TT^® FIX Drop Copy

Trade Capture Report (AE) Message

Purpose

Used to report trades between counterparties

Message Direction

From TT FIX to a 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>

35=AE (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.

571

TradeReportID

String

Unique identifier of trade capture report.

Note In Trade Capture Report messages, this value is restricted and cannot be modified by TT FIX rules.

572

TradeReportRefId

String

Reference identifier used with CANCEL and REPLACE transaction types

ExecID

string

Unique identifier for this execution report.

This report ID remains unique until TT FIX resets.

Note Do not try to interpret or parse the value.

150

ExecType

char

Indicates the reason for sending this Trade Capture 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

487

TradeReportTransType

int

Trade Report message transaction type

Possible values include:

0: New
1: Cancel
2: Replace
3: Release
4: Reverse
5: Cancel du to back out of trade
101: Inquire
102: Accept
999: Unknown

829

TrdSubType

int

Further qualification to the trade type.

Possible values include:

1: Arbitrage
2: Combination
3: Cross Trade
4: Exchange for Physical
5: Position Consolidation
6: Rollover
8: Implied spread leg executed against an outright(Inbound Drop Copy FIX clients only)
36: Converted swap (Inbound Drop Copy FIX clients only)
37: Crossed trade (Inbound Drop Copy FIX clients only)
40: Traded at Settlement (TAS) (Inbound Drop Copy FIX clients only)
42: Auction trade (Inbound Drop Copy FIX clients only)
43: Traded at marker (Inbound Drop Copy FIX clients only)
48: Multilateral compression (Inbound Drop Copy FIX clients only)
200: Delivery transfer (Inbound Drop Copy FIX clients only)

856

TradeReportType

int

Type of trade report

Possible values include:

0: Submit
1: Alleged
2: Accept
3: Decline
5: No was
6: Cancel
11: Alleged new
13: Alleged no was
101: Notification (Inbound Drop Copy FIX clients only)
102: Waiting for cancel approval (Enlight trades only)
103: Partially filled (Enlight trades only)
999: Unknown
1000: Clearing

16963

Seq

int

The sequence number for the Trade Capture Report and Trade Capture Report Ack for the Order Status.

1123

TradeHandlingInstr

char

Instructions for how the Trade Capture Report should be handled by the respondent

Possible values include:

0: Trade confirmation
1: Two-party report
2: One-party report for matching
3: One-party report for pass through
4: Automated floor order routing
7: Third-party report for pass through
8: Trade handling instrument pending trade report
9: Trade handling instrument completed trade report
A: Trade handling instrument expired trade report
B: Trade handling instrument broadcast
C: Trade handling instrument pending approval
D: Trade handling instrument approved
E: Trade handling instrument pending cancel

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

LastShares

qty

Indicates the number of contracts that just filled

151

LeavesQty

qty

Number of contracts that are still working in the market

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.

AvgPx

Price

Average price of all fills on this order

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.

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).

1125

OrigTradeDate

LocalMktDate

Date of the original trade that is referenced in a subsequent trade transaction.

625

TradingSessionSubID

String

Assigns a specific trading session to the trade. Currently used to support SGX Over-the-Counter (OTC) trade reporting.

Tag 625 accepts values as a string however, the following enums are reserved and specific to SGX OTC trades:

1: Pre-Trading
2: Opening / opening auction
3: Continuous
4: Closing / closing auction
5: Post-Trading
6: Intraday Auction
7: Quiescent

818

SecondaryTradeReportID

String

Secondary trade report identifier. Can be used to associate an additional identifier with a trade.

820

TradeLinkId

String

Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.

1003

TradeId

String

Unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty

1126

OrigTradeId

String

Used to preserve original trade id when the original trade is being referenced in a subsequent trade transaction, such as a transfer

880

TrdMatchId

String

Identifier assigned to a trade by a matching system

20016

FutureReferencePrice

Price

Pass-through field for Options Trades, contain a reference price for the futures reference leg

Note Valid only for NFX

442

MultiLegReportingType

char

Indicates what the Trade Capture 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)

483

TransBkdTime

UTCTimestamp

Time at which the order was finalized between the buyer and seller prior to submission

1390

TradePublishIndicator

Int

Indicates whether a trade should be reported via a market reporting service. The indicator governs all reporting services of the recipient.

Possible values include:

0: Do not publish trade
1: Publish trade
2: Deferred Publication

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.

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

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

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.

552

NoSides

NumInGroup

Repeating group for sides of the trade

> 54

Side

char

Side of the order

Possible values include:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
B: As Defined (FIX 4.4 only)
C: Opposite (FIX 4.4 only)

> 802

NoPartySubIDs

NumInGroup

For Inbound Drop Copy Only

Number of PartySubID (523) and PartySubIDType (803) entries.

>> 523

PartySubID

String

For Inbound Drop Copy Only

Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.

>> 803

PartySubIDType

int

For Inbound Drop Copy Only

Type of PartySubID(523) value.

Possible values include:

5: Full legal name of firm
9: Contact name
26: Position account type

> 11

ClOrdId

String

For Inbound Drop Copy Only

Unique identifier as defined by the client application

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

> 578

TradeInputSource

String

For Inbound Drop Copy FIX clients only

Type of input device or system from which the trade was entered

> 582

CustOrderCapacity

int

For Inbound Drop Copy FIX clients only

Capacity of customer placing the order

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

> 578

TradeInputSource

String

Type of input device or system from which the trade was entered

> 582

CustOrderCapacity

int

Capacity of customer placing the order

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

> 16116

OrderIDGUID

String

TT order ID

> 1152

LegNumber

int

Deprecated

The leg sequence number for a strategy

> 16849

SideTextA

String

Populated when Order Tag Default values for the Text A field are defined in Setup.

Note This tag is supported on a limited number of exchanges (e.g., JPX, HKEX, SGX, etc). For unsupported exchanges, TT will echo the tags back without passing them to the exchange.

> 16850

SideTextB

String

Populated when Order Tag Default values for the Text B field are defined in Setup.

Note This tag is supported on a limited number of exchanges (e.g., JPX, HKEX, SGX, etc). For unsupported exchanges, TT will echo the tags back without passing them to the exchange.

> 16851

SideTextC

String

Populated when Order Tag Default values for the Text C field are defined in Setup.

Note Only supported for HKEX Wholesale Orders.

16601

EchoDC_01

String