Component: <Standard Header>
|
Y |
|
35=G (MsgType) For additional information about this
component group, consult the full
documentation.
|
|
|
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.
Condition: Required only when price conversion based on symbol mappings is needed.
|
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:
|
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 |
New tag for TT
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 order will be rejected, as these values are valid only for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC) messages.
|
40 |
OrdType |
Y |
char |
Order type
Possible values include:
- 1: Market
- 2: Limit
- 3: Stop
- 4: Stop Limit
- 5: Market On Close (MOC)
- 8: Cross Order
- 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.
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.
|
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:
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.
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.
|
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
|
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.
|
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. |
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: <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.
|
|
Component: <StrategyParametersGrp>
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
- 9: 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
|
|
Component: <TargetStrategy>
|
Y |
|
Alternative to the
<StrategyParametersGrp>
repeating group for TT Order types, user-defined ADL algos, or third-party
algos.
Note: For informational fields (TextA and TextB), you
must use the
<StrategyParametersGrp>
repeating group.
Note: For drop copy order messages, with
Tag 16566 (DropCopyOrder) = Y, this group is not
sent; the information is returned in the <StrategyParametersGrp>
instead.
For additional information about this component group, consult
the full
documentation.
|
|
Component: <TargetStrategy>
Tag # |
Field Name |
Req'd |
Data type |
Comments |
16847 |
TargetStrategyName |
Y |
String |
Name of the TT order type
For TT order types, possible values include:
For custom algos, the name must match the one specified by the algo creator.
|
16848 |
TargetStrategyType |
Y |
String |
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).
|
16901 |
BracketOrderType |
C |
int |
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.
|
16902 |
BracketStopLimitOffset |
N |
String |
Number of ticks away from the Stop price to submit a Limit order.
Optional when tag 16847 (TargetStrategyName) is: TT_Bracket.
Unused, otherwise.
|
16903 |
ChildTIF |
Y |
string |
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.
|
16904 |
DiscVal |
C |
int |
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.
|
16905 |
DiscValType |
C |
int |
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.
|
16906 |
ETimeAct |
N |
int |
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.
|
16907 |
Interval |
C |
int |
Length of the slice, in milliseconds
Condition: Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced
Unused, otherwise.
|
16908 |
IsTrlTrg |
N |
String |
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.
|
16909 |
LeftoverAction |
C |
int |
How to handle any existing unfilled order quantities when it is time to send the next portion.
Possible values include:
Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced
Unused, otherwise.
|
16910 |
LeftoverTicks |
N |
int |
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.
|
16911 |
LimitPriceType |
C |
int |
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.
|
16912 |
LimitTicksAway |
C |
String |
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.
|
16913 |
OcoStopTriggerPrice |
N |
int |
Price at which to trigger the Stop Market or Stop Limit order.
Optional when tag 16847 (TargetStrategyName) is: TT_OCO.
Unused, otherwise.
|
16914 |
ProfitTarget |
C |
int |
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.
|
16915 |
StopLimitOffset |
C |
int |
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.
|
16916 |
StopOrderType |
C |
int |
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.
|
16917 |
StopTarget |
C |
String |
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.
|
16918 |
TriggerPriceType |
C |
int |
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.
|
16919 |
TriggerTicksAway |
N |
int |
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.
|
16920 |
TriggerType |
N |
int |
Price at which to trigger the order.
Possible values include:
Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit.
Optional, otherwise.
|
16921 |
WithATickType |
C |
int |
Whether the WAT threshold represents a specific quantity or a percentage of the order quantity.
Possible values include:
Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.
Optional, otherwise.
|
16922 |
WithATick |
N |
int |
WAT threshold quantity.
Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick.
Optional, otherwise.
|
16923 |
TriggerQtyType |
N |
int |
Type of quantity trigger. Possible values include:
|
16924 |
TriggerQtyCompare |
N |
int |
Test to use when comparing trigger quantities. Possible values include:
- 3: Less than or equal to
- 5: Greater than or equal to
|
16925 |
TriggerQty |
N |
int |
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity
on the Bid or the Ask.
|
16926 |
TriggerLTPReset |
N |
Boolean |
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the
trigger price.
Possible values include:
|
16927 |
TTStopLimitPriceType |
N |
int |
Type of price to use to the TT Stop child order
Possible values include:
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).
|
16928 |
TTStopWithATickType |
N |
int |
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Possible values include:
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).
|
16929 |
TTStopWithATick |
N |
int |
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).
|
16930 |
Payup |
N |
int |
Number of ticks from the specified price to submit the Limit order
|
16931 |
TTStopTriggerPriceType |
N |
int |
Type of trigger for the TT Stop order.
Possible values include:
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).
|
16932 |
TTStopIsTrlTrigger |
N |
Boolean |
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Possible values include:
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).
|
16933 |
TTStopTriggerTicksAway |
N |
int |
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).
|
16934 |
TTStopTriggerQtyType |
N |
int |
Type of quantity trigger for the TT Stop order.
Possible values include:
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).
|
16935 |
TTStopTriggerQtyCompare |
N |
int |
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).
|
16936 |
TTStopTriggerQty |
N |
int |
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).
|
16937 |
TTStopTriggerLTPReset |
N |
Boolean |
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the
trigger price.
Possible values include:
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).
|
16938 |
TTStopTriggeredOrderType |
N |
int |
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).
|
16939 |
TTStopTriggeredOrderPrice |
N |
Price |
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).
|
16941 |
TTStopPayup |
N |
int |
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).
|
16942 |
RetryCount |
N |
int |
Number of times (0-32,000) to resend a rejected order.
|
16943 |
RetryInterval |
N |
int |
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).
|
16944 |
Duration |
N |
int |
Number of time units (tag 19645) between each disclosed order portion of a TT Time Duration order.
|
16945 |
DurationBaseUnit |
N |
int |
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values include:
- 1: Hour
- 2: Minute
- 3: Second
|
16946 |
DurationSTime |
N |
UTC_Timestamp |
Time to start submitting child orders of a TT Time Duration order.
|
16947 |
DurationETime |
N |
UTC_Timestamp |
Time to stop submitting child orders of a TT Time Duration order.
|
16948 |
LeftoverTimeAction |
N |
int |
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values include:
|
16949 |
AutoResubExpiredGTD |
N |
Boolean |
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:
|
16950 |
ParentTIF |
N |
int |
Time-in-force of a parent synthetic order.
Possible values include:
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.
|
16951 |
TTStopSecondConditionIsOn |
N |
Boolean |
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:
|
16952 |
TTStopSecondTriggerPriceType |
N |
int |
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
|
16953 |
TTStopSecondConditionIsTrlTrg |
N |
Boolean |
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values include:
|
16954 |
TTStopSecondTriggerTicksAway |
N |
int |
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.
|
16955 |
TTStopSecondTriggerQtyType |
N |
int |
Type of quantity trigger for the secondary condition.
Possible values include:
|
16956 |
TTStopSecondTriggerQtyCompare |
N |
int |
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
|
16957 |
TTStopSecondTriggerQty |
N |
int |
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity
on the Bid or the Ask.
|
16958 |
Variance |
N |
int |
Percentage (0-100) by which to vary the child order quantity.
|
16960 |
ETAGoToMktTicks |
N |
int |
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906
(ETimeAct) is 2 (Go to Maerkt).
|
16961 |
WaitingOption |
N |
int |
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).
|
17007 |
MaxDisp |
Y |
int |
The maximum size of a child order lot in relation to the total parent order quantity.
|
17008 |
TWAPStyle |
Y |
int |
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.
|
17009 |
WouldIfPrc |
N |
Price |
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan
and aggressively fill as much quantity as possible.
|
17010 |
LimitPrc |
N |
Price |
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when
selling).
|
168 |
EffectiveTime |
N |
UTC_Timestamp |
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.
|
126 |
ExpireTime |
N |
UTC_Timestamp |
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.
|
|
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
|
18223 |
ContractYearMonth |
N |
String |
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
|
18227 |
Organization |
N |
String |
User-defined name of the trader's organization.
|
1724 |
OrderOrigination |
C |
int |
Identifies the origin of the order. whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer. The value corresponds to the Direct Electronic Access setting for Customer Defaults in Setup.
Valid values include:
- 5: Order from a direct access or sponsored access customer
- 99: Other
Condition: Required for exchanges subject to MiFID II regulations.
|
16566 |
DropCopyOrder |
C |
char |
Indicates the message is a drop copy order message. 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.
|
|
|
Component: <OrderAttributesGrp>
|
Y |
|
Attributes associated with the order
Condition: Sent when available
For additional information about this component group, consult the full
documentation.
|
|
<OrderAttributesGrp>
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:
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
- 33: Stager
- 34: TT Score
- 35: FIX Adapter Child Router
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.
|
16852 |
ParentVendorOrderID |
N |
String |
For internal TT use only
|
16853 |
ParentVendorUserID |
N |
String |
For internal TT use only
|
16854 |
ParentVendorAccountID |
N |
String |
For internal TT use only
|
16855 |
ParentVendorBrokerID |
N |
String |
For internal TT use only
|
16856 |
ParentVendorProfileID |
N |
String |
For internal TT use only
|
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.
|
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
|
|
|
Component: <Standard Trailer>
|
Y |
|
For additional information about this component group, consult the full
documentation.
|
|
|