TT® FIX General

Identifying instruments in order-routing messages

Identifying instruments in order-routing messages

FIX Message Conversations

About this Section

This articles contains a variety of FIX message samples to help in constructing message requests. Currently, there are two types of messages covered:

Identifying instruments in order-routing messages

When sending the instrument component block in a FIX client request, TT suggests uses these methods as follows:

These methods can be used as follows:

  • You can use the security ID method for all cases.
  • You can only use the security Alt ID method for contracts for which the exchange populates Tag 455 (SecurityAltID).
  • You can use the security name method for all contracts on all exchanges except for ICE contracts that use daily, weekly, variable, and undefined delivery terms.

The examples below illustrate these methods for identifying an instrument when routing orders using TT FIX. These instrument IDs can be obtained using the TT FIX Security Definition Request (c).

Using the By Security ID method

ICE - BRN (Fut) by SecurityID using RIC tag 48

Sample Message

8=FIX.4.2 | 9=140 | 35=D | 49=jerome | 56=TT_ORDER | 34=15 | 52=20200331-19:11:54 | 11=971136390 | 21=1 | 40=1 | 38=10 | 1=jeromedc | 116=jhayes3 | 207=ICE | 54=1 | 55=BRN | 22=5 | 48=LCOM0 | 10=208 |
8=FIX.4.2 | 8=FIX.4.2|9=140|35=D|49=jerome|56=TT_ORDER|34=15|52=20200331-19:11:54|11=971136390|21=1|40=1|38=10|1=jeromedc|116=jhayes3|207=ICE|54=1|55=BRN|22=5|48=LCOM0|10=208|

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
22 ID Source

Indicates tag 48 contains a RIC code
48 Security ID

RIC code for ICE Brent Crude Future

ASX - IR(Opt) by SecurityID using RIC 22 & MIC 100

Sample Message

8=FIX.4.2 | 9=154 | 35=D | 49=jerome | 56=TT_ORDER | 34=9 | 52=20200331-19:16:21 | 11=2081087197 | 21=1 | 40=2 | 44=.125 | 38=10 | 1=jeromedc | 116=jhayes3 | 54=1 | 55=IR | 22=5 | 48=2YBA98875P0 | 100=XSFE | 10=166 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
22 ID Source

Indicates tag 48 contains a RIC code
48 Security ID

RIC code for ASX’s 90 Day Bank Bill Options
100 ExDestination

MIC code for ASX/SFE

CFE - VX (Spread) by SecurityID using TT SecurityID tag 48

Sample Message

8=FIX.4.2 | 9=165 | 35=D | 49=jerome | 56=TT_ORDER | 34=22 | 52=20200331-19:21:13 | 11=2081087200 | 21=1 | 40=2 | 44=10 | 38=10 | 1=jeromedc | 116=jhayes3 | 207=CFE | 167=MLEG | 54=1 | 55=VX | 48=15468969677365711757 | 10=196 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
167 SecurityType

Indicates a multiple leg spread
55 Symbol

RIC code for CFE VX Spread
48 SecurityID

The TT security ID for the instrument.

TOCOM - GOLD (Opt) by SecurityID using Exchange Security ID tag 455

Sample Message

8=FIX.4.2 | 9=174 | 35=D | 49=jerome | 56=TT_ORDER | 34=54 | 52=20200528-18:12:06 | 11=302769332 | 21=1 | 54=1 | 40=2 | 44=100 | 38=5 | 1=jeromedc | 55=GOLD | 22=8 | 48=2PUT_GOLD_200625_5350 | 100=XTKT | 167=OPT | 116=jhayes3 | 10=233 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
22 ID Source

Indicates tag 48 contains an exchange symbol
100 ExDestination

MIC code for Tokyo Commodity Exchange
48 SecurityID

TOCOM Gold Put Option.

Using the By Security AltID method

SGX - CN(Fut) by AltSecIDGrp using Alias tag 455

Sample Message

8=FIX.4.2 | 9=163 | 35=D | 49=jerome | 56=FFO | 34=28 | 52=20200605-03:04:35 | 11=1522046991 | 21=1 | 54=1 | 40=2 | 44=14335 | 38=5 | 1=jeromedc | 55=CN | 454=1 | 455=CN Sep20 | 456=97 | 207=SGX | 167=FUT | 116=jhayes3 | 10=009 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
454 Number of Security Alt IDs

The number of alternate security IDs
455 Security Alt ID

The value of the alternate ID (Sep20)
456 Security Alt ID Source

Sets the class of the alternate ID as Alias

CME - RTY (Fut) by AltSecIDGrp using Name tag 455

Sample Message

8=FIX.4.2 | 9=161 | 35=D | 49=jerome | 56=FFO | 34=41 | 52=20200605-03:10:14 | 11=1522046993 | 21=1 | 54=1 | 40=2 | 44=16650 | 38=5 | 1=jeromedc | 55=RTY | 454=1 | 455=RTYZ0 | 456=98 | 207=CME | 167=FUT | 116=jhayes3 | 10=160 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
454 Number of Security Alt IDs

The number of alternate security IDs
455 Security Alt ID

The value of the alternate ID (RTYZ0)
456 Security Alt ID Source

Sets the class of the alternate ID as Name

Eurex - FDAX (Spread) by AltSecIDGrp using RIC tag 455

Sample Message

8=FIX.4.2 | 9=167 | 35=D | 49=jerome | 56=FFO | 34=50 | 52=20200605-03:13:52 | 11=1522046994 | 21=1 | 54=1 | 40=2 | 44=-.110 | 38=5 | 1=jeromedc | 55=FGBL | 454=1 | 455=FGBLU0-Z0 | 456=5 | 207=Eurex | 167=FUT | 116=jhayes3 | 10=121 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
454 Number of Security Alt IDs

The number of alternate security IDs
455 Security Alt ID

The value of the alternate ID (FGBLU0-Z0)
456 Security Alt ID Source

Sets the class of the alternate ID as Name

Using the By Security Name method

CME - ZN (Fut) by Security Name using Symbol tag 55

Sample Message

8=FIX.4.2 | 9=144 | 35=D | 49=jerome | 56=FFO | 34=67 | 52=20200605-03:19:36 | 11=1522047000 | 1=jeromedc | 116=jhayes3 | 40=2 | 44=136.50 | 38=3 | 55=ZN | 200=202009 | 167=FUT | 207=CME | 54=1 | 10=224 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
207 Exchange

Set the exchange as CME
167 Security type

Sets the security type as Futures
200 Maturity Date

Sets the maturity year and month
55 Symbol

Sets the instrument symbol as the 10-year treasury note

MX - BAX (Spread) by Security Name using repeating group tag 555

Sample Message

8=FIX.4.2 | 9=245 | 35=D | 49=jerome | 56=FFO | 34=81 | 52=20200605-03:25:16 | 116=jhayes3 | 1=jeromedc | 11=1522047003 | 55=BAX | 54=2 | 40=2 | 44=-.365 | 38=20 | 207=MX | 167=MLEG | 762=Calendar | 555=2 | 600=BAX | 610=202006 | 623=1 | 624=1 | 609=FUT | 616=MX | 600=BAX | 610=202009 | 623=1 | 624=2 | 609=FUT | 616=MX | 10=060 |

Tag Descriptions

You can identify the instrument by looking at the following tags and values:

Tag # Field Name Comments
Parent Order
55 Symbol

Three-month Canadian Bankers' Acceptance Futures
207 Exchange

Sets the exchange as Montreal Exchange
167 Security type

Sets the security type as a multi-leg instrument
762 Security sub-type

Sets the instrument as a calendar spread
Child Orders
555 Number of Legs

Set this instrument as a two-legged spread
Child Orders - Leg 1
600 Leg symbol

Three-Month Canadian Bankers' Acceptance Futures (BAX).
609 Leg Security type

Sets the security type as Futures
610 Leg maturity year and month

Sets the maturity year and month for this leg
616 Leg security exchange

Sets the security exchange as Montreal Exchange for this leg
Child Orders - Leg 2
600 Leg symbol

Three-Month Canadian Bankers' Acceptance Futures (BAX).
609 Leg Security type

Sets the security type as Futures
610 Leg maturity year and month

Sets the maturity year and month for this leg
616 Leg security exchange

Sets the security exchange as Montreal Exchange for this leg

Routing DMA Orders

Users may leverage TT FIX to submit Direct Market Access (DMA) orders.

Examples of Routing Market, Limit, and Stop Orders

CME GE using tag 55

Sample Message

8=FIX.4.2 | 9=175 | 35=D | 49=jerome | 56=ORDER | 34=14 | 52=20200624-15:15:37 | 11=1066820586 | 21=1 | 55=GE | 54=1 | 40=2 | 44=9824.00 | 38=4 | 1=jeromedc | 207=CME | 167=FUT | 200=202009 | 116=jhayes3 | 582=4 | 21=1 | 1031=W | 10=186 |
8=FIX.4.2 | 9=00860 | 35=8 | 49=ORDER | 56=jerome | 34=582 | 50=JHAYES | 142=US,IL | 52=20200624-15:15:37.119 | 129=jhayes3 | 37=974918ca-3e73-46a2-8735-09bb0ee7249f | 198=821113537019 | 526=1592762431875 | 527=82681:2380900 | 11=1066820586 | 10011=3 | 453=3 | 448=1 | 452=200 | 447=D | 448=omnibus | 452=1 | 2376=22 | 447=D | 448=JEROMEDC | 452=83 | 447=D | 17=97hMpN997iyDncV1SJQw8w | 20=0 | 150=0 | 18=2 | 39=0 | 1=jeromedc | 55=GE | 107=Eurodollar Futures | 460=6 | 48=14856497881718443706 | 167=FUT | 200=202009 | 541=20200914 | 205=14 | 207=CME | 100=XCME | 461=FFDXSX | 15=USD | 18211=M | 54=1 | 38=4 | 40=2 | 44=9824 | 59=0 | 151=4 | 14=0 | 6=0 | 60=20200624-15:15:37.095000 | 442=1 | 1028=N | 18216=L18004 | 582=4 | 10553=jerome.hayes@tradingtechnologies.com | 18220=DTS | 18221=DTS | 21=1 | 18223=202009 | 454=4 | 455=GEU0 | 456=98 | 455=GE Sep20 | 456=97 | 455=1EDU0 | 456=5 | 455=843520 | 456=8 | 16999=JEROMEDC | 16561=20200624-15:15:37.110834 | 16117=10 | 16612=97hMpN997iyDncV1SJQw8w | 18218= | 18226=0 | 1031=W | 10=189 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
200 Maturity Date

Indicated the year and month the instrument reaches maturity
167 SecurityType

Indicates the Security Definition for each leg (FUT)
55 Symbol

Sets the instrument as the CME Eurodollar contract

CME (FUT) Stop Limit using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=190 | 35=D | 34=25 | 49=WTEODTSOR | 52=20200731-02:36:55 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=559968237 | 167=FUT | 207=CME | 55=GE | 200=202012 | 38=10 | 40=4 | 44=9969.5 | 99=9970.0 | 54=2 | 59=0 | 60=20051205-09:11:59 | 10=006 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
40 Order Type

Sets the order type to Stop Limit
59 Time in Force

Set the time in force restriction to Day
99 Stop Price

Sets the value of the stop price

OSE Market IOC using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=171 | 35=D | 34=12 | 49=WTEODTSOR | 52=20200731-02:25:29 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=29907610 | 200=202009 | 167=FUT | 207=OSE | 55=NK225 | 38=1 | 40=1 | 54=1 | 59=3 | 60=20051205-09:11:59 | 10=120 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
40 Order Type

Sets the order type to Market Order
59 Time in Force

Set the time in force restriction to Immediate or Cancel (IOC)

SGX Limit Order using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=202 | 35=D | 34=33 | 49=WTEODTSOR | 52=20200709-02:21:50 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=50246697 | 48=16919685603007881189 | 55=NK | 167=FUT | 207=SGX | 200=202112 | 44=23000 | 54=1 | 38=10 | 40=2 | 59=1 | 60=20051205-09:11:59 | 10=119 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
40 Order Type

Sets the order type to Limit Order
59 Time in Force

Set the time in force restriction to Good Till Cancel (GTC)

Routing Muti-Leg Instruments

ASX Multiple Leg Bundle using SecurityType tag 167

Sample Message

8=FIX.4.2 | 9=570 | 35=D | 52=20200731-14:35:54 | 49=WTEODTSOR | 56=TT_ORDER | 34=747 | 11=548372122 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XSFE | 207=ASX | 167=MLEG | 55=BB | 44=90 | 38=17 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Bundle | 555=8 | 600=BB | 609=FUT | 616=ASX | 610=202009 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202012 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202103 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202106 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202109 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202112 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202203 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202206 | 624=1 | 623=1 | 10=165 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
762 Security Sub Type

Sets the security sub type to Bundle
555 Number of Legs

Set the number of legs for the spread.

CME Multiple Leg Straddle using tag 167

Sample Message

8=FIX.4.2 | 9=337 | 35=D | 52=20200714-04:36:08 | 49=WTEODTSOR | 56=TT_ORDER | 34=1208 | 11=87183957 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=CME | 207=CME | 167=MLEG | 55=6M | 44=3100 | 38=5 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Straddle | 555=2 | 600=6M | 609=OPT | 616=CME | 610=202011 | 612=43000 | 1358=1 | 624=1 | 623=1 | 600=6M | 609=OPT | 616=CME | 610=202011 | 612=43000 | 1358=0 | 624=1 | 623=1 | 10=172 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
762 Security Sub Type

Sets the security sub type to Straddle
555 Number of Legs

Set the number of legs for the spread.

CME Multiple Leg Strangle using tag 167

Sample Message

8=FIX.4.2 | 9=331 | 35=D | 52=20200731-13:54:10 | 49=WTEODTSOR | 56=TT_ORDER | 34=704 | 11=106682623 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XCME | 207=CME | 167=MLEG | 55=GE | 44=175 | 38=20 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Strangle | 555=2 | 600=GE | 609=OPT | 616=CME | 610=202109 | 612=9800 | 1358=0 | 624=1 | 623=1 | 600=GE | 609=OPT | 616=CME | 610=202109 | 612=9812.5 | 1358=1 | 624=1 | 623=1 | 10=178 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
762 Security Sub Type

Sets the security sub type to Strangle
555 Number of Legs

Set the number of legs for the spread.

Euronext Multiple Leg Butterfy Spread using tag 167

Sample Message

8=FIX.4.2 | 9=422 | 35=D | 52=20200731-14:14:33 | 49=WTEODTSOR | 56=TT_ORDER | 34=725 | 11=331623331 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XMON | 207=Euronext | 167=MLEG | 55=jPXA | 44=0.6 | 38=4 | 40=2 | 54=2 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Butterfly | 555=3 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54200 | 1358=1 | 624=1 | 623=1 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54400 | 1358=1 | 624=2 | 623=2 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54800 | 1358=1 | 624=1 | 623=1 | 10=049 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
762 Security Sub Type

Sets the security sub type to Butterfly
555 Number of Legs

Set the number of legs for the spread.

ICE Multiple Leg Calendar Spread using tag 167

Sample Message

8=FIX.4.2 | 9=322 | 35=D | 52=20200715-07:56:04 | 49=WTEODTSOR | 56=TT_ORDER | 34=27 | 11=43458791 | 1=WTEO_DTS01 | 116=WTeoDTS | 207=ICE | 167=MLEG | 55=BRN | 44=0.93 | 38=1 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Calendar | 555=2 | 600=BRN | 609=FUT | 616=ICE | 610=202007 | 611=20200731 | 624=1 | 623=1 | 600=BRN | 609=FUT | 616=ICE | 610=202010 | 611=20201030 | 624=2 | 623=1 | 10=058 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
762 Security Sub Type

Sets the security sub type to Calendar
555 Number of Legs

Set the number of legs for the spread.

Routing Option Spreads

Eurex Outright Options Spread using tag 167

Sample Message

8=FIX.4.2 | 9=211 | 35=D | 34=74 | 49=WTEODTSOR | 52=20200731-03:25:49 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=496906635 | 207=Eurex | 167=OPT | 55=ODAX | 200=202008 | 201=1 | 202=10500 | 38=80 | 40=2 | 44=8461 | 54=1 | 59=6 | 432=20200830 | 60=20051205-09:11:59 | 10=191 |

Tag Descriptions

Use the following tags to help with order routing:

Tag # Field Name Comments
201 Put or Call

Indicates the leg contains a call option
202 Strike Price

Set the value of the strike price