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
• AD: Trade Capture Report Request
• AE: Trade Capture Report
• AQ: Trade Capture Report Request Ack

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.

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:

• 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

Note 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.

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.
• Default: 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.

Name of the TT order type

For TT order types, possible values include:

• TT_Brisk (FIXatdl definition: rcm_brisk.xml.)
• TT_Close (FIXatdl definition: rcm_close.xml.)
• TT_POV (FIXatdl definition: rcm_pov.xml.)
• TT_Prowler (FIXatdl definition: rcm_prowler.xml.)
• TT_ScalePOV (FIXatdl definition: rcm_scalepov.xml.)
• TT_TWAP+ (FIXatdl definition: rcm_twap+.xml.)
• TT_VWAP+ (FIXatdl definition: rcm_vwap+.xml.)

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

Source of the algo

Possible values include:

• 3: Bank algo

Sets the order type for the parent order. Possible values for TT Premium Order /Types include:

• 1: Market
• 2: Limit
• 3: Stop Market
• 4: Stop Limit

Trigger price for a stop order. Only required when Tag 40 (OrdType) equals:

• 3: Stop Market
• 4: Stop Limit

Maximum Participation with relation to the eligible volume.

Note Algo engine manages percent conversions, e.g. for 20% the field should be set to '20' rather than '0.20'

Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic.

Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders.

Time to stop working the order.

Note Omission of ExpireTime and DurationRCM will default to close of trading.

Time to start working the order.

Note: Omit to start working the order when submitted.

Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+).

Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.

Possible values include:

• Model Driven: Uses the instrument's liquidity and volatility profile to determine the strength of the tilt.

  This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.

• Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.

Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.

This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.

Possible values include:

• Default (off)

• Aggressive More At Limit: When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away.

• Faster Near Limit: (Mild, Medium, Strong): In addition to the above behavior, the order will dynamically strengthen the tilt and trade faster as the market price approaches the limit price.

When calculating participation limits, all trades above this limit will be ignored.

Supports values 5-1,000,000.

Allows trader to select between trend following and reversionary behavior.

Supported values include:

• AP-Revert-Low
• AP-Revert-Med
• AP-Revert-High
• AP-Trend-Low
• AP-Trend-Med
• AP-Trend-High

Minimum participation with relation to the eligible volume.

Note Algo engine manages percent conversions, e.g. for 20% the field should be set to '20' rather than '0.20'

Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded Price is less/greater than or equal to Trigger Price. Can be used in combination with Stop and Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches either a profit taking or stop loss price.

The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes.

Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.

Overrides End Time, Duration, or the default with one of several values related to product hours.

Possible values include:

• 0: None
• 1: Last Session Close
• 2: Next Session Close
• 3: Settlement

Order duration from Start Time that sets the time allotted, in minutes, for an order to work in the market. This may be specified as an alternative to setting a value for EndTime.

Note Omission of ExpireTime and DurationRCM will default to close of trading.

Overrides End Time, Duration, or the default with one of several values related to product hours.

Possible values include:

• 0: None
• 1: Last Session Close
• 2: Next Session Close
• 3: Settlement

Maximum open display size per price level for TT Prowler orders.

Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show.

Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest passively priced child orders even if the limit price is marketable.

• No Pegging: Send at full limit price
• Primary Peg: Peg to the top quote.
• Second Level Peg: Peg to second book level.
• Third Level Peg: Peg to third book level.
• Primary Plus 1: Primary (passive) quote price, but improve the quote at 1 tick increments on the first posted order.
• Primary Plus 2: Primary (passive) quote price, but improve the quote at 2 tick increments on the first posted order.
• Primary Plus 3: Primary (passive) quote price, but improve the quote at 3 tick increments on the first posted order.

Note: Required when Num Post Levels is changed from the default value.

Specifies the number of price levels at which to post child orders when pegging.

When Passive Price Levels is set, additional resting orders may be set at subsequent price levels in order to hold queue priority.

Note Can be set to greater than 0 with Passive Price Level set to No Pegging (0). For example, you can statically layer child orders across n Num Post Levels to split up a parent order quantity starting from your limit price without dynamic repricing due to Passive Price Level logic.

Note Maximum value is 20.

Sets a random delay, in seconds, between sending new orders or replacing existing child orders.

When set to any value greater than 0, I Would Qty setting equals the minimum top of book quantity required before the order will cross the spread.

Similar to I Would Qty, but set as a percent of the order quantity.

Note : The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%.

Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing quote size falls to or below the set value.

The order will cross the spread when aggressive quote size falls to or below the value set by With A Tick Qty.

Similar to With A Tick Qty, but expressed as a percent of the order quantity.

Note : The field represents the number as a percent and should not be submitted as a decimal: a value of 70 equals 70%.

Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete near the end time.

Specifies how many minimum price increments apart to space passive orders resting across Num Post Levels.

If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.

Note This constraint takes precedence over I Would, With A Tick, Brisk Limit, and Cleanup % behaviors.

If enabled with Passive Price Level not set to No Pegging (0), avoids posting a passive order at the top of book price level if the order book dynamics are unfavorable.

Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in each direction.

Note This field represents the number as a percent and should not be submitted as a decimal. For example, a value of 10 equals 10%.

For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be triggered based on available size being between 80-120, depending on randomized value selected within the variance range.

Note The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets

For TT Close orders

Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.

For TT Brisk orders

Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.

Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.

Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg order.

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
• 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

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

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

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
• 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

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
• D: 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.

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.

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).