48 |
SecurityID |
Y |
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 |
C |
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 |
C |
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
|
30 |
LastMkt |
C |
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
|
55 |
Symbol |
C |
String |
Exchange-provided product symbol for the tradable product.
Conditions:
|
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.
|
167 |
SecurityType |
C |
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 |
N |
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
Note: Sent only in
Security
Definition (d)
and
Execution
Report (8)
messages.
|
107 |
SecurityDesc |
N |
String |
Security description. |
200 |
MaturityMonthYear |
C |
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 |
C |
LocalMktDate |
Maturity date in format YYYYMMDD.
Condition: Sent when Tag 167 (SecurityType) is not MLEG or
SPOT
|
205 |
MaturityDay |
C |
DayOfMonth |
Day of expiration for the instrument.
Range: 1-31
Condition: Sent when multiple contracts exist for the same month
|
18223 |
ContractYearMonth |
N |
String |
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
|
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
|
64 |
SettlDate |
C |
LOCALMKTDATE |
Settlement date
Condition: Sent when tag 167 (SecurityType) = FOR or NDF
|
9020 |
FixingDate |
C |
LOCALMKTDATE |
Fixing date
Condition: Sent when tag 167 (SecurityType) = NDF
|
9032 |
ReportingParty |
C |
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 |
C |
int |
Indicates the type of quote that was crossed.
Possible values include:
Condition: Sent when tag 167 (SecurityType) = FOR or NDF
|
201 |
PutOrCall |
C |
int |
Whether the option represents a put or call
Possible values include:
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
|
9787 |
DisplayFactor |
C |
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
|
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.
|
70 |
AllocID |
C |
String |
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
|
Component: <SecurityAltIDGrp>
|
N |
|
Instrument associated with this message. For additional information about this component group, consult the full documentation.
|
|
|
762 |
SecuritySubType |
N |
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>
|
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.
|
|
<LegInstrumentGrp>
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:
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.
|
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.
|
|
<LegSecurityAltIDGrp>
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.
|
|
<LegFillsGrp>
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
|
|
|