TT® FIX Recovery

Recovery Request (U2) Message

Recovery Request (U2) Message

Recovery Request (U2) Message

Purpose

Used to submit a FIX Recovery Service request for all order and fill activity during a specific period of time or only missed messages from the beginning of the session (last session reset time).

Message Direction

From FIX client to TT FIX

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=U2 (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 must be the first tag in the message.

You must set the value to 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)
  • 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
49 SenderCompID Y String

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

56 TargetCompID Y String

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.

50 SenderSubID N String

Unique ID for the message sender

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

57 TargetSubID C String

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.

116 OnBehalfOfSubID C String

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.

34 MsgSeqNum Y SeqNum

Message sequence number
142 SenderLocationID N string Specific message originator's location (i.e. geographic location and/or desk, trader)
43 PossDupFlag C Boolean

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.

122 OrigSendingTime C UTCTimestamp

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

Always expressed in UTC.

Condition: Required for resent messages
52 SendingTime Y UTCTimestamp

Time, in UTC, the message was sent.
916 StartDate Y UTCTimestamp

Start time of the range for the recovery request

Note The StartDate (916) and EndDate (917) tags should not be used if the request will include CustomMode (18002). If these tags are sent in addition to CustomMode (18002), no recovered messages will be sent and the FIX Drop Copy client will be logged out.

917 EndDate Y UTCTimestamp

End time of the range for the recovery request

Note The value cannot identify a future time.

NoteThe StartDate (916) and EndDate (917) tags should not be used if the request will include CustomMode (18002). If these tags are sent in addition to CustomMode (18002), no recovered messages will be sent and the FIX Drop Copy client will be logged out.

18002 CustomMode N Boolean

If set to true (for example: y, t, 1), a reconciliation query will be performed. FIX will search all messages from the beginning of the session (last session reset time) up to the most recent message sent and will send only those messages not previously sent.

Note This tag should not be used for a Recovery Service request if the request will also include the StartDate (916) and EndDate (917) tags. If this tag is sent in addition to the StartDate (916) and EndDate (917) tags, no recovered messages will be sent and the FIX Drop Copy client will be logged out.
207 SecurityExchange N Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the security. When the optional tag 207 specifies a native exchange, only order and fill activity for that native market will be recovered. TT Synthetic activity will not be included in the results.

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
OR
100 ExDestination N Exchange

Name of the sub-market where the instrument trades. When the optional tag 100 is specified, only order and fill activity for that native market will be recovered. TT Synthetic activity will not be included in the results.

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.
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 Recovery Request (U2) message is used to request all order acknowledgements and fills that occurred during a specific time range for either a single market or for all markets. FIX Drop Copy clients typically use this message to download missing data after some technical issue has caused the FIX client to miss significant gaps.

Note This message can be sent only for a FIX Recovery session. Also, when logging in to the session, the Logon (A) message must set tag 34 (MsgSeqNum) to 1 and omit tag 43 (PossDupFlag).

You can request data for a single market by specifying either tag 207 (SecurityExchange) or tag 100 (ExDestination). When specifying a specific market using either of these tags, both the native exchange orders and TT synthetic activity will be included in the recovery.

You can request data for all accessible markets by omitting both tags. In repsonse to this request, TT FIX sends a series of Execution Report (8) and Order Cancel Reject (9) messages.