TT® FIX Order Routing

Multileg Order Cancel/Replace (AC) [4.4] Message

Multileg Order Cancel/Replace (AC) [4.4] Message

Multileg Order Cancel-Replace (AC) Message

Purpose

Used to change an existing multileg order

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

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=AC (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)
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AE: Trade Capture Report
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

New tag for TT

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.

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: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

> 18218 TTCustomerName C String

New tag for TT

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.

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.

11 ClOrdID Y String New ID for the canceled order. This value must be unique since the TT FIX session reset.
1 Account Y String

Order-routing account

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.

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
  • 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 only when price conversion based on symbol mappings is needed.

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.

167 SecurityType C String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • CUR: currency
  • TBOND: treasury bond
  • CS: common stock
  • NONE: No security type (Not valid for 35=c, e or V)

Condition: Required only when price conversion based on symbol mappings is needed.

55 Symbol C String

Exchange-provided product symbol for the tradable product.

When tag 54 (Side) is B or C, set 55=NA; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Condition: Required only when price conversion based on symbol mappings is needed.

18009 TradingStrategy C INT

New tag for TT

Defines the type of trading strategy for the order.

Supports the following values:

  • 1 : ARBITRAGE
  • 10: HEDGE
  • 11: DIRECTIONAL

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

18010 ReverseSpreadOC C INT

New tag for TT

Sets whether to reverse the spread on open/close.

Supports the following values:

  • 0 : Do not reverse open close flag on far leg
  • 1:Reverse spread open close flag on far leg

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

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

Replaces 7.X tag 10454 (NoSecurityAltID)

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

Replaces 7.X tag 10455 (SecurityAltID)

Alternate ID for an instrument or security, typically for display purposes.

> 456 SecurityAltIDSource C String

Replaces 7.X tag 10456 (SecurityAltIDSource)

Identifies class or source of the SecurityAltID (455) value.

Possible values include:

  • 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.)
  • A: Bloomberg Code
  • S: OpenFIGI ID

Note: 99 (Other) is not valid for order routing requests.

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

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

Replaces 7.X tag 146 (NoRelatedSym)

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

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

Multi-leg instrument's individual security's SecurityExchange.

Possible values include:

  • AGGREGATOR
  • ALGO
  • ASE
  • ASX
  • B3
  • BitMEX
  • BrokerTec
  • CBOE
  • 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

New tag for TT

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

Replaces 7.X tag 309 (UnderlyingSecurityID)

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

Replaces 7.X tag 309 (UnderlyingSecurityID)

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

Replaces 7.X tag 311 (UnderlyingSymbol)

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

Replaces 7.X tag 310 (UnderlyingSecurityType)

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

Replaces 7.X tag 310 (UnderlyingSecurityType)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

> 610 LegMaturityMonthYear N MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

> 611 LegMaturityDate N LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDate.

> 18314 LegMaturityDay N DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDay.

> 612 LegStrikePrice N Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

Multi-leg instrument's individual security's StrikePrice.

> 1358 LegPutOrCall C int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

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

Replaces 7.X tag 16624 (LegSide)

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

Replaces 7.X tag 319 (RatioQty)

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

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

> 561 Roundlot N Qty

Replaces 7.X defined custom tag 16461 (LotSize)

The trading lot size of a security.

> 566 LegPrice N Price

Replaces 7.X tag 10566 (LegPrice)

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

Replaces 7.X tag 18212 (UnderlyingContractTerm)

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
  • 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

New tag for TT

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.

Tag # Field Name Req'd Data type Comments
604 NoLegSecurityAltID C int

Replaces 7.X tag 146 (NoRelatedSym)

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

Replaces 7.X tag 10456 (UnderlyingSecurityAltID)

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:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.)
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other
  • 91: Exchange Ticker
  • A: Bloomberg Code
  • S: OpenFIGI ID
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
202 StrikePrice C Price

Stirke price for an option

Condition: Required when Tag 167 (SecurityType) is OPT and when price conversion based on symbol mappings is needed.

18 ExecInst C MultipleStringValue

Order execution instructions

Possible values include:

  • 2: Work (default)
  • 6: Participate don't initiate
  • G: All or none
  • S: Suspend
  • o: Cancel on connection loss (valid only for New Order Single (D) and New Order Multileg (AB) messages)
  • q: Release from suspension
  • X: Test request

Note: If you submit multiple values that include an unsupported value, TT FIX will choose the appropriate supported value.

To submit an updated order in “held” status, set this tag value to S. To restart a held order, set this tag value to q.

Condition: Required when submitting a hold order

44 Price C Price

Limit price for limit orders

Condition: Required when Tag 40 (OrdType) is:

  • 2: Limit
  • 4: Stop Limit
99 StopPx C Price

Trigger price for a stop order

Condition: Required when Tag 40 (OrdType) is:

  • 3: Stop
  • 4: Stop Limit
  • K: Market With Leftover as Limit
38 OrdQty Y Qty Total order quantity
110 MinQty C Qty

Minimum quantity for a Minimum Volume (MV) order

Condition: Required for Minimum Volume (MV) orders

1138 DisplayQty C Qty

Sum of working quantities of child orders.

54 Side Y 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)

Note: If 54=B or 54=C, the value in tag 55 (Symbol) is ignored. Instead, the instrument and order side are determined by the tag 600 (LegSymbol) and tag 624 (LegSide) values in the LegInstrument group.

40 OrdType Y char

Order type

Possible values include:

  • 1: Market
  • 2: Limit
  • 3: Stop
  • 4: Stop Limit
  • 5: Market On Close (MOC)
  • B: Limit On Close (LOC)
  • J: Market If Touched (MIT)
  • K: Market with Leftover as Limit
  • Q: Market Limit Market (MLM) with Leftover as Limit
  • S: Stop Market to Limit
  • T: Market to Limit (without Limit Price) If-Touched
  • U: Market to Limit If Touched (MLM-IT)
  • V: Market Close Today (reserved for future use)
  • W: Limit Close Today (reserved for future use)
  • p: Limit (post-only)
77 OpenClose N char

Whether the order opens or closes a position

Possible values include:

  • O: Open (default, if unspecified)
  • C: Close
  • F: FIFO - first in, first out (currently supported only for specific exchanges including INE,CZCE,DCE,SHFE,CHFFE.)
59 TimeInForce N char

How long an order remains active

Possible values include:

  • 0: Day (default, if not specified)
  • 1: Good Till Cancel (GTC)
  • 2: At The Opening (OPG)
  • 3: Immediate or Cancel (IOC)
  • 4: Fill Or Kill (FOK)
  • 5: Good Till Crossing
  • 6: Good Till Date
  • 7: At the Close
  • 8: Good through Crossing
  • 9: At Crossing
  • A: Auction
  • S: Morning At the Close
  • T: Afternoon At the Close
  • U: Night At the Close
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus

Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3).

If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK.

To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Note: Although the TT FIX schema includes the new 'At the Close' TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release.

Please monitor the TT Release Notes for announcements as to availability of these TIFs.

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

432 ExpireDate C LocalMktDate

Date a Good Till Date order expires

Condition: Required when Tag 59 (TimeInForce) = 6 (Good Till Date)

1028 ManualOrderIndicator N char

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

Possible values include:

  • Y: Manual
  • N: Automated

Default value is N if the tag is omitted.

1385 ContingencyType N int

Type of contingency

Possible values include:

  • 0: Day (default, if not specified)
  • 1: Good Till Cancel (GTC)
  • 2: At The Opening (OPG)
  • 3: Immediate or Cancel (IOC)
  • 4: Fill Or Kill (FOK)
  • 5: Good Till Crossing
  • 6: Good Till Date
  • 7: At the Close
  • 8: Good through Crossing
  • 9: At Crossing
  • A: Auction
  • S: Morning At the Close
  • T: Afternoon At the Close
  • U: Night At the Close
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus

Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3).

If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK.

To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Note: Although the TT FIX schema includes the new 'At the Close' TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release.

Please monitor the TT Release Notes for announcements as to availability of these TIFs.

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

142 SenderLocationId REQD string Specific message originator's location (i.e. geographic location and/or desk, trader)
21 HandlInst C int

Order handling instructions.

Possible values include:

  • 1: Automated execution order, private, no broker intervention
  • 2: Automated execution order, public, broker intervention OK
  • 3: Staged order, broker intervention required

Condition: Required when submitting a staged order

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
  • H: 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 also 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.

16106 StagedOrderMsg N string, 256 character maximum

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order.

Note: Valid only for staged orders (Tag 21 (HandlInst)=3)

58 Text N String

Additional information for the person who works the order

16999 ClearingAccountOverride N String

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

16556 TextA N String Value corresponding to the Text A field in TT widgets
16557 TextB N String Value corresponding to the Text B field in TT widgets
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.
16903 ChildTIF Y char

Time-in-Force for the algo child orders

Possible values include:

  • 0: Day (default, if not specified)
  • 1: Good Till Cancel (GTC)
  • 2: At The Opening (OPG)
  • 3: Immediate or Cancel (IOC)
  • 4: Fill Or Kill (FOK)
  • 5: Good Till Crossing
  • 6: Good Till Date
  • 7: At the Close
  • 8: Good through Crossing
  • 9: At Crossing
  • A: Auction
  • S: Morning At the Close
  • T: Afternoon At the Close
  • U: Night At the Close
  • V: Good in Session
  • W: Day Plus
  • X: Good Till Cancel Plus
  • Y: Good Till Date Plus

Notes: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3).

If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK.

To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Note: Although the TT FIX schema includes the new 'At the Close' TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release.

Please monitor the TT Release Notes for announcements as to availability of these TIFs.

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

Component: <StrategyParametersGrp>
Y Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
957 NoStrategyParameters N NumInGroup

Repeating group of parameters for the algo or the free-form text fields to attach to the order

> 958 StrategyParameterName C String

Name of the algo parameter or free-form text field

TT uses the following parameter names to support TT order types:

Note: For descriptions of these strategy parameters, see Parameters and values for TT Order Types.

TT uses the following parameter names to support Autospreader and Aggregator orders:

TT uses the following parameter names to support TT free-form text fields:
  • Text A (Corresponds to the Text A field in TT widgets)
    Note: Some exchanges use sMemo instead of TextA.
  • Text B (Corresponds to the Text B field in TT widgets)
  • Text TT: (Corresponds to the Text TT field in TT widgets)

For custom or third-party algos, the name must match the name specified by the algo.

Condition: Required when tag 957 > 0

> 959 StrategyParameterType C Int

Type of data contained in tag 960 (StrategyParameterValue)

Possible values include:

  • 1: Int
  • 6: Float
  • 7: Qty
  • 13: Boolean
  • 14: String
  • 19: UTCTimestamp

Condition: Required when tag 957 > 0

> 960 StrategyParameterValue C String

Value of the parameter or additional order information

Condition: Required when tag 957 > 0

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

New tag for TT

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.

18221 CompanyID N String

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

18227 Organization N String User-defined name of the trader's organization.
16566 DropCopyOrder C char

Indicates the message is a drop copy order message (35=D,F or G) or a pending execution report (35=8, 150=6, A or E). This tag is generated by TT FIX Adapter 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.

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

New tag for TT

Number of parties in the PartiesGrp repeating group

> 448 PartyID C String

New tag for TT

Party identifier code

Reserved values when 452=3 (ClientID) and 448=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 448=P (Short code):

  • 3: NORE: Execution decision outside firm

Condition: Required when NoPartyIds (453) is greater than 0.

> 452 PartyRole C int

New tag for TT

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.

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.

Component: <OrderAttributesGrp>
Y

Attributes associated with the order

Condition: Sent when available

For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
2593 NoOrderAttributes N int

New tag for TT

Number of order attributes in the repeating group

> 2594 OrderAttributeType C int

New tag for TT

Type of order attribute

Valid values include:

  • 2: Liquidity provision activity order
  • 3: Commodity Derivative Indicator (risk reduction) order
  • 4: Algorithmic order

Condition: Required when OrderAttributeGrp (2593) is greater than 0.

> 2595 OrderAttributeValue C String

New tag for TT

Value of order attribute

Valid values include:

  • Y: True/Yes
  • N: False/No

Condition: Required when OrderAttributeGrp (2593) 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

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.
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.
8000 SMPInstruction N int Instruction provided to the exchange as to whether to cancel the resting or incoming (aggressing) order in the event of a self-match.

Possible values include:

  • O: SMP Instruction type cancel resting
  • N: SMP Instruction type cancel aggressor
  • B: SMP Instruction type cancel both
  • M: SMP Instruction type match (ASX)
  • m: SMP Instruction type Not Match (ASX)
  • S: SMP Instruction type cancel smallest order (CBOE)
  • D: SMP Instruction type decrement Order quantity and Leaves quantity of the larger order/Cancel smaller order (CBOE)
  • d: SMP Instruction type decrement Leaves quantity only. Do not restate Order quantity (CBOE)

Notes:

This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.


As per ASX 's Unintentional Crossing Prevention (UCP) rules, the exchange does not reject trades when a UCP match is detected.

  • On ASX orders, Tag 8000 (SMPInstruction) is implicitly set to M, Match when a UCP ID value is provided in Tag 7928 (SelfMatchPreventionID).
  • On ASX trades for such orders, the value in Tag 8000 (SMPInstruction) reflects whether a UCP match was detected or not by the ASX exchange.

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

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.

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.
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 Multileg Order Cancel Replace (AC) message is used by FIX clients to make changes to a previously submitted multileg order.