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.

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.

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
• 6: Indication Of Interest
• 7: Advertisement
• 8: Execution Report
• 9: Order Cancel Reject
• a: Quote Status Request
• A: Logon
• B: News
• b: Quote Acknowledgement
• C: Email
• c: Security Definition Request
• D: Order Single
• d: Security Definition
• E: Order List
• e: Security Status Request
• f: Security Status
• F: Order Cancel Request
• G: Order Cancel Replace Request
• g: Trading Session Status Request
• H: Order Status Request
• h: Trading Session Status
• i: Mass Quote
• j: Business Message Reject
• J: Allocation
• K: List Cancel Request
• k: Bid Request
• l: Bid Response
• L: List Execute
• m: List Strike Price
• M: List Status Request
• N: List Status
• P: Allocation Ack
• Q: Dont Know Trade
• R: Quote Request
• S: Quote
• T: Settlement Instructions
• V: Market Data Request
• W: Market Data Snapshot Full Refresh
• X: Market Data Incremental Refresh
• Y: Market Data Request Reject
• Z: Quote Cancel

• 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
• AE: Trade Capture Report

ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup

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.

Unique ID for the message sender

For order routing messages, this tag overrides the exchange Operator ID configured in Setup.

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.

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.

• New Order Single (D)
• Order Cancel Request (F)
• Order Cancel Replace Request (G)
• Order Status Request (H)

Message sequence number

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.

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Required for resent messages

Time, in UTC, the message was sent.

Name of the TT order type

For TT order types, possible values include:

• TT_Bracket (FIXatdl definition: TT_Bracket.xml.)
• TT_Iceberg (FIXatdl definition: TT_Iceberg.xml.)
• TT_If_Touched (FIXatdl definition: TT_IfTouched.xml.)
• TT_OCO (FIXatdl definition: TT_OCO.xml.)
• TT_Retry (FIXatdl definition: TT_Retry.xml.)
• TT_Stop (FIXatdl definition: TT_Stop.xml.)
• TT_Time_Duration (FIXatdl definition: TT_TimeDuration.xml.)
• TT_Time_Sliced (FIXatdl definition: TT_TimeSliced.xml.)
• TT_Timed (FIXatdl definition: TT_Timed.xml.)
• TT_Trailing_Limit (FIXatdl definition: TT_TrailingLimit.xml.)
• TT_TWAP (FIXatdl definition: TT_TWAP.xml.)
• TT_WithATick (FIXatdl definition: TT_WithATick.xml.)

For custom algos, the name must match the one specified by the algo creator.

Source of the algo

Possible values include:

• 0: Custom algo
• 1: TT Order type
• 3: Bank algo

Currently, TT supports only 1 (TT Order type).

Order type for the parent order

Possible values include:

• 0: Limit
• 1: Stop Limit
• 2: Stop Market

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

Number of ticks away from the Stop price to submit a Limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

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.

Note: The "Plus" enums indicate that the TIF is available for the after hours (ATH) T + 1 session.

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

Amount of the total order quantity to disclose (1 to maxint)

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced

Unused, otherwise.

What the DiscVal represents

Possible values include:

• 1: Absolute quantity
• 2: Percentage of the total order quantity

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced

Unused, otherwise.

Action to take for any unfilled balance when the End time is reached. Currently, the only supported value is 1 (Cancel).

Optional for all TT Order types.

Length of the slice, in milliseconds

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

Indicates whether the trigger price trails the trigger price type by some number of ticks. Possible values include: Y or N.

Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit

Optional, otherwise.

How to handle any existing unfilled order quantities when it is time to send the next portion.

Possible values include:

• 0: Leave
• 1: Payup

Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

Number of ticks to add or subtract from your Bid or Offer to determine the price of the limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_Time_Sliced

Unused, otherwise.

Type of price for the ticks away offset.

Possible values include:

• 1: Bid
• 2: Ask
• 3: LTP
• 4: Trigger
• 6: Same side
• 7: Opposite side

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit.

Optional, otherwise.

Number of ticks away from the specified limit price to submit the order (-999 to 999)

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit.

Optional, otherwise.

Price at which to trigger the Stop Market or Stop Limit order.

Optional when tag 16847 (TargetStrategyName) is: TT_OCO.

Unused, otherwise.

Initial price for the profit order in the OCO pair, as follows:

• Price = Entry Order Fill Price + Profit target setting, if the TT Bracket order was a bid.
• Price = Entry Order Fill Price - Profit target setting, if the TT Bracket order was an offer.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO.

Unused, otherwise.

Order type of the stop-loss order. Possible values include:

• 1: Limit
• 2: Market
• 3: TT Stop

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO.

Unused, otherwise.

Initial price for the stop loss order in the OCO pair, as follows:

• Price = Entry Order Fill Price + Stop loss setting, if the TT Bracket order was a bid.
• Price = Entry Order Fill Price - Stop loss setting, if the TT Bracket order was an offer.

Condition: Required when tag 16847 (TargetStrategyName) is: TT_Bracket.

Unused, otherwise.

Type of order trigger.

Possible values include:

• 1: Bid
• 2: Ask
• 3: LTP
• 6: Same side
• 7: Opposite side

Condition: Required when tag 16847 (TargetStrategyName) is: TT_If_Touched or TT_Stop.

Optional when tag 16847 (TargetStrategyName) is: TT_Iceberg or TT_Time_Sliced.

Unused, otherwise.

Number of ticks away from the specified price to submit the child order

Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit.

Optional, otherwise.

Price at which to trigger the order.

Possible values include:

• 1: Stop
• 2: If-Touched

Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit.

Optional, otherwise.

Whether the WAT threshold represents a specific quantity or a percentage of the order quantity.

Possible values include:

• 1: Qty
• 2: Percent

Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.

Optional, otherwise.

WAT threshold quantity.

Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.

Optional, otherwise.

Type of quantity trigger. Possible values include:

• 1: Qty
• 2: Percent

Test to use when comparing trigger quantities. Possible values include:

• 3: Less than or equal to
• 5: Greater than or equal to

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

• Y: Yes
• N: No

Type of price to use to the TT Stop child order

Possible values include:

• 1: Bid
• 2: Ask
• 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).

Possible values include:

• 1: Qty
• 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Threshold for the With A Tick behavior that reprices the order one tick toward the market when available quantity at the opposite inside market is at or below the specified quantity threshold

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Number of ticks from the specified price to submit the Limit order

Type of trigger for the TT Stop order.

Possible values include:

• 1: Bid
• 2: Ask
• 3: LTP

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.

Possible values include:

• Y: Yes
• N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Number of ticks away from the specified price to submit the child orders of the TT Stop order

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Type of quantity trigger for the TT Stop order.

Possible values include:

• 1: Qty
• 2: Percent

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Test to use when comparing TT Stop order trigger quantities.

Possible values include:

• 3: Less than or equal to
• 5: Greater than or equal to

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.

Possible values include:

• Y: Yes
• N: No

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Type of order to submit when triggered.

Possible values include:

• 1: Market
• 2: Limit
• 3: MLM

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

price for the TT Stop child Limit order.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Number of times (0-32,000) to resend a rejected order.

Number of milliseconds (0-100,000) between retry attempts.

Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).

Number of time units (tag 19645) between each disclosed order portion of a TT Time Duration order.

Time unit to use for the duration (tag 16944) of a TT Time Duration order.

Possible values include:

• 1: Hour
• 2: Minute
• 3: Second

Time to start submitting child orders of a TT Time Duration order.

Time to stop submitting child orders of a TT Time Duration order.

When to execute the LeftoverAction (tag 16909) for an order interval.

Possible values include:

• 0: At End
• 1: Halflife

If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.

Possible values include:

• Y: Yes
• N: No

Time-in-force of a parent synthetic order.

Possible values include:

• 1: Day
• 2: GTC
• 7: Time

Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.

Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.

Possible values include:

• Y: Yes
• N: No

Type of trigger for the second contion of at TT Stop or TT If-Touched order.

Possible values include:

• 1: Bid
• 2: Ask
• 3: LTP
• 6: Same side
• 7: Opposite side

Type of trigger for the second condition of at TT Stop or TT If-Touched order.

Possible values include:

• Y: Yes
• N: No

Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.

Type of quantity trigger for the secondary condition.

Possible values include:

• 1: Qty
• 2: Percent

Test to use when comparing trigger quantities. Possible values include:

Possible values include:

• 3: Less than or equal to
• 5: Greater than or equal to

Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.

Percentage (0-100) by which to vary the child order quantity.

Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Maerkt).

When to start working the parent order.

Possible values include:

• 0: Now
• 1: Time
• 2: PreOpen
• 3: Open

Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).

The maximum size of a child order lot in relation to the total parent order quantity.

Defines how the algorithm lays out the slices and execution options.

• Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
• Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
• Passive: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.

The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.

The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).

Time to start working the order.

Note: Omit the tag to start working the order when submitted.

Optional for all TT Order types.

Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.

Time to stop working the order.

Note: Omit the tag to work the order until the market closes (GTC).

Optional for all TT Order types.

TT security ID that uniquely identifies the instrument in the TT platform.

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
• X: Series key
• A: Bloomberg Code
• S: OpenFIGI ID

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

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

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.

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.

Month and year the instrument reaches maturity in the format YYYYMM.

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

New tag for TT

Maturity date in format YYYYMMDD.

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

Day of expiration for the instrument.

Range: 1-31

Condition: Sent when multiple contracts exist for the same month

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
• 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

Condition: Sent when the delivery term is not monthly

Date for contract delivery

Condition: Sent when available

Whether the option represents a put or call

Possible values include:

• 0: Put
• 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

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.

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 sent 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.

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).