 EchoDC_18 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16639 EchoDC_19 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16640 EchoDC_20 N String

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16852 ParentVendorOrderID N String

For internal TT use only
16853 ParentVendorUserID N String

For internal TT use only
16854 ParentVendorAccountID N String

For internal TT use only
16855 ParentVendorBrokerID N String

For internal TT use only
16856 ParentVendorProfileID N String

For internal TT use only
18001 MockOrderFlag N int

This optional tag is available in all order and execution report messages. In addition, these tags will not appear in any current messages in production and are reserved for future use.

  • 0: Not a mock order.
  • 1: A mock order.
18221 CompanyID N String

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

18223 ContractYearMonth N String

Contract term in the form, YYYYMM

Condition: Sent when Tag 167 (SecurityType) is not MLEG
18227 Organization N String User-defined name of the trader's organization.
Compliance Tags
 C

Compliance message tags 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 and when Tag 16566 (DropCopyOrder) = Y
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:

  • 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 N 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
  • 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
100 ExDestination N 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.
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.

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

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
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
  • 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 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

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.

1031 CustOrderHandlingInst C 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 sent 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.

Component: <SecurityAltIDGrp>
 N

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.
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

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

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.
OR
> 18100 LegExDestination C 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.
OR
> 602 LegSecurityId C 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 C 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 N 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 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

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 N String

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description
> 610 LegMaturityMonthYear N MonthYear

Multi-leg instrument's individual security's MaturityMonthYear
> 611 LegMaturityDate N LocalMktDate

Multi-leg instrument's individual security's MaturityDate.
> 18314 LegMaturityDay N DayOfMonth

Multi-leg instrument's individual security's MaturityDay.
> 612 LegStrikePrice N Price

Multi-leg instrument's individual security's StrikePrice.
> 1358 LegPutOrCall C 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 N 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 N 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 N Currency

Currency associated with a particular leg's price
> 561 Roundlot N Qty

The trading lot size of a security.
> 566 LegPrice N Price

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

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 C LOCALMKTDATE

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.
> 16568 LegAvgPx C Price

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

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

16615 LegTTRoutingAccount N 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>
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

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>
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: <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 Request (F) message is used by FIX clients to cancel an existing order in the market.