TT® FIX Market Data

Security Status (f) Message

Security Status (f) Message

Security Status (f) Message

Purpose

Used to return the current trading status of a security

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 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.
324 SecurityStatusReqID Y string

Unique ID sent in the Security Status Request (e) message. TT FIX returns this value in all responses associated with the initial request.

326 SecurityTradingStatus Y int

Current trading status of the security

Possible values include:

  • 2: Trading halted
  • 9: Circuit Breaker
  • 17: Ready to trade
  • 18: Unavailable for trading
  • 20: Unknown or invalid state
  • 21: Pre-open
  • 23: Fast market
  • 98: Post-close
  • 99: Pre-trade
58 Text C String

Additional information about the message.

Sent if TT FIX needs to convey additional information
Component: <Instrument>
Y

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

Tag # Field Name Req'd Data type Comments
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
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:

  • Firm
  • Last Look

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

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.
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 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.
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 Security Status (f) message is used by TT FIX Adapter to respond to a Security Status Request (e) message. The message indicates the current trading status of an instrument.

Related Information

Security Status Request (e)