TT® FIX Order Routing

Order Cancel Reject (9) Message

Order Cancel Reject (9) Message

Order Cancel Reject (9) Message

Purpose

Used to reject an order cancel or cancel/replace request

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=9 (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.
37 OrderID Y String

Internal TT order key assigned to all orders submitted through any TT software

The value remains constant for the life of an order. In the following situations, the tag contains a value other than an internal key.

For messages where the order is unknown, TT FIX returns the string NONE.
> 18218 TTCustomerName C String

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.

11 ClOrdID C String

Unique identifier for an Order as assigned by TT; included in Tag 11 (ClOrdID) of the initial message. Uniqueness is guaranteed within a single FIX trading session. Tag 11 values may be reused after the daily or weekly FIX session reset. Maximum length of the tag 11 is (20) characters.

Condition: Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.
41 OrigClOrdID C String

Previous order identifier. Equal to Tag 11 (ClOrdID) of the original request message

Condition: Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.
198 SecondaryOrderID N String

Unique identifier for the order, as assigned by the exchange.

Note: The value can vary over time for the same order.
10011 TTClOrdID C String

Internal unique id across TT system

Condition: Sent when available
39 OrdStatus Y char

Status of the order

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 3: Done for day
  • 4: Cancelled
  • 5: Replaced
  • 6: Cancel pending
  • 7: Stopped
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • B: Calculated
  • C: Expired
  • D: Accepted for bidding
  • E: Pending replace

Note: If more than one of these values applies, TT FIX sends the value required by the FIX 4.2 specification.
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.

434 CxlRejResponseTo Y int

Type of rejected message

Possible values include:

  • 1: Reject is for an Order Cancel Request (F)
  • 2: Reject is for an Order Cancel Replace Request (G)
102 CxlRejReason Y int

Reason for rejecting the cancel request

Possible values include:

  • 0: Too Late to Cancel
  • 1: Unknown Order
  • 2: Broker Option
  • 3: Action Already Pending
  • 4: Unable to process Order Mass Cancel Request
  • 5: OrigOrdModTime (586) did not match last TransactTime (60) of order
  • 6: Duplicate ClOrdID (11) received
  • 7: Price exceeds current price
  • 8: Price exceeds current price band
  • 9: Trade Along Required
  • 10: Invalid Investor Id
  • 11: Unsupported Order Characteristic
  • 12: Surveillence Option
  • 13: Incorrect Quantity
  • 14: Incorrect Allocated Quantity
  • 15: Unknown Account
  • 16: Price Exceeds Current Price Band
  • 18: Invalid Price Increment
  • 19: Message Pending
  • 20: Routing Error
  • 99: Other
  • 1003: Market Closed
  • 1007: Fix Field Missing Or Incorrect
  • 1010: Required Field Missing
  • 1011: Fix Field Incorrect
  • 1012: Price Must Be Greater Than Zero
  • 1013: Invalid Order Qualifier
  • 1014: User Not Authorized
  • 2013: Market Orders Not Supported By Opposite
  • 2019: Invalid Expire Date
  • 2044: Order Not In Book
  • 2045: Order Not In Book2
  • 2046: Disclosed Qty Cannot Be Greater
  • 2047: Unknown Contract
  • 2048: Cancel With Different Sender Comp Id
  • 2049: Clordid Different Than Correlationclordid
  • 2050: Clordid Different Than Originalclordid
  • 2051: Different Side
  • 2052: Different Group
  • 2053: Different Security Type
  • 2054: Different Account
  • 2055: Different Qty
  • 2056: Cancel With Different Trader Id
  • 2058: Stop Price Must Be Greater
  • 2059: Stop Price Must Be Smaller
  • 2060: Sell Stop Price Must Be Below Ltp
  • 2061: Buy Stop Price Must Be Above Ltp
  • 2100: Different Product
  • 2101: Different Inflight Fill Mitigation
  • 2102: Modify With Different Sender Comp Id
  • 2103: Modify With Different Trader Id
  • 2115: Order Qty Outside Allowable Range
  • 2130: Invalid Order Type For Pcp
  • 2137: Order Price Outside Limits
  • 2179: Order Price Outside Bands
  • 2311: Invalid Order Type For Group
  • 2500: Instrument Cross Request In Progress
  • 2501: Order Qty Too Low
  • 2600: Market Maker Protection Has Tripped
  • 4000: Engine did not respond
  • 5001: Euronext Unknown Order
  • 5020: Comp Id Problem
  • 5099: Euronext Other
  • 5300: Logon Problem
  • 5313: No Router For Security Group
  • 5314: Router Not Available Or Connected
  • 5318: Invalid Price
  • 5319: Invalid Ordqty
  • 5320: Invalid Ordtype
  • 5321: Invalid Side
  • 6000: Fully filled
  • 6001: Pending replace
  • 6002: Pending cancel
  • 7000: Order Rejected
  • 7001: Contract Not Gtc Gtd Eligible
  • 7009: Contract Past Expiration
  • 7011: Max Contract Working Qty Exceeded
  • 7015: Modify With Different Side
  • 7018: Contract Not Gtc Gtd Eligible2
  • 7020: No Trading Calendar For Expire Date
  • 7021: Expire Date Beyond Instrument Expiration
  • 7022: Expire Date Beyond Leg Instrument Expiration
  • 7024: Market In No Cancel
  • 7027: Invalid Order Type For Reserved Market
  • 7028: Order Session Date In Past
  • 7613: Disclosed Qty Cannot Be Smaller
  • 9999: Technical Error Function Not Performed
2404 ComplianceText C String

ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.

ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.

  • If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
  • If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).

Note: Orders will not be rejected by the exchange if this field is not populated.

Tag 2404 in the TT system behaves as follows:

  • ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
  • ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, "Compliance Text".
  • If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.
18222 AOTCPreventionActionType N int

Indicates the prevention action specified for internal crossing orders

Possible values include:

  • 0: None
  • 1: Held
  • 2: Cancel
  • 3: Fill
  • 4: Reduced order
  • 5: Reduced change
  • 6: Released order
  • 7: Replaced order
  • 8: No action on order
  • 9: Cancel replace
18227 Organization N String User-defined name of the trader's organization.
Component: <Trader>
Y Information about the trader routing the order.

For additional information about this component group, consult the full documentation.
Tag # Field Name Req'd Data type Comments
1 Account C String

Order-routing account

The value matches the Tag 1 (Account) in the corresponding request.

Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account).

Condition: Sent when available.

Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).

582 CustOrderCapacity C int

Capacity of customer placing the order

Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

Possible values include:

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

Condition: Sent when provided by the Exchange
10553 TTID C String

TT login email address

Condition: Sent when available
18220 BrokerID C String

TT-defined short code for the broker.

Condition: Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.

18221 CompanyID C String

TT-defined name of the firm that sends messages to the exchange

Condition: Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.

Note: If the Company Administrator specified a FIX Company ID for a managed user in Setup, that value is returned in this tag.

18101 AccountID C String

TT-defined ID of the TT account referenced in tag 1 (Account).

Condition: Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.

18102 UserID C String

TT-defined ID of the TT user referenced in tag 129 (DeliverToSubId)

Condition: Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.

58 Text C String

Additional information about the message

Condition: Sent with TT FIX needs to provide additional information
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
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: Sent only for staged orders (Tag 21 (HandlInst)=3)
16110 StagedOrderOwner C String

ID of the trader working the staged order.

Condition: Sent for staged orders (Tag 21 (HandlInst)=3)
21 StagedOrderStatus C char

Claim status of the staged order

Possible values include:

  • A: Staged order is available to claim
  • O: Staged order has been claimed

Condition: Sent for staged orders (Tag 21 (HandlInst)=3)
16115 ExternalSource N Boolean

Whether this message was imported from an external source.
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.
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.
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

For a list and descriptions of the parameter names TT uses to support TT Order Types, Autospreader and Aggregator orders, and Free-Form Text fields, refer to the Component: StrategyParametersGrp section of the TT FIX help.

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

Note In addition to names listed, TT uses the following reserved field names. These values must not be used when populating FIX Tag 958 (StrategyParameterName). TT strongly recommends clients use the individual tags as defined in the TT XML schema and shown below:

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
  • 8: Price
  • 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
16561 TimeReceivedFromExchange N String Time in UTC that an exchange execution report message was received by the TT order connector application.
16626 NVDR N Boolean

Related to TFEX Non-Voting Depository Receipt (NVDR) trading.

Note TFEX does not provide documentation to ISVs regarding usage of the NVDR (Tag 16626) and TTF (Tag 16627) fields. For information about how to use these fields, please contact the exchange.
16627 TTF N Boolean

Related to TFEX Thai Trust Fund (TTF) trading.

Note TFEX does not provide documentation to ISVs regarding usage of the NVDR (Tag 16626) and TTF (Tag 16627) fields. For information about how to use these fields, please contact the exchange.
16628 TFUserType N char

Sets the type of TFEX user that entered the order. Available values include:

  • T: Traditional trading
  • P: Program trading
  • M: Market Making
  • G: Market making with Program trading

Note For information on the TFEX user types, please refer to the exchange's documentation.
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
  • 33: Stager
  • 34: TT Score
  • 35: FIX Adapter Child Router
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.
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.
18216 ExchCred C String

Exchange order routing credential that was used to route the order

Condition: Sent when provided by the Exchange
16857 TTSMPID N String

User-defined, alphanumeric identifier used to tag orders so the TT system can match potential crossed trades.

Note TT Self-Match Prevention by ID (TT SMP) is currently available on a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use FIX Tag 7928 (SelfMatchPreventionID) and FIX Tag 8000 (SMPInstruction).

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html in the Setup help.
16858 TTSMPInstruction N int

Sets the TT SMP behavior and determines which order is canceled (resting or aggressing) if self-match prevention occurs.

TTSMPInstruction supports the following values:

  • 1: Reject New
  • 3: Cancel Resting
  • 4: Position Transfer
  • 6: Position Transfer Best Bid/Offer
  • 10: Position Transfer Allow Split
  • 11: Position Transfer Allow Split Best Bid/Offer

Note TT Self-Match Prevention by ID (TT SMP) is currently available on a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use FIX Tag 7928 (SelfMatchPreventionID) and FIX Tag 8000 (SMPInstruction).

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html in the Setup help.
Compliance Tags
 C

Compliance message tags 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 and when Tag 16566 (DropCopyOrder) = Y
Tag # Field Name Req'd Data type Comments
48 SecurityID N 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 N 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
  • 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
100 ExDestination N 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.
30 LastMkt N 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 N 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 N 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

541 MaturityDate C LocalMktDate

Maturity date in format YYYYMMDD.

Condition: Sent when Tag 167 (SecurityType) is not MLEG

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
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

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.
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.
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: <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 Order Cancel Reject (9) message is used by TT FIX to reject an Order Cancel Request (F) or Order Cancel Replace Request (G) message.