TT® FIX Order Routing

Trade Capture Report (AE) Message

Trade Capture Report (AE) Message

Trade Capture Report (AE) Message

Purpose

Used to report trades between counterparties

Message Direction

From TT FIX to a FIX client

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: <Standard Header>
Y 35=AE (MsgType)
For additional information about this component group, consult the full documentation.
Tag # Field name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag is always the first tag in the message.

The value is either FIX.4.2 or FIX.4.4.

9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.

35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 8: Execution Report
  • 9: Order Cancel Reject
  • A: Logon
  • B: News
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • H: Order Status Request
  • Q: Don't Know Trade (Inbound Drop Copy only)
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AE: Trade Capture Report
49 SenderCompID Y String

ID of the FIX session

The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.

56 TargetCompID Y String

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

The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.

50 SenderSubID C String

Unique ID for the message sender

For CME, the value corresponds to the Operator ID.

Condition: Sent if TT User Setup specifies an exchange operator ID

142 SenderLocationID N string Specific message originator's location (i.e. geographic location and/or desk, trader)
116 OnBehalfOfSubID N Data type: String

New tag for TT

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.

129 DeliverToSubID C String

Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.

Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.

34 MsgSeqNum Y SeqNum

Message sequence number.

43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Sent when TT FIX resends messages

97 PossResend C Boolean

Whether the message might contain information that has been sent under another sequence numbe

Possible values include:

  • Y: Possible resend
  • N: Original transmission

Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.

122 OrigSendingTime C UTCTimestamp

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

Always expressed in UTC.

Condition: Sent when TT FIX resends a message

52

SendingTime

Y UTCTimestamp

Time, in UTC, the message was sent.

571 TradeReportID N String

Unique identifier of trade capture report.

Note: In Trade Capture Report messages, this value is restricted and cannot be modified by TT FIX rules.

572 TradeReportRefId N String

Reference identifier used with CANCEL and REPLACE transaction types

17 ExecID N string

Unique identifier for this execution report.

This report ID remains unique until TT FIX resets.

Note: Do not try to interpret or parse the value.

150 ExecType N char

Indicates the reason for sending this Trade Capture Report

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 3: Done for day
  • 4: Canceled
  • 5: Replaced
  • 6: Pending cancel
  • 7: Stopped
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • B: Calculated
  • C: Expired
  • D: Restated
  • E: Pending replace
  • F: Trade
  • G: Trade correction (same as 20=2 in FIX 4.2)
  • H: Trade cancel (same as 20=1 in FIX 4.2)
  • I: Order status (same as 20=3 in FIX 4.2)
  • J: Trade in a clearing hold
  • K: Trade has been released to clearing
  • L: Triggered or activated by system
487 TradeReportTransType N int

Trade Report message transaction type

Possible values include:

  • 0: New
  • 1: Cancel
  • 2: Replace
  • 3: Release
  • 4: Reverse
  • 5: Cancel du to back out of trade
  • 101: Inquire
  • 102: Accept
  • 999: Unknown
829 TrdSubType N int

Further qualification to the trade type.

Possible values include:

  • 1: Arbitrage
  • 2: Combination
  • 3: Cross Trade
  • 4: Exchange for Physical
  • 5: Position Consolidation
  • 6: Rollover
  • 7: Other
856 TradeReportType N int

Type of trade report

Possible values include:

  • 0: Submit
  • 1: Alleged
  • 2: Accept
  • 3: Declie
  • 5: No was
  • 6: Cancel
  • 11: Alleged new
  • 13: Alleged no was
  • 999: Unknown
  • 1000: Clearing
16963 Seq N int

The sequence number for the Trade Capture Report and Trade Capture Report Ack for the Order Status.

1123 TradeHandlingInstr N char

Instructions for how the Trade Capture Report should be handled by the respondent

Possible values include:

  • 0: Trade confirmation
  • 1: Two-party report
  • 2: One-party report for matching
  • 3: One-party report for pass through
  • 4: Automated floor order routing
  • 7: Third-party report for pass through
828 TrdType N int

The type of wholesale trade.

Possible values include:

  • 0: Regular Trade
  • 1: Block Trade
  • 2: Exchange For Physical
  • 3: Transfer
  • 11: Exchange For Risk
  • 12: Exchange For Swap
  • 14: Exchange Of Options For Options
  • 51: Average Price (Eurex)
  • 54: Flexible Contract Trade (Eurex)
  • 1000: Volatility
  • 1001: EFP Financial
  • 1002: EFP Index Futures
  • 1003: Strategy Block Trade
  • 1004: Block Standard CF
  • 1005: Block Combination CF
  • 1006: EFS EFP CF
  • 1007: Block Internal CF
  • 1008: Portfolio CF
  • 1009: Correction CF
  • 1010: Block Combination Buyer CF
  • 1011: Block Combination Seller CF
  • 1012: EFS EFP Combination CF
  • 1013: EFS EFP Combination Buyer CF
  • 1014: EFS EFP Combination Seller CF
  • 1015: OTC Standard CIO
  • 1016: OTC Combination CIO
  • 1017: OTC Combination Buyer CIO
  • 1018: OTC Combination Seller CIO
  • 1019: Standard Trade CD
  • 1020: Standard Outside Spread CD
  • 1021: Combination CD
  • 1022: Old CD
  • 1023: Internal CD
  • 1024: Portfolio CD
  • 1025: Correction CD
  • 1026: Exchange Granted FD
  • 1027: Standard Outside FD
  • 1028: Off Hours FD
  • 1029: Block FD
  • 1030: Exch Granted Exceed Max Lot FD
  • 1031: Exch Granted Eml Off Hours FD
  • 1032: Exch Granted Late FD
  • 1033: Flex Contract Conversion FD
  • 1034: Ice Efrp
  • 1035: Iceblk
  • 1036: Basis
  • 1037: Volatility Contingent
  • 1038: Stock Contingent
  • 1039: CCX EFP
  • 1040: Other Clearing Value
  • 1041: N2EX
  • 1042: EEX
  • 1043: EFS EFP Contra
  • 1044: Efm
  • 1045: Ng EFP EFS
  • 1046: Contra
  • 1047: Cpblk
  • 1048: Bilateral Off Exch
  • 1049: OTC Privately Negotiated Trades
  • 1050: OTC Large Notional Off Facility Swap
  • 1051: Block Swap Trade
  • 1052: Large in Scale (Eurex)
  • 1053: Against Actual (Eurex)
  • 1054: Large in Scale Package (Eurex)
  • 1055: Guaranteed Cross (Eurex)
  • 1056: Request for Cross (Eurex)
  • 1057: EEP CD (NDAQ_EU)
  • 1058: Buyer and Seller No Clearing CD (NDAQ_EU)
  • 1059: Buyer No Clearing CD (NDAQ_EU)
  • 1060: Seller No Clearing CD (NDAQ_EU)
  • 1061: EEP No Fee CD (NDAQ_EU)
  • 1062: Match Exch Manually CD (NDAQ_EU)
  • 1063: Match Exch Combination CD (NDAQ_EU)
  • 1064: Future DS Future Combo CD (NDAQ_EU)
  • 1065: Block Nonfinancial CD(NDAQ_EU)
  • 1066: Exchange for Swap Options CD (NDAQ_EU)
  • 1067: Block Nonfinanical CP CF (NDAQ_EU)
  • 1068: Exchange for Swap Options CF ((NDAQ_EU)
  • 1069: Asset Allocation
  • 1070: Cross Contra Trade
  • 1071: Type Committed (MX/LSE/IDEM/CurveGlobal)
  • 1072: Type Internal (HKEX)
  • 1073: Type Inter-Bank (HKEX)
  • 1074: J-Net One-Sided (OSE)
  • 1075: J-Net Cross (OSE)
  • 9999: Unknown
32 LastShares N qty

Indicates the number of contracts that just filled

151 LeavesQty N qty

Number of contracts that are still working in the market

31 LastPx N Price

Price of this fill

If Tag 442 (MultiLegReportingType) is 2 (Leg), the value represents the price at which a leg of the spread filled. The message's Instrument Component identifies the filled leg.

6 AvgPx N Price

Average price of all fills on this order

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: If you want tag 60 to use millisecond precision, you can add a TrimTimestamp rule in the Setup app for the FIX profile.

75 TradeDate N LocalMktDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

1125 OrigTradeDate N LocalMktDate

Date of the original trade that is referenced in a subsequent trade transaction.

818 SecondaryTradeReportID N String

Secondary trade report identifier. Can be used to associate an additional identifier with a trade.

820 TradeLinkId N String

Used to link a group of trades together. Useful for linking a group of trades together for average price calculations.

1003 TradeId N String

Unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty

1126 OrigTradeId N String

Used to preserve original trade id when the original trade is being referenced in a subsequent trade transaction, such as a transfer

880 TrdMatchId N String

Identifier assigned to a trade by a matching system

20016 FutureReferencePrice N Price

Pass-through field for Options Trades, contain a reference price for the futures reference leg

Note: Valid only for NFX

442 MultiLegReportingType N char

Indicates what the Trade Capture Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.)

Possible values include:

  • 1: Single security
  • 2: Individual leg of multi-leg security
  • 3: Parent of multi-leg security (summary fill)
483 TransBkdTime N UTCTimestamp

Time at which the order was finalized between the buyer and seller prior to submission

1390 TradePublishIndicator N Int

New tag for TT

Indicates whether a trade should be reported via a market reporting service. The indicator governs all reporting services of the recipient.

Possible values include:

  • 0: Do not publish trade
  • 1: Publish trade
  • 2: Deferred Publication
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.

Component: <Instrument>
Y

Instrument associated with this message. For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
48 SecurityID Y String

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

22 IDSource N String

Source for the value of tag 48 (SecurityID).

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange symbol
  • 91: Ticker symbol
  • 96: TT security ID
  • 97: Alias
  • 98: Name
  • 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
207 SecurityExchange C Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify a 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

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

100 ExDestination C Exchange

Name of the sub-market where the instrument trades.

TT FIX uses this value to identify a security.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Sent when available for FIX 4.2 sessions

30 LastMkt C Exchange

Market of execution for last fill, or an indication of the market where an order was routed.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Sent when available for FIX 4.4 sessions

55 Symbol C String

Exchange-provided product symbol for the tradable product.

Conditions:

461 CFICode N String

Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

Note: For SPOT and CUR products, you must also specify the corresponding tag 167 (SecurityType) value.

167 SecurityType 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)

Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

460 Product N int Product type associated with the security.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
107 SecurityDesc N String Security description.
200 MaturityMonthYear C MonthYear

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

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

541 MaturityDate C LocalMktDate

New tag for TT

Maturity date in format YYYYMMDD.

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

205 MaturityDay C DayOfMonth

Day of expiration for the instrument.

Range: 1-31

Condition: Sent when multiple contracts exist for the same month

18223 ContractYearMonth N String

Contract term in the form, YYYYMM

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

18211 DeliveryTerm C char

Term of delivery for the instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • 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

743 DeliveryDate C LOCALMKTDATE

Date for contract delivery

Condition: Sent when available

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT

202 StrikePrice C Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT

9787 DisplayFactor C Float

Factor to use when multiplying prices sent from a FIX client and dividing prices sent from TT FIX

Condition: Sent only in Security Definition (d) messages when provided by the exchange

15 Currency C Currency

ISO-standard symbol for the instrument’s trading currency.

Condition: Sent unless an Order Status Request (H) message returns no orders in an Execution Report (8) message.

70 AllocID C String

Identifier assigned to a leg of a leg fill for ASX clearing purposes (clearing deal number).

Component: <SecurityAltIDGrp>
N

Instrument associated with this message. For additional information about this component group, consult the full documentation.

Tag # Field Name Req'd Data type Comments
454 NoSecurityAltID C int

Replaces 7.X tag 10454 (NoSecurityAltID)

Number of alternate security IDs contained in this repeating group

Condition: Sent when there are one or more alternate security IDs

> 455 SecurityAltID Y String

Replaces 7.X tag 10455 (SecurityAltID)

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

> 456 SecurityAltIDSource C String

Replaces 7.X tag 10456 (SecurityAltIDSource)

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

Possible values include:

  • 4: ISIN number
  • 5: RIC code
  • 8: Exchange security ID
  • 91: Ticker Symbol
  • 92: TT product family ID (sent only for Security Definition (d) messages)
  • 93: TT product ID (sent only for Security Definition (d) messages)
  • 94: Alt Symbol (For ICE, the value is the "Cleared Alias" for the contract.)
  • 95: Clearport
  • 97: Alias
  • 98: Name
  • 99: Other (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.)
  • A: Bloomberg Code
  • S: OpenFIGI ID

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

Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):

  • ASX
  • DGCX
  • CFE
  • CME
  • EEX
  • EUREX
  • Euronext
  • Hkex
  • ICE
  • ICE_L
  • LME
  • MEFF
  • MX
  • OSE
  • SGX
  • TFX
  • TOCOM

Condition: Sent when tag 455 (SecurityAltId) is sent

762 SecuritySubType N String

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType(167)="MLEG" might use this tag to specify the name of the option or futures strategy, such as "Calendar", "Vertical", or "Butterfly"

Component: <LegInstrumentGrp>
C Group

Repeating group of legs in a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

Condition: Required when the value of tag 167 (SecurityType) is MLEG for New Order Single (D) and Order Cancel/Replace Request (G) messages.

Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

Tag # Field Name Req'd Data type Comments
555 NoLegs Y String

Replaces 7.X tag 146 (NoRelatedSym)

Number of legs in the repeating group

Can be zero (e.g. standardized multileg instrument such as an Option strategy). The value must be provided even if zero.

> 616 LegSecurityExchange C Exchange

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

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

Possible values include:

  • AGGREGATOR
  • ALGO
  • ASE
  • ASX
  • B3
  • BitMEX
  • BrokerTec
  • CBOE
  • CBOT
  • CFE
  • CME
  • Coinbase
  • CoinFLEX
  • CurveGlobal
  • CZCE
  • DCE
  • DGCX
  • EEX
  • Eurex
  • Euronext
  • Fenics
  • FEX
  • HKEX
  • ICE
  • ICE_L
  • IDEM
  • INE
  • KCG
  • KRK
  • LME
  • LSE
  • MEFF
  • MEXDER
  • MX
  • MX
  • NDAQ_EU
  • NFI
  • NFX
  • OSE
  • SGX
  • TFEX
  • TFX
  • TOCOM

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.
OR
> 18100 LegExDestination C Exchange

New tag for TT

Execution destination for the leg order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.
OR
> 602 LegSecurityId C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

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

Condition: Required when both of the following are true.

  • The leg instrument trades on a different exchange that the parent instrument.
  • Both Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.

> 603 LegIDSource C String

Replaces 7.X tag 309 (UnderlyingSecurityID)

Multileg instrument's individual security's SecurityIDSource.

Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.

> 600 LegSymbol N String

Replaces 7.X tag 311 (UnderlyingSymbol)

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

Condition: Required when Tag 167 (SecurityType)=MLEG.

See Symbol (55) field for description.

Note: Users can map the value of Tag 600 to a different symbology using the Symbol Mapping feature in User Setup. Refer to the Fix Rules and Symbol Mappings section in the User Setup Help for more information.

> 608 LegCFICode N String

Multileg instrument's individual security's CFICode (tag 461).

See CFICode (461) field for description

> 620 LegSecurityDesc N String

Leg security description.

> 607 LegProduct N String

Multileg instrument's individual security's product.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
> 609 LegSecurityType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

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

Possible values include:

  • FUT: Future
  • MLEG: Multi-leg
  • OPT: Option
  • SPOT: EEX spot products
  • TBOND: Treasury bond
  • CS: Common stock
  • NONE: No security type (Not valid for 35=c, e or V)
> 764 LegSecuritySubType N String

Replaces 7.X tag 310 (UnderlyingSecurityType)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

> 610 LegMaturityMonthYear N MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

> 611 LegMaturityDate N LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

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

> 18314 LegMaturityDay N DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

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

> 612 LegStrikePrice N Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

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

> 1358 LegPutOrCall C int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

> 624 LegSide N char

Replaces 7.X tag 16624 (LegSide)

The side of this individual leg (multi-leg security).

Possible values include:

  • 1: Buy
  • 2: Sell
  • 3: Buy minus
  • 4: Sell plus
  • 5: Sell short
  • 6: Sell short exempt
  • 7: Undisclosed
  • 8: Cross
  • 9: Cross short
> 623 LegRatioQty N Qty

Replaces 7.X tag 319 (RatioQty)

Ratio of quantity for this individual leg relative to the entire multi-leg security

The value represents one of the following:

  • For a leg of a covered strategy (such as a volatility trade) on CME or NYSE_Liffe markets, the value represents the delta (expressed as an integer between 1 and 100).
  • In all other cases, the value represents the quantity of this leg in the strategy.
> 556 LegCurrency N Currency

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

> 561 Roundlot N Qty

Replaces 7.X defined custom tag 16461 (LotSize)

The trading lot size of a security.

> 566 LegPrice N Price

Replaces 7.X tag 10566 (LegPrice)

Price of the leg for a multi-leg instrument

> 687 LegQty N Qty

Quantity of this leg.

> 654 LegRefID N string

Unique indicator for a specific leg.

Note: Sent only for FIX 4.4 sessions when the tag is included the corresponding New Order Multileg (AB) request. FIX 4.4 Drop Copy sessions will not send this tag for orders placed from the TT Trade application.

> 637 LegLastPx N Price

Execution price assigned to a leg of a multileg instrument.

> 18224 LegContractYearMonth N char Contract term of the underlying instrument in the form, YYYYMMM
> 18212 LegDeliveryTerm C char

Replaces 7.X tag 18212 (UnderlyingContractTerm)

Term of delivery for the underlying instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • H: Hour
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Required when both of the following are true:

  • The Security Definition indicates it is required.
  • The delivery term is not monthly.
> 18213 LegDeliveryDate C LOCALMKTDATE

New tag for TT

Date for contract delivery

Condition: Sent when available

> 1366 LegAllocID C String

Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number).

Condition: Sent when provided by the exchange.

> 16568 LegAvgPx C Price

The average (mean) price for the legs of a spread.

This value will be populated on Summary Spread Fill Execution Reports.

Component: <LegSecurityAltIDGrp>
N Group

Repeating group of security alt IDs for legs in a multileg instrument. For additional information about this group, consult the full documentation.

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

Replaces 7.X tag 146 (NoRelatedSym)

Number of alternate leg security IDs contained in this repeating group

Condition: Sent when there are one or more alternate leg security IDs

> 605 LegSecurityAltID Y String

Replaces 7.X tag 10456 (UnderlyingSecurityAltID)

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

> 606 LegSecurityAltIDSource Y String

New tag for TT

Class or source of the LegSecurityAltID (605) value.

Possible values include:

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

Repeating group of fills for this leg instrument.

Condition: Only used in Execution Report (8) messages when the FIX client is connected to a TT FIX 4.4 session.

Tag # Field Name Req'd Data type Comments
16120 LegNoFills C NumInGroup

Number of partial leg fills included in an Execution Report

Condition: Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. "sweeping the market". Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX.

Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.

> 16121 LegFillExecID C String

Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).

Condition: Sent when tag 16120 > 0

> 16122 LegFillPx C Price

Price of this leg fill

Condition: Sent when tag 16120 > 0

> 16123 LegFillQty C Qty

Quantity of this leg fill

Condition: Sent when tag 16120 > 0

> 16124 LegFillTradingVenueRegulatoryTradeID C String

Trading Venue transaction identification code of this leg fill

Condition: Sent if available when tag 16120 > 0

> 16125 LegFillLastLiquidityIndicator N int

Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group.

Possible values include:

  • 1: Added liquidity
  • 2: Removed liquidity
16624 AccountRiskGroup C String

Name of the risk group associated with the account specified in tag 1 (Account).

Condition: Sent only for FIX Drop Copy OUT sessions.

552 NoSides N NumInGroup

Repeating group for sides of the trade

> 54 Side N 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)
> 16849 SideTextA N String

New tag for TT

Populated when Order Tag Default values for the Text A field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

> 16850 SideTextB N String

New tag for TT

Populated when Order Tag Default values for the Text B field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

> 16851 SideTextC N String

New tag for TT

Populated when Order Tag Default values for the Text C field are defined in Setup.

Note: Only supported for HKEX Wholesale Orders.

Component: <Parties Group>
N Information about the entities involved in the financial transaction associated with this FIX message.

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

New tag for TT

Number of parties in the PartiesGrp repeating group

> 448 PartyID C String

New tag for TT

Party identifier code

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

  • 0: Own account; no client
  • 1: PNAL (Pending allocation)
  • 2: AGGR (Aggregated)
  • GU: CME give-up code (to override the Give-up code configured in Setup)
  • SX: SGX give-up code (to override the Give-up code configured in Setup)

Reserved when 452=12 (Executing trader) and 448=P (Short code):

  • 3: NORE: Execution decision outside firm

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

> 452 PartyRole C int

New tag for TT

Type or role of PartyID (tag 448)

Possible values include:

  • 1: Executing firm (formerly FIX 4.2 ExecBroker)
  • 2: Broker of credit
  • 3: Client id (formerly FIX 4.2 ClientID)
  • 4: Clearing firm (formerly FIX 4.2 ClearingFirm)
  • 5: Investor id
  • 6: Introducing firm
  • 7: Entering firm
  • 8: Locate
  • 9: Fund manager client id
  • 10: Settlement location
  • 11: Order origination trader
  • 12: Executing trader (associated with Executing Firm - actually executes)
  • 13: Order origination firm
  • 14: Giveup clearing firm
  • 15: Correspondant clearing firm
  • 16: Executing system
  • 17: Contra firm
  • 18: Contra clearing firm
  • 19: Sponsoring firm
  • 20: Underlying contra firm
  • 21: Clearing organization
  • 22: Exchange
  • 24: Customer account
  • 25: Correspondent clearing organization
  • 26: Correspondent broker
  • 27: Buyer seller
  • 28: Custodian
  • 29: Intermediary
  • 30: Agent
  • 31: Sub custodian
  • 32: Beneficiary
  • 33: Interested party
  • 34: Regulatory body
  • 35: Liquidity provider
  • 36: Entering trader
  • 37: Contra trader
  • 38: Position account
  • 39: Contra investor id
  • 40: Transfer to firm
  • 41: Contra position account
  • 42: Contra exchange
  • 43: Internal carry account
  • 44: Order entry operator id
  • 45: Secondary account number
  • 46: Foreign firm
  • 47: Third party allocation firm
  • 48: Claiming account
  • 49: Asset manager
  • 50: Pledgor account
  • 51: Pledgee account
  • 52: Large trader reportable account
  • 53: Trader mnemonic (NASDAQ_EU only)
  • 54: Sender location
  • 55: Session id
  • 56: Acceptable counterparty
  • 57: Unacceptable counterparty
  • 58: Entering unit
  • 59: Executing unit
  • 60: Introducing broker
  • 61: Quote originator
  • 62: Report originator
  • 63: Systematic internaliser
  • 64: Multilateral trading facility
  • 65: Regulated market
  • 66: Market maker
  • 67: Investment firm
  • 68: Host competent authority
  • 69: Home competent authority
  • 70: Competent authority of the most relevant market in terms of liquidity
  • 71: Competent authority of the transaction
  • 72: Reporting intermediary
  • 73: Execution venue
  • 74: Market data entry originator
  • 75: Location id
  • 76: Desk id
  • 77: Market data market
  • 78: Allocation entity
  • 79: Prime broker providing general trade services
  • 80: Step out firm
  • 81: Brokerclearingid
  • 82: Central registration depository
  • 83: Clearing account
  • 84: Acceptable settling counterparty
  • 85: Unacceptable settling counterparty
  • 122: Investment decision maker (IDM)
  • 200: Account code
  • 201: Takeup firm
  • 202: Clearing instruction
  • 203: Customer info
  • 204: Allocation entity ID
  • 205: Account type
  • 206: Giveup firm
  • 207: MIFID ID
  • 208: Composite MIFID ID (ICE only)
  • 209: CTI code
  • 210: LMA clearing account
  • 211: Authorized trader ID (ICE only)
  • 212: Frequent trader ID (CFE only)
  • 213: User (TFEX only)
  • 214: Member(TFEX only)
  • 215: Trading member(TFEX only)
  • 216: Clearing member(TFEX only)
  • 217: Acting user(TFEX only)
  • 218: Trader ID(TFEX only)
  • 219: Owner type(TFEX only)
  • 220: Routing Member ID (ICE only)
  • 221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to "SX" when mutually offsetting to SGX. Set 448 to "GU" for all other Give-ups on CME.)
  • 222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup.

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

> 2376 PartyRoleQualifier N char

Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448).

Possible values include:

  • 22: Algorithm
  • 23: Firm or legal entity
  • 24: Natural person

Default values are set for this tag when PartyRole (tag 452) is one of the following:

  • When 452=3 (Client ID), the default is 2376=23 (Firm).
  • When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person).
  • When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person).

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

> 447 PartyIdSource C char

Identifies class or source of the PartyID (448) value.

Possible values include:

  • 1: Korean investor ID
  • 2: Taiwanese qualified investor ID (QFII FID)
  • 3: Taiwanese trading account
  • 4: Malaysian central depository
  • 5: Chinese investor ID
  • 6: UK national insurance or pension number
  • 7: US social security number
  • 8: US employer or tax ID number
  • 9: Australian business number
  • A: Australian tax file number
  • B: BIC
  • C: Generally-accepted market participant identifier
  • D: Proprietary
  • E: ISO country code
  • F: Settlement entity location
  • G: MIC
  • H: CSD participant member code
  • I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document
  • P: Short code

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

> 37 OrderId N String

Unique identifier for order as assigned by sell-side

> 1 Account N String

Order-routing account for this side of the trade

> 80 AllocQty N String

Quantity to be allocated to the specified account

> 1047 AllocPositionEffect N String

Whether the resulting position after a trade should be an opening position or closing position

Possible values include:

  • O: Open
  • C: Close
  • R: Rolled
  • F: FIFO
  • N: Close but notify on open
  • D: Default
> 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.

10555 NoTCRLegs N NumInGroup

Number of leg instruments

> 637 LegLastPx N Price

Leg trade price

> 1418 LegLastQty N Qty

Leg trade quantity

> 1152 LegNumber N int

The leg sequence number for a strategy

> 18228 RoutingAccount N String

The routing account name configured in Setup

> 552 NoSides N NumInGroup

Repeating group for sides of the trade

> > 54 Side N 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)
> > 37 OrderId N String

Unique identifier for order as assigned by sell-side

> > 1 Account N String

Order-routing account for this side of the trade

> > 80 AllocQty N String

Quantity to be allocated to the specified account

> > 1047 AllocPositionEffect N String

Whether the resulting position after a trade should be an opening position or closing position

Possible values include:

  • O: Open
  • C: Close
  • R: Rolled
  • F: FIFO
  • N: Close but notify on open
  • D: Default
> 18102 UserID C String

New tag for TT

The TT User ID configured in User Setup.

UserID only displays if enabled via the Send TT Internal Account ID and User ID on Execution Reports And Cancel Reject Messages checkbox in User Setup.

58 Text N String

Additional information about the message.

> 10553 UserID C String

New tag for TT

The TTID configured in User Setup.

16112 NoLinks C int

Number of links contained in this repeating group

Condition: Sent when available

> 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 and receive Order ID values in short form 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

Component: <Standard Trailer>
Y For additional information about this component group, consult the full documentation.
Tag # Field Name Req’d Data type Comments
10 Checksum Y String

Unencrypted three-character checksum

This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

Message Notes

The Trade Capture Report (AE) message can be used to:

  • Report trades between counterparties
  • Report trades to a trade matching system
  • Peport unmatched and matched trades

Note: An order routing FIX session must enable the Send unsolicited order and fill messages option in the Setup application to receive these messages.