Routing DMA orders to various exchanges
Routing DMA orders to various exchanges
Routing DMA orders using the TT FIX Order Routing Service involves a fix
client submitting a
New Order Single (D)
message. TT FIX will respond with one of the following:
-
An
Execution Report (8)
message acknowledging the order
- An Execution Report (8) message rejecting the order
Note A
Business Message Reject (j)
message can also be sent for business reasons, such as missing a field that is
conditionally required.
Routing DMA Orders
Users may leverage TT FIX to submit Direct Market Access (DMA) orders.
Examples of Routing Market, Limit, and Stop Orders
CME GE using tag 55
Sample Message
8=FIX.4.2 | 9=175 | 35=D | 49=jerome | 56=ORDER | 34=14 | 52=20200624-15:15:37 | 11=1066820586 | 21=1 | 55=GE | 54=1 | 40=2 | 44=9824.00 | 38=4 | 1=jeromedc | 207=CME | 167=FUT | 200=202009 | 116=jhayes3 | 582=4 | 21=1 | 1031=W | 10=186 |
8=FIX.4.2 | 9=00860 | 35=8 | 49=ORDER | 56=jerome | 34=582 | 50=JHAYES | 142=US,IL | 52=20200624-15:15:37.119 | 129=jhayes3 | 37=974918ca-3e73-46a2-8735-09bb0ee7249f | 198=821113537019 | 526=1592762431875 | 527=82681:2380900 | 11=1066820586 | 10011=3 | 453=3 | 448=1 | 452=200 | 447=D | 448=omnibus | 452=1 | 2376=22 | 447=D | 448=JEROMEDC | 452=83 | 447=D | 17=97hMpN997iyDncV1SJQw8w | 20=0 | 150=0 | 18=2 | 39=0 | 1=jeromedc | 55=GE | 107=Eurodollar Futures | 460=6 | 48=14856497881718443706 | 167=FUT | 200=202009 | 541=20200914 | 205=14 | 207=CME | 100=XCME | 461=FFDXSX | 15=USD | 18211=M | 54=1 | 38=4 | 40=2 | 44=9824 | 59=0 | 151=4 | 14=0 | 6=0 | 60=20200624-15:15:37.095000 | 442=1 | 1028=N | 18216=L18004 | 582=4 | 10553=jerome.hayes@tradingtechnologies.com | 18220=DTS | 18221=DTS | 21=1 | 18223=202009 | 454=4 | 455=GEU0 | 456=98 | 455=GE Sep20 | 456=97 | 455=1EDU0 | 456=5 | 455=843520 | 456=8 | 16999=JEROMEDC | 16561=20200624-15:15:37.110834 | 16117=10 | 16612=97hMpN997iyDncV1SJQw8w | 18218= | 18226=0 | 1031=W | 10=189 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 200 |
Maturity Date |
Indicated the year and month the instrument reaches maturity
|
| 167 |
SecurityType |
Indicates the Security Definition for each leg (FUT)
|
| 55 |
Symbol |
Sets the instrument as the CME Eurodollar contract
|
CME (FUT) Stop Limit using OrdType tag 40
Sample Message
8=FIX.4.2 | 9=190 | 35=D | 34=25 | 49=WTEODTSOR | 52=20200731-02:36:55 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=559968237 | 167=FUT | 207=CME | 55=GE | 200=202012 | 38=10 | 40=4 | 44=9969.5 | 99=9970.0 | 54=2 | 59=0 | 60=20051205-09:11:59 | 10=006 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 40 |
Order Type |
Sets the order type to Stop Limit
|
| 59 |
Time in Force |
Set the time in force restriction to Day
|
| 99 |
Stop Price |
Sets the value of the stop price
|
OSE Market IOC using OrdType tag 40
Sample Message
8=FIX.4.2 | 9=171 | 35=D | 34=12 | 49=WTEODTSOR | 52=20200731-02:25:29 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=29907610 | 200=202009 | 167=FUT | 207=OSE | 55=NK225 | 38=1 | 40=1 | 54=1 | 59=3 | 60=20051205-09:11:59 | 10=120 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 40 |
Order Type |
Sets the order type to Market Order
|
| 59 |
Time in Force |
Set the time in force restriction to
Immediate or Cancel (IOC)
|
SGX Limit Order using OrdType tag 40
Sample Message
8=FIX.4.2 | 9=202 | 35=D | 34=33 | 49=WTEODTSOR | 52=20200709-02:21:50 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=50246697 | 48=16919685603007881189 | 55=NK | 167=FUT | 207=SGX | 200=202112 | 44=23000 | 54=1 | 38=10 | 40=2 | 59=1 | 60=20051205-09:11:59 | 10=119 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 40 |
Order Type |
Sets the order type to Limit Order
|
| 59 |
Time in Force |
Set the time in force restriction to
Good Till Cancel (GTC)
|
Routing Muti-Leg Instruments
ASX Multiple Leg Bundle using SecurityType tag 167
Sample Message
8=FIX.4.2 | 9=570 | 35=D | 52=20200731-14:35:54 | 49=WTEODTSOR | 56=TT_ORDER | 34=747 | 11=548372122 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XSFE | 207=ASX | 167=MLEG | 55=BB | 44=90 | 38=17 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Bundle | 555=8 | 600=BB | 609=FUT | 616=ASX | 610=202009 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202012 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202103 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202106 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202109 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202112 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202203 | 624=1 | 623=1 | 600=BB | 609=FUT | 616=ASX | 610=202206 | 624=1 | 623=1 | 10=165 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 762 |
Security Sub Type |
Sets the security sub type to Bundle
|
| 555 |
Number of Legs |
Set the number of legs for the spread.
|
CME Multiple Leg Straddle using tag 167
Sample Message
8=FIX.4.2 | 9=337 | 35=D | 52=20200714-04:36:08 | 49=WTEODTSOR | 56=TT_ORDER | 34=1208 | 11=87183957 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=CME | 207=CME | 167=MLEG | 55=6M | 44=3100 | 38=5 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Straddle | 555=2 | 600=6M | 609=OPT | 616=CME | 610=202011 | 612=43000 | 1358=1 | 624=1 | 623=1 | 600=6M | 609=OPT | 616=CME | 610=202011 | 612=43000 | 1358=0 | 624=1 | 623=1 | 10=172 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 762 |
Security Sub Type |
Sets the security sub type to Straddle
|
| 555 |
Number of Legs |
Set the number of legs for the spread.
|
CME Multiple Leg Strangle using tag 167
Sample Message
8=FIX.4.2 | 9=331 | 35=D | 52=20200731-13:54:10 | 49=WTEODTSOR | 56=TT_ORDER | 34=704 | 11=106682623 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XCME | 207=CME | 167=MLEG | 55=GE | 44=175 | 38=20 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Strangle | 555=2 | 600=GE | 609=OPT | 616=CME | 610=202109 | 612=9800 | 1358=0 | 624=1 | 623=1 | 600=GE | 609=OPT | 616=CME | 610=202109 | 612=9812.5 | 1358=1 | 624=1 | 623=1 | 10=178 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 762 |
Security Sub Type |
Sets the security sub type to Strangle
|
| 555 |
Number of Legs |
Set the number of legs for the spread.
|
Euronext Multiple Leg Butterfy Spread using tag 167
Sample Message
8=FIX.4.2 | 9=422 | 35=D | 52=20200731-14:14:33 | 49=WTEODTSOR | 56=TT_ORDER | 34=725 | 11=331623331 | 1=WTEO_DTS01 | 116=WTeoDTS | 100=XMON | 207=Euronext | 167=MLEG | 55=jPXA | 44=0.6 | 38=4 | 40=2 | 54=2 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Butterfly | 555=3 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54200 | 1358=1 | 624=1 | 623=1 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54400 | 1358=1 | 624=2 | 623=2 | 600=jPXA | 609=OPT | 616=Euronext | 610=202103 | 612=54800 | 1358=1 | 624=1 | 623=1 | 10=049 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 762 |
Security Sub Type |
Sets the security sub type to Butterfly
|
| 555 |
Number of Legs |
Set the number of legs for the spread.
|
ICE Multiple Leg Calendar Spread using tag 167
Sample Message
8=FIX.4.2 | 9=322 | 35=D | 52=20200715-07:56:04 | 49=WTEODTSOR | 56=TT_ORDER | 34=27 | 11=43458791 | 1=WTEO_DTS01 | 116=WTeoDTS | 207=ICE | 167=MLEG | 55=BRN | 44=0.93 | 38=1 | 40=2 | 54=1 | 59=0 | 77=0 | 60=20181016-15:17:16.000 | 762=Calendar | 555=2 | 600=BRN | 609=FUT | 616=ICE | 610=202007 | 611=20200731 | 624=1 | 623=1 | 600=BRN | 609=FUT | 616=ICE | 610=202010 | 611=20201030 | 624=2 | 623=1 | 10=058 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 762 |
Security Sub Type |
Sets the security sub type to Calendar
|
| 555 |
Number of Legs |
Set the number of legs for the spread.
|
Routing Option Orders
Eurex Outright Options using tag 167
Sample Message
8=FIX.4.2 | 9=211 | 35=D | 34=74 | 49=WTEODTSOR | 52=20200731-03:25:49 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=496906635 | 207=Eurex | 167=OPT | 55=ODAX | 200=202008 | 201=1 | 202=10500 | 38=80 | 40=2 | 44=8461 | 54=1 | 59=6 | 432=20200830 | 60=20051205-09:11:59 | 10=191 |
Tag Descriptions
Use the following tags to help with order routing:
| Tag # |
Field Name |
Comments |
| 201 |
Put or Call |
Indicated order is a call option
|
| 202 |
Strike Price |
Set the value of the strike price
|