New Order Multileg (AB) [4.4] Message

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Note: Users must subscribe to the FIX Compliance Feed to receive the New Order Multileg (AB) [4.4] Message. The FIX Compliance Feed enables customers to receive a full Order Audit Trail in FIX format for all FIX, screen and algo order flow occurring in the TT system.

Your administrator must enable this option when Adding and configuring a FIX Session in Setup.

New Order Multileg (AB) Message

Purpose

Submits a new order for securities that are made up of multiple securities, known as legs, from a FIX client to TT FIX

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

Tag Directory

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

Context:

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NewOrderMultileg

Tag

Name

Type

Required

Comments

Header

For additional information about this component group, consult the documentation.

35=AB (MsgType)

8	BeginString	STRING	Y	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	INT	Y	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	STRING	Y	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values: 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	STRING	Y	ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup
56	TargetCompID	STRING	Y	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	STRING	N	Unique ID for the message sender For order routing messages, this tag overrides the exchange Operator ID configured in Setup.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	C Required when multiple users are associated with the account.	Unique Trader ID The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	STRING	C Sent in Execution Report (8) and Order Cancel Reject (9) messages.	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.
34	MsgSeqNum	SEQNUM	Y	Message sequence number
43	PossDupFlag	BOOLEAN	C Must send when a FIX client resends messages	Whether the sequence number for this message is already used Possible values: N: NO: Original transmission Y: YES: Possible duplicate 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	UTCTIMESTAMP	C Required for resent messages	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC.
52	SendingTime	UTCTIMESTAMP	Y	Time, in UTC, the message was sent.
57	TargetSubID	STRING	C 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 ID for the message receiver.

ClOrdID

STRING

Order identifier for the order.

Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Note: Tag 11 (ClOrdID) of an order can change over time.

TransactTime

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.

OrderID

STRING

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.

Internal TT order key assigned to all orders submitted through any TT software.

The value remains constant for the life of an order.

Note: The value is unique per TT environment.

18218

TTCustomerName

STRING

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.

18219

SecondaryAccount

STRING

An externally defined account name used to lookup a single TT account in Setup.

The TT account is then assigned to Tag 1 (Order-routing account) on the order.

LegInstrumentGrp

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

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).

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.

555

NoLegs

STRING

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.

555

NoLegs

STRING

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

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

616

LegSecurityExchange

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

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.

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.

18100

LegExDestination

EXCHANGE

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.

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.

602

LegSecurityID

STRING

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.

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

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

602

LegSecurityID

STRING

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.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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.

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

608

LegCFICode

STRING

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

See CFICode (461) field for description

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

STRING

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

Possible values:

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)

609

LegSecurityType

STRING

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

Possible values:

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

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short

624

LegSide

CHAR

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

Possible values:

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

FLOAT

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.

623

LegRatioQty

FLOAT

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.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

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.

654

LegRefID

STRING

Unique indicator for a specific leg.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

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:

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
V: Variable
W: Week
X: Custom
Y: Year

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the underlying instrument.

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

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

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.

16615

LegTTRoutingAccount

STRING

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.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

Instrument

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

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

IDSource

STRING

Source for the value of tag 48 (SecurityID).

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

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

Possible values:

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

Possible values:

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

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

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

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

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.

461

CFICode

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

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

460

Product

INT

Product type associated with the security.

Possible values:

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

STRING

Security description.

454

NoSecurityAltID

NUMINGROUP

Number of alternate security IDs in this repeating group

455

SecurityAltID

STRING

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

456

SecurityAltIDSource

STRING

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

Notes:

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

At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.

Possible values:

1: CUSIP number (sent only when provided by the exchange)
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.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID

16207

BloombergSecurityExchange

STRING

Name of the market where the instrument of the SecurityAltID (455) value trades.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Not used when Tag 167 (SecurityType)=MLEG.

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

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

Note: If included, tag 541 (MaturityDate) will override this tag.

541

MaturityDate

LOCALMKTDATE

Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

205

MaturityDay

DAYOFMONTH

Required when multiple contracts exist for the same month

Day of expiration for the instrument.

TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.

Whenever possible, tag 200 will match the Month & Year shown in TT Market Explorer, not the tag 541/Maturity Date field. In those cases where the MonthYear does not match, the value in tag 205 will be the day from tag 541, not necessarily the day associated with tag 200 MonthYear.

Range: 1-31

Note: If included, tag 541 (MaturityDate) will override this tag.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the instrument.

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

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.

Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

Possible values:

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
Note: The following values are only available for EPEX and Nord Pool:
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: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

201

PutOrCall

INT

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

Currency

CURRENCY

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

206

OptAttribute

CHAR

Required when both of the following are true:

Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.

Additional information about the option contract.

762

SecuritySubType

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”.

For synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

LegInstrumentGrp

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

Repeating group of legs in a multileg instrument

555

NoLegs

STRING

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.

555

NoLegs

STRING

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

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

616

LegSecurityExchange

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

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.

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.

18100

LegExDestination

EXCHANGE

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.

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.

602

LegSecurityID

STRING

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.

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

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

602

LegSecurityID

STRING

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.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

608

LegCFICode

STRING

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

See CFICode (461) field for description

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

STRING

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

Possible values:

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)

609

LegSecurityType

STRING

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

Possible values:

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

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short

624

LegSide

CHAR

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

Possible values:

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

FLOAT

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.

623

LegRatioQty

FLOAT

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.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

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:

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
V: Variable
W: Week
X: Custom
Y: Year

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the underlying instrument.

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

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

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.

16615

LegTTRoutingAccount

STRING

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.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

Instrument

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

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

IDSource

STRING

Source for the value of tag 48 (SecurityID).

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

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

Possible values:

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

Possible values:

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

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

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

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

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.

461

CFICode

STRING

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

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

460

Product

INT

Product type associated with the security.

Possible values:

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

STRING

Security description.

454

NoSecurityAltID

NUMINGROUP

Number of alternate security IDs in this repeating group

455

SecurityAltID

STRING

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

456

SecurityAltIDSource

STRING

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

Notes:

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

At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.

Possible values:

1: CUSIP number (sent only when provided by the exchange)
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.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID

16207

BloombergSecurityExchange

STRING

Name of the market where the instrument of the SecurityAltID (455) value trades.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Not used when Tag 167 (SecurityType)=MLEG.

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

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

Note: If included, tag 541 (MaturityDate) will override this tag.

541

MaturityDate

LOCALMKTDATE

Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

205

MaturityDay

DAYOFMONTH

Required when multiple contracts exist for the same month

Day of expiration for the instrument.

TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.

Range: 1-31

Note: If included, tag 541 (MaturityDate) will override this tag.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the instrument.

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

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.

Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

Possible values:

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
Note: The following values are only available for EPEX and Nord Pool:
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: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

201

PutOrCall

INT

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

Currency

CURRENCY

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

206

OptAttribute

CHAR

Required when both of the following are true:

Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.

Additional information about the option contract.

762

SecuritySubType

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”.

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

LegInstrumentGrp

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

Repeating group of legs in a multileg instrument

555

NoLegs

STRING

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.

555

NoLegs

STRING

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

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

616

LegSecurityExchange

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

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.

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.

18100

LegExDestination

EXCHANGE

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.

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.

602

LegSecurityID

STRING

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.

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

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

602

LegSecurityID

STRING

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.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

608

LegCFICode

STRING

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

See CFICode (461) field for description

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

STRING

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

Possible values:

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)

609

LegSecurityType

STRING

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

Possible values:

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

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short

624

LegSide

CHAR

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

Possible values:

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

FLOAT

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.

623

LegRatioQty

FLOAT

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.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

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:

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
V: Variable
W: Week
X: Custom
Y: Year

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the underlying instrument.

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

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

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.

16615

LegTTRoutingAccount

STRING

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.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

Instrument

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

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

IDSource

STRING

Source for the value of tag 48 (SecurityID).

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

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

Possible values:

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

Possible values:

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

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

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

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

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.

461

CFICode

STRING

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

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

460

Product

INT

Product type associated with the security.

Possible values:

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

STRING

Security description.

454

NoSecurityAltID

NUMINGROUP

Number of alternate security IDs in this repeating group

455

SecurityAltID

STRING

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

456

SecurityAltIDSource

STRING

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

Notes:

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

At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.

Possible values:

1: CUSIP number (sent only when provided by the exchange)
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.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID

16207

BloombergSecurityExchange

STRING

Name of the market where the instrument of the SecurityAltID (455) value trades.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Not used when Tag 167 (SecurityType)=MLEG.

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

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

Note: If included, tag 541 (MaturityDate) will override this tag.

541

MaturityDate

LOCALMKTDATE

Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

205

MaturityDay

DAYOFMONTH

Required when multiple contracts exist for the same month

Day of expiration for the instrument.

TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.

Range: 1-31

Note: If included, tag 541 (MaturityDate) will override this tag.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the instrument.

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

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.

Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

Possible values:

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
Note: The following values are only available for EPEX and Nord Pool:
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: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

201

PutOrCall

INT

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

Currency

CURRENCY

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

206

OptAttribute

CHAR

Required when both of the following are true:

Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.

Additional information about the option contract.

762

SecuritySubType

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”.

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

LegInstrumentGrp

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

Repeating group of legs in a multileg instrument

555

NoLegs

STRING

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.

555

NoLegs

STRING

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

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

616

LegSecurityExchange

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

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.

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.

18100

LegExDestination

EXCHANGE

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.

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.

602

LegSecurityID

STRING

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.

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

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

602

LegSecurityID

STRING

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.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

608

LegCFICode

STRING

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

See CFICode (461) field for description

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

STRING

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

Possible values:

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)

609

LegSecurityType

STRING

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

Possible values:

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

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short

624

LegSide

CHAR

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

Possible values:

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

FLOAT

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.

623

LegRatioQty

FLOAT

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.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

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:

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
V: Variable
W: Week
X: Custom
Y: Year

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the underlying instrument.

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

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

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.

16615

LegTTRoutingAccount

STRING

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.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

Instrument

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

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

SecurityID

STRING

ID of the instrument.

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

IDSource

STRING

Source for the value of tag 48 (SecurityID).

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

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

Possible values:

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

Possible values:

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

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

Required when Tag 100 (ExtDestination) is absent

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

207

SecurityExchange

EXCHANGE

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

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the
security.

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Required when Tag 207 (SecurityExchange) is absent

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.

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

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.

461

CFICode

STRING

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

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index

460

Product

INT

Product type associated with the security.

Possible values:

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

STRING

Security description.

454

NoSecurityAltID

NUMINGROUP

Number of alternate security IDs in this repeating group

455

SecurityAltID

STRING

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

456

SecurityAltIDSource

STRING

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

Notes:

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

At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.

Possible values:

1: CUSIP number (sent only when provided by the exchange)
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.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID

16207

BloombergSecurityExchange

STRING

Name of the market where the instrument of the SecurityAltID (455) value trades.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Not used when Tag 167 (SecurityType)=MLEG.

Exchange-provided product symbol for the tradable product.

When specifying instruments for NewOrderMultileg (AB) and MultilegOrderCancelReplace (AC):

When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Symbol

STRING

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

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

Note: If included, tag 541 (MaturityDate) will override this tag.

541

MaturityDate

LOCALMKTDATE

Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

205

MaturityDay

DAYOFMONTH

Required when multiple contracts exist for the same month

Day of expiration for the instrument.

TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.

Range: 1-31

Note: If included, tag 541 (MaturityDate) will override this tag.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the instrument.

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

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.

Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

Possible values:

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
Note: The following values are only available for EPEX and Nord Pool:
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: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

201

PutOrCall

INT

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

Currency

CURRENCY

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

206

OptAttribute

CHAR

Required when both of the following are true:

Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.

Additional information about the option contract.

762

SecuritySubType

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”.

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

1194

ExerciseStyle

INT

Type of exercise for a derivatives security.

Conditional: This value only sent if supported by the exchange.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available

LegInstrumentGrp

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

Repeating group of legs in a multileg instrument

555

NoLegs

STRING

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.

555

NoLegs

STRING

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

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

616

LegSecurityExchange

EXCHANGE

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.

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

Possible values:

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
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

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.

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.

18100

LegExDestination

EXCHANGE

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.

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.

602

LegSecurityID

STRING

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.

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

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

602

LegSecurityID

STRING

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.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

608

LegCFICode

STRING

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

See CFICode (461) field for description

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

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

STRING

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

Possible values:

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)

609

LegSecurityType

STRING

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

Possible values:

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

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short

624

LegSide

CHAR

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

Possible values:

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

FLOAT

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.

623

LegRatioQty

FLOAT

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.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

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:

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
V: Variable
W: Week
X: Custom
Y: Year

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

Term of delivery for the underlying instrument.

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

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

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.

16615

LegTTRoutingAccount

STRING

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.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 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 H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16120	LegNoFills	NUMINGROUP	C 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.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity
16125	LegFillLastLiquidityIndicator	INT	N	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: 1: Added liquidity 2: Removed liquidity

ExecInst

MULTIPLESTRINGVALUE

Order execution instructions

Note: If you submit multiple values that include an unsupported value, TT FIX will choose the appropriate supported value.

To submit a new order in a “suspended” status, set this tag value to S.

To submit a normal order with cancel on disconnect, send “18=o 2”; the successful Execution Report (8) will return with 18=2.

To submit an order on hold with cancel on disconnect, send “18=o S”. the successful Execution Report (8) will return with 18=S.

Note: The cancel on disconnect option is only supported in combination with ‘2’ or ‘S’ and must be the 1st option in the list

Possible values:

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

Price

PRICE

Required when Tag 40 (OrdType) is:

2: Limit
4: Stop Limit

Limit price for limit orders

StopPx

PRICE

Required when Tag 40 (OrdType) is:

3: Stop
4: Stop Limit
K: Market With Leftover as Limit

Trigger price for a stop order.

OrderQty

QTY

Total order quantity

110

MinQty

QTY

Required for Minimum Volume (MV) orders

Minimum quantity for a Minimum Volume (MV) order

1138

DisplayQty

QTY

Required for disclosed quantity (Iceberg) orders

Quantity to disclose for a disclosed quantity (Iceberg) order

Side

CHAR

Side of the order

Possible values:

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)

OrdType

CHAR

Order type

Possible values include:

1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
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)

OpenClose

CHAR

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

Possible values:

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.)

TimeInForce

CHAR

How long an order remains active

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.

Possible values:

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

432

ExpireDate

LOCALMKTDATE

Required when Tag 59 (TimeInForce) = 6 (Good Till Date)

Date a Good Till Date order expires

1028

ManualOrderIndicator

BOOLEAN

Whether the order is sent manually or through automated trading logic

Default value is N if the tag is omitted.

Possible values:

Y: Manual
N: Automated

Trader

Information about the trader routing the order.

For additional information about this component group, consult the full documentation.

1	Account	STRING	C Required for New Order Single (D) and Order Cancel/Replace Request (G) messages; optional, otherwise.	Order-routing account Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account).
582	CustOrderCapacity	INT	C Send when required by the Exchange	Capacity of customer placing the order Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission). Possible values: 1: Member trading for own account 2: Clearing Firm trading for its proprietary account 3: Member trading for another member 4: All other
10553	TTID	STRING	C	TT login email address
18220	BrokerID	STRING	C	TT-defined short code for the broker
18221	CompanyID	STRING	C Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	TT-defined name of the firm that sends messages to the exchange.
18101	AccountID	STRING	C	TT-defined ID of the TT account referenced in tag 1 (Account).
18102	UserID	STRING	C

16857

TTSMPID

STRING

User-defined, alphanumeric identifier used to tag orders so the TT system can match potential crossed trades.

Note: TT Self-Match Prevention by ID (TT SMP) is currently available on
a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use FIX Tag 7928 (SelfMatchPreventionID) and FIX Tag 8000 (SMPInstruction).

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html
in the Setup help.

16858

TTSMPInstruction

INT

Sets the TT SMP behavior and determines which order is canceled (resting or aggressing) if self-match prevention occurs.

Note: TT Self-Match Prevention by ID (TT SMP) is currently available on a limited basis. For access to TT SMP, contact your TT representative. Exchange-based SMP continues to use FIX Tag 7928 (SelfMatchPreventionID) and FIX Tag 8000 (SMPInstruction).

For more info on TT Self-Match Prevention, refer to https://library.tradingtechnologies.com/user-setup/ocp-tt-self-match-prevention-by-id.html in the Setup help.

Possible values:

1: Reject New
3: Cancel Resting
4: Position Transfer
6: Position Transfer Best Bid/Offer
10: Position Transfer Allow Split
11: Position Transfer Allow Split Best Bid/Offer

16999

ClearingAccountOverride

STRING

Overrides the clearing account defined in the Setup application for the user’s account named in Tag 1.

16556

TextA

STRING

Value corresponding to the Text A field in TT widgets

16557

TextB

STRING

Value corresponding to the Text B field in TT widgets

16558

TextTT

STRING

Value corresponding to the Text TT field in TT widgets

16559

TextC

STRING

Customer-defined text field not sent to exchange.

16626

NVDR

BOOLEAN

Related to TFEX Non-Voting Depository Receipt (NVDR) trading.

Note: TFEX does not provide documentation to ISVs regarding usage of the NVDR (Tag 16626) and TTF (Tag 16627) fields. For information about how to use these fields, please contact the exchange.

16627

TTF

BOOLEAN

Related to TFEX Thai Trust Fund (TTF) trading.

16628

TFUserType

CHAR

Sets the type of user that entered the order.

Note: For information on the TFEX user types, please refer to the exchange’s documentation.

Possible values:

T: Traditional trading
P: Program trading
M: Market Making
G: Market making with Program trading

16903

ChildTIF

CHAR

Time-in-Force for the algo child orders

Possible values:

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

StrategyParametersGrp

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.

957	NoStrategyParameters	NUMINGROUP	N	Repeating group of parameters for the algo or the free-form text fields to attach to the order
958	StrategyParameterName	STRING	C Required when tag 957 > 0	Name of the algo parameter or free-form text field For a list and descriptions of the parameter names TT uses to support TT Order Types, Autospreader and Aggregator orders, and Free-Form Text fields, refer to the Component: StrategyParametersGrp section of the TT FIX help. For custom or third-party algos, the name must match the name specified by the algo. Note: In addition to names listed, TT uses the following reserved field names. These values must not be used when populating FIX Tag 958 (StrategyParameterName). TT strongly recommends clients use the individual tags as defined in the TT XML schema and shown below: OrderQty: OrderQty Tag 38 LimitPrice: Price Tag 44 IfTouchedPrice: StopPx Tag 99 Text A: TextA Tag 16556 Text B: TextB Tag 16557 Text C: TextC Tag 16559 Text TT: TextTT Tag 16558
959	StrategyParameterType	INT	C Required when tag 957 > 0	Type of data contained in tag 960 (StrategyParameterValue) Possible values: 1: Int 6: Float 7: Qty 8: Price 13: Boolean 14: String 19: UTCTimestamp
960	StrategyParameterValue	STRING	C Required when tag 957 > 0	Value of the parameter or additional order information

TargetStrategy

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.

16847	TargetStrategyName	STRING	Y	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.)
16847	TargetStrategyName	STRING	Y	Name of the TT order type For TT Premium 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.)
16847	TargetStrategyName	STRING	Y	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.)
16848	TargetStrategyType	INT	Y	Source of the algo Currently, TT supports only 1 (TT Order type). Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16902	BracketStopLimitOffset	INT	N	Number of ticks away from the Stop price to submit a Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.
16902	BracketStopLimitOffset	INT	N	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	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16903	ChildTIF	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16906	ETimeAct	INT	N	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.
16906	ETimeAct	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16907	Interval	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16910	LeftoverTicks	INT	N	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.
16910	LeftoverTicks	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16911	LimitPriceType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16912	LimitTicksAway	INT	C 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)
16912	LimitTicksAway	INT	C 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)
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16919	TriggerTicksAway	INT	N	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.
16919	TriggerTicksAway	INT	N	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	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16920	TriggerType	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16921	WithATickType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16921	WithATickType	INT	C	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16929	TTStopWithATick	INT	N	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).
16929	TTStopWithATick	INT	N	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	INT	N	Number of ticks from the specified price to submit the Limit order
16930	Payup	INT	N	Number of ticks from the specified price to submit the Limit order
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16933	TTStopTriggerTicksAway	INT	N	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).
16933	TTStopTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16934	TTStopTriggerQtyType	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16936	TTStopTriggerQty	INT	N	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).
16936	TTStopTriggerQty	INT	N	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	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16937	TTStopTriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16939	TTStopTriggeredOrderPrice	PRICE	N	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).
16939	TTStopTriggeredOrderPrice	PRICE	N	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	INT	N	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).
16941	TTStopPayup	INT	N	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	INT	N	Number of times (0-32,000) to resend a rejected order.
16942	RetryCount	INT	N	Number of times (0-32,000) to resend a rejected order.
16943	RetryInterval	INT	N	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).
16943	RetryInterval	INT	N	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	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944	Duration	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16954	TTStopSecondTriggerTicksAway	INT	N	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.
16954	TTStopSecondTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16955	TTStopSecondTriggerQtyType	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17008	TwapStyle	INT	Y	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.
17008	TwapStyle	INT	Y	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.
17009	WouldIfPrc	PRICE	N	The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009	WouldIfPrc	PRICE	N	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	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010	LimitPrc	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit 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.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit to start working the order when submitted.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order.
126	ExpireTime	UTCTIMESTAMP	N	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.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order. Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order.
40	OrdType	CHAR	C	Sets the order type for the parent order. Only the following values are available for TT Premium Order /Types: 1: Market 2: Limit 3: Stop Market 4: Stop Limit
40	OrdType	CHAR	C	Sets the order type for the parent order. Possible values include: 1: Market 2: Limit 3: Stop 4: Stop Limit 5: Market On Close (MOC) 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)
99	StopPx	PRICE	C Only required when Tag 40 (OrdType) equals: 3: Stop Market 4: Stop Limit	Trigger price for a stop order.
9103	MaxParticipation	FLOAT	C	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’
9106	IWouldPrice	FLOAT	N	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.
9111	Aggression	INT	N	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+).
9112	TiltMode	INT	N	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: 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+.
9115	BriskLimitMode	INT	N	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: 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.
9117	BlockLimit	INT	N	When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000.
9145	Tracking	INT	N	Allows trader to select between trend following and reversionary behavior. Possible values: AP-Revert-Low AP-Revert-Med AP-Revert-High AP-Trend-Low AP-Trend-Med AP-Trend-High
9147	MinParticipation	FLOAT	N	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’
9190	IfTouchedPrice	FLOAT	N	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.
9191	PostTriggerDuration	INT	N	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.
9200	SubStrategy	STRING	N	Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202	DurationRCM	INT	N	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.
9203	EndTimeOverride	INT	N	Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values: 0: None 1: Last Session Close 2: Next Session Close 3: Settlement
9210	MaxShowRCM	INT	Y	Maximum open display size per price level for TT Prowler orders.
9211	MinShow	INT	Y	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.
9212	PassivePriceLevel	INT	N	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.
9213	NumPostLevels	INT	N	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.
9214	AverageDelay	FLOAT	N	Sets a random delay, in seconds, between sending new orders or replacing existing child orders.
9215	IWouldQty	INT	N	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.
9216	IWouldQtyPct	FLOAT	N	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%.
9217	WithATickQty	INT	N	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.
9218	WithATickQtyPct	FLOAT	N	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%.
9219	CleanupPct	FLOAT	N	Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete near the end time.
9220	PostTicksApart	INT	N	Specifies how many minimum price increments apart to space passive orders resting across Num Post Levels.
9221	MaxSpreadCrossTicks	INT	N	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.
9222	TacticalPeg	BOOLEAN	N	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.
9225	IWouldQtyVariancePct	FLOAT	N	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.
9302	DynamicEndTime	BOOLEAN	N	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.
9991	LegRiskAversion	INT	N	Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992	HedgeDiscretionTicks	INT	N	Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg order.

TargetStrategy

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.

16847	TargetStrategyName	STRING	Y	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.)
16847	TargetStrategyName	STRING	Y	Name of the TT order type For TT Premium 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.)
16847	TargetStrategyName	STRING	Y	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.)
16848	TargetStrategyType	INT	Y	Source of the algo Currently, TT supports only 1 (TT Order type). Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16902	BracketStopLimitOffset	INT	N	Number of ticks away from the Stop price to submit a Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.
16902	BracketStopLimitOffset	INT	N	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	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16903	ChildTIF	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16906	ETimeAct	INT	N	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.
16906	ETimeAct	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16907	Interval	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16910	LeftoverTicks	INT	N	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.
16910	LeftoverTicks	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16911	LimitPriceType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16912	LimitTicksAway	INT	C 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)
16912	LimitTicksAway	INT	C 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)
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16919	TriggerTicksAway	INT	N	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.
16919	TriggerTicksAway	INT	N	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	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16920	TriggerType	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16921	WithATickType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16921	WithATickType	INT	C	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16929	TTStopWithATick	INT	N	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).
16929	TTStopWithATick	INT	N	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	INT	N	Number of ticks from the specified price to submit the Limit order
16930	Payup	INT	N	Number of ticks from the specified price to submit the Limit order
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16933	TTStopTriggerTicksAway	INT	N	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).
16933	TTStopTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16934	TTStopTriggerQtyType	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16936	TTStopTriggerQty	INT	N	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).
16936	TTStopTriggerQty	INT	N	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	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16937	TTStopTriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16939	TTStopTriggeredOrderPrice	PRICE	N	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).
16939	TTStopTriggeredOrderPrice	PRICE	N	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	INT	N	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).
16941	TTStopPayup	INT	N	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	INT	N	Number of times (0-32,000) to resend a rejected order.
16942	RetryCount	INT	N	Number of times (0-32,000) to resend a rejected order.
16943	RetryInterval	INT	N	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).
16943	RetryInterval	INT	N	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	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944	Duration	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16954	TTStopSecondTriggerTicksAway	INT	N	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.
16954	TTStopSecondTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16955	TTStopSecondTriggerQtyType	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17008	TwapStyle	INT	Y	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.
17008	TwapStyle	INT	Y	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.
17009	WouldIfPrc	PRICE	N	The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009	WouldIfPrc	PRICE	N	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	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010	LimitPrc	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit 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.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit to start working the order when submitted.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order.
126	ExpireTime	UTCTIMESTAMP	N	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.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order. Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order.
40	OrdType	CHAR	C	Sets the order type for the parent order. Only the following values are available for TT Premium Order /Types: 1: Market 2: Limit 3: Stop Market 4: Stop Limit
40	OrdType	CHAR	C	Sets the order type for the parent order. Possible values include: 1: Market 2: Limit 3: Stop 4: Stop Limit 5: Market On Close (MOC) 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)
99	StopPx	PRICE	C Only required when Tag 40 (OrdType) equals: 3: Stop Market 4: Stop Limit	Trigger price for a stop order.
9103	MaxParticipation	FLOAT	C	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’
9106	IWouldPrice	FLOAT	N	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.
9111	Aggression	INT	N	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+).
9112	TiltMode	INT	N	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: 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+.
9115	BriskLimitMode	INT	N	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: 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.
9117	BlockLimit	INT	N	When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000.
9145	Tracking	INT	N	Allows trader to select between trend following and reversionary behavior. Possible values: AP-Revert-Low AP-Revert-Med AP-Revert-High AP-Trend-Low AP-Trend-Med AP-Trend-High
9147	MinParticipation	FLOAT	N	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’
9190	IfTouchedPrice	FLOAT	N	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.
9191	PostTriggerDuration	INT	N	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.
9200	SubStrategy	STRING	N	Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202	DurationRCM	INT	N	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.
9203	EndTimeOverride	INT	N	Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values: 0: None 1: Last Session Close 2: Next Session Close 3: Settlement
9210	MaxShowRCM	INT	Y	Maximum open display size per price level for TT Prowler orders.
9211	MinShow	INT	Y	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.
9212	PassivePriceLevel	INT	N	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.
9213	NumPostLevels	INT	N	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.
9214	AverageDelay	FLOAT	N	Sets a random delay, in seconds, between sending new orders or replacing existing child orders.
9215	IWouldQty	INT	N	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.
9216	IWouldQtyPct	FLOAT	N	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%.
9217	WithATickQty	INT	N	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.
9218	WithATickQtyPct	FLOAT	N	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%.
9219	CleanupPct	FLOAT	N	Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete near the end time.
9220	PostTicksApart	INT	N	Specifies how many minimum price increments apart to space passive orders resting across Num Post Levels.
9221	MaxSpreadCrossTicks	INT	N	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.
9222	TacticalPeg	BOOLEAN	N	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.
9225	IWouldQtyVariancePct	FLOAT	N	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.
9302	DynamicEndTime	BOOLEAN	N	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.
9991	LegRiskAversion	INT	N	Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992	HedgeDiscretionTicks	INT	N	Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg order.

TargetStrategy

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.

16847	TargetStrategyName	STRING	Y	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.)
16847	TargetStrategyName	STRING	Y	Name of the TT order type For TT Premium 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.)
16847	TargetStrategyName	STRING	Y	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.)
16848	TargetStrategyType	INT	Y	Source of the algo Currently, TT supports only 1 (TT Order type). Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16848	TargetStrategyType	INT	Y	Source of the algo Possible values: 3: Bank algo
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16901	BracketOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.	Order type for the parent order Possible values: 0: Limit 1: Stop Limit 2: Stop Market
16902	BracketStopLimitOffset	INT	N	Number of ticks away from the Stop price to submit a Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_Bracket. Unused, otherwise.
16902	BracketStopLimitOffset	INT	N	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	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16903	ChildTIF	CHAR	Y	Time-in-Force for the algo child orders 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. Possible values: 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
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16904	DiscVal	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	Amount of the total order quantity to disclose (1 to maxint)
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16905	DiscValType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Iceberg, TT_Time_Sliced Unused, otherwise.	What the DiscVal represents Possible values: 1: Absolute quantity 2: Percentage of the total order quantity
16906	ETimeAct	INT	N	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.
16906	ETimeAct	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16907	Interval	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	Length of the slice, in milliseconds
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16908	IsTrlTrg	STRING	N	Indicates whether the trigger price trails the trigger price type by some number of ticks. Unused when tag 16847 (TargetStrategyName) is: TT_Timed, TT_Trailing_Limit Optional, otherwise. Possible values: Y N
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16909	LeftoverAction	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Time_Sliced Unused, otherwise.	How to handle any existing unfilled order quantities when it is time to send the next portion. Possible values: 0: Leave 1: Payup
16910	LeftoverTicks	INT	N	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.
16910	LeftoverTicks	INT	N	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	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16911	LimitPriceType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Trailing_Limit. Optional, otherwise.	Type of price for the ticks away offset. Possible values: 1: Bid 2: Ask 3: LTP 4: Trigger 6: Same side 7: Opposite side
16912	LimitTicksAway	INT	C 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)
16912	LimitTicksAway	INT	C 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)
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16913	OcoStopTriggerPrice	PRICE	N	Price at which to trigger the Stop Market or Stop Limit order. Optional when tag 16847 (TargetStrategyName) is: TT_OCO. Unused, otherwise.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16914	ProfitTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16915	StopLimitOffset	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Number of ticks away from the Stop price to submit a Limit order when the OCO Stop Limit order is triggered.
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16916	StopOrderType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket or TT_OCO. Unused, otherwise.	Order type of the stop-loss order. Possible values: 1: Limit 2: Market 3: TT Stop
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16917	StopTarget	INT	C Required when tag 16847 (TargetStrategyName) is: TT_Bracket. 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.
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16918	TriggerPriceType	INT	C 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.	Type of order trigger. Possible values: 1: Bid 2: Ask 3: LTP 6: Same Side 7: Opposite Side
16919	TriggerTicksAway	INT	N	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.
16919	TriggerTicksAway	INT	N	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	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16920	TriggerType	INT	N	Price at which to trigger the order. Unused when tag 16847 (TargetStrategyName) is: TT_Timed or TT_Trailing_Limit. Optional, otherwise. Possible values: 1: Stop 2: If-Touched
16921	WithATickType	INT	C Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16921	WithATickType	INT	C	Whether the WAT threshold represents a specific quantity or a percentage of the order quantity. Possible values: 1: Qty 2: Percent
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16922	WithATick	INT	N	WAT threshold quantity. Required when tag 16847 (TargetStrategyName) is: TT_With_A_Tick. Optional, otherwise.
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16923	TriggerQtyType	INT	N	Type of quantity trigger. Possible values: 1: Qty 2: Percent
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16924	TriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values: 3: Less than or equal to 5: Greater than or equal to
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925	TriggerQty	INT	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16926	TriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. Possible values: Y: Yes N: No
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16927	TTStopLimitPriceType	INT	N	Type of price to use to the TT Stop child 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). Possible values: 1: Bid 2: Ask 3: LTP
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16928	TTStopWithATickType	INT	N	Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick). 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). Possible values: 1: Qty 2: Percent
16929	TTStopWithATick	INT	N	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).
16929	TTStopWithATick	INT	N	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	INT	N	Number of ticks from the specified price to submit the Limit order
16930	Payup	INT	N	Number of ticks from the specified price to submit the Limit order
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16931	TTStopTriggerPriceType	INT	N	Type of trigger for 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). Possible values: 1: Bid 2: Ask 3: LTP
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16932	TTStopIsTrlTrg	BOOLEAN	N	Whether the TT Stop order trigger price trails the trigger price type by some number of ticks. 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). Possible values: Y: Yes N: No
16933	TTStopTriggerTicksAway	INT	N	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).
16933	TTStopTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16934	TTStopTriggerQtyType	INT	N	Type of quantity trigger for 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). Possible values: 1: Qty 2: Percent
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16935	TTStopTriggerQTyCompare	INT	N	Test to use when comparing TT Stop order trigger quantities. 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). Possible values: 3: Less than or equal to 5: Greater than or equal to
16936	TTStopTriggerQty	INT	N	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).
16936	TTStopTriggerQty	INT	N	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	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16937	TTStopTriggerLTPReset	BOOLEAN	N	Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price. 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). Possible values: Y: Yes N: No
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16938	TTStopTriggeredOrderType	INT	N	Type of order to submit when triggered. 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). Possible values: 1: Market 2: Limit 21: MLM
16939	TTStopTriggeredOrderPrice	PRICE	N	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).
16939	TTStopTriggeredOrderPrice	PRICE	N	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	INT	N	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).
16941	TTStopPayup	INT	N	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	INT	N	Number of times (0-32,000) to resend a rejected order.
16942	RetryCount	INT	N	Number of times (0-32,000) to resend a rejected order.
16943	RetryInterval	INT	N	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).
16943	RetryInterval	INT	N	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	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944	Duration	INT	N	Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16945	DurationBaseUnit	INT	N	Time unit to use for the duration (tag 16944) of a TT Time Duration order. Possible values: 1: Hour 2: Minute 3: Second
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16946	DurationSTime	UTCTIMESTAMP	N	Time to start submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16947	DurationETime	UTCTIMESTAMP	N	Time to stop submitting child orders of a TT Time Duration order.
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16948	LeftoverTimeAction	INT	N	When to execute the LeftoverAction (tag 16909) for an order interval. Possible values: 0: At End 1: Halflife
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16949	AutoResubExpiredGTD	BOOLEAN	N	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: Y: Yes N: No
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16950	ParentTIF	INT	N	Time-in-force of a parent synthetic order. 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. Possible values: 1: Day 2: GTC 7: Time
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16951	TTStopSecondConditionIsOn	BOOLEAN	N	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: Y: Yes N: No
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16952	TTStopSecondTriggerPriceType	INT	N	Type of trigger for the second contion of at TT Stop or TT If-Touched order. Possible values: 1: Bid 2: Ask 3: LTP 6: Same side 7: Opposite side
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16953	TTStopSecondConditionIsTrlTrg	BOOLEAN	N	Type of trigger for the second condition of at TT Stop or TT If-Touched order. Possible values: Y: Yes N: No
16954	TTStopSecondTriggerTicksAway	INT	N	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.
16954	TTStopSecondTriggerTicksAway	INT	N	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	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16955	TTStopSecondTriggerQtyType	INT	N	Type of quantity trigger for the secondary condition. Possible values: 1: Qty 2: Percent
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16956	TTStopSecondTriggerQtyCompare	INT	N	Test to use when comparing trigger quantities. Possible values include: Possible values: 3: Less than or equal to 5: Greater than or equal to
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957	TTStopSecondTriggerQty	QTY	N	Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16958	Variance	INT	N	Percentage (0-100) by which to vary the child order quantity.
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960	ETAGoToMktTicks	INT	N	Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
16961	WaitingOption	INT	N	When to start working the parent order. Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime). Possible values: 0: Now 1: Time 2: PreOpen 3: Open
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17007	MaxDisp	INT	Y	The maximum size of a child order lot in relation to the total parent order quantity.
17008	TwapStyle	INT	Y	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.
17008	TwapStyle	INT	Y	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.
17009	WouldIfPrc	PRICE	N	The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009	WouldIfPrc	PRICE	N	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	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010	LimitPrc	PRICE	N	The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit 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.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order. Note: Omit to start working the order when submitted.
168	EffectiveTime	UTCTIMESTAMP	N	Time to start working the order.
126	ExpireTime	UTCTIMESTAMP	N	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.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order. Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126	ExpireTime	UTCTIMESTAMP	N	Time to stop working the order.
40	OrdType	CHAR	C	Sets the order type for the parent order. Only the following values are available for TT Premium Order /Types: 1: Market 2: Limit 3: Stop Market 4: Stop Limit
40	OrdType	CHAR	C	Sets the order type for the parent order. Possible values include: 1: Market 2: Limit 3: Stop 4: Stop Limit 5: Market On Close (MOC) 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)
99	StopPx	PRICE	C Only required when Tag 40 (OrdType) equals: 3: Stop Market 4: Stop Limit	Trigger price for a stop order.
9103	MaxParticipation	FLOAT	C	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’
9106	IWouldPrice	FLOAT	N	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.
9111	Aggression	INT	N	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+).
9112	TiltMode	INT	N	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: 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+.
9115	BriskLimitMode	INT	N	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: 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.
9117	BlockLimit	INT	N	When calculating participation limits, all trades above this limit will be ignored. Supports values 5-1,000,000.
9145	Tracking	INT	N	Allows trader to select between trend following and reversionary behavior. Possible values: AP-Revert-Low AP-Revert-Med AP-Revert-High AP-Trend-Low AP-Trend-Med AP-Trend-High
9147	MinParticipation	FLOAT	N	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’
9190	IfTouchedPrice	FLOAT	N	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.
9191	PostTriggerDuration	INT	N	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.
9200	SubStrategy	STRING	N	Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202	DurationRCM	INT	N	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.
9203	EndTimeOverride	INT	N	Overrides End Time, Duration, or the default with one of several values related to product hours. Possible values: 0: None 1: Last Session Close 2: Next Session Close 3: Settlement
9210	MaxShowRCM	INT	Y	Maximum open display size per price level for TT Prowler orders.
9211	MinShow	INT	Y	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.
9212	PassivePriceLevel	INT	N	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.
9213	NumPostLevels	INT	N	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.
9214	AverageDelay	FLOAT	N	Sets a random delay, in seconds, between sending new orders or replacing existing child orders.
9215	IWouldQty	INT	N	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.
9216	IWouldQtyPct	FLOAT	N	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%.
9217	WithATickQty	INT	N	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.
9218	WithATickQtyPct	FLOAT	N	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%.
9219	CleanupPct	FLOAT	N	Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete near the end time.
9220	PostTicksApart	INT	N	Specifies how many minimum price increments apart to space passive orders resting across Num Post Levels.
9221	MaxSpreadCrossTicks	INT	N	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.
9222	TacticalPeg	BOOLEAN	N	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.
9225	IWouldQtyVariancePct	FLOAT	N	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.
9302	DynamicEndTime	BOOLEAN	N	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.
9991	LegRiskAversion	INT	N	Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992	HedgeDiscretionTicks	INT	N	Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg order.

1385

ContingencyType

INT

Type of contingency

Possible values:

1: One Cancels the Other (OCO)
2: One Triggers Other (OTO)
3: One Updates the Other (OUO) – Absolute Quantity Reduction
4: One Updates the Other (OUO) – Proportional Quantity Reduction

HandlInst

CHAR

Order handling instructions.

Possible values:

1: Automated execution order, private, no broker intervention
2: Automated execution order, public, broker intervention OK
3: Staged order, broker intervention required

1031

CustOrderHandlingInst

CHAR

If required by the exchange, this tag is also required. For more information, consult the exchange documentation.

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.

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.

Possible values:

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)

16106

StagedOrderMsg

STRING

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order. Will appear on both parent and child staged orders.

Note: Sent only for staged orders (Tag 21 (HandlInst)=3)

Text

STRING

Additional information for the person who works the order

528

OrderCapacity

CHAR

Required for exchanges subject to MiFID II regulations.

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer Defaults in Setup.

Possible values:

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])

529

OrderRestriction

CHAR

Required for exchanges subject to MiFID II regulations.

Restrictions associated with an order. Sent when provided by the exchange. Currently, only the NASDAQ EU market supports this field.

Possible 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
D: Non-Algorithmic
E: Algorithmic

1724

OrderOrigination

INT

Required for exchanges subject to MiFID II regulations.

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 Order Tag Defaults in Setup.

Possible values:

5: Order from a direct access or sponsored access customer
99: Other

16566

DropCopyOrder

BOOLEAN

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.

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.

Note: FIX clients should not send this tag for incoming messages.

Possible values:

Y: YES

2404

ComplianceText

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.

18009

TradingStrategy

INT

Defines the type of trading strategy for the order.

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

Possible values:

1: ARBITRAGE
10: HEDGE
11: DIRECTIONAL

18010

ReverseSpreadOC

INT

Sets whether to reverse the spread on open/close.

Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.

Possible values:

0: Do not reverse open close flag on far leg
1: Reverse spread open close flag on far leg

Parties

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.

453	NoPartyIDs	NUMINGROUP	N	Number of parties in the PartiesGrp repeating group
448	PartyID	STRING	C Required when NoPartyIds (453) is greater than 0.	Party identifier code Reserved values when 452=3 (ClientID) and 447=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 447=P (Short code): 3: NORE: Execution decision outside firm
452	PartyRole	INT	C Required when NoPartyIds (453) is greater than 0.	Type or role of PartyID (tag 448) Possible values: 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 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 118: Party role decision maker 119: Party role client ID house 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 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. 223: Secondary Client ID 224: Secondary executing trader 300: Investment Decision in Firm 301: Execution Decision in Firm 302: Investment Decision Country 303: Execution Decision Country 304: Party Role Country Code
2376	PartyRoleQualifier	INT	N	Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448). 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. Possible values: 22: Algorithm 23: Firm or legal entity 24: Natural person
447	PartyIDSource	CHAR	C Required when NoPartyIds (453) is greater than 0.	Identifies class or source of the PartyID (448) value. Possible values: 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

OrderAttributesGrp

Attributes associated with the order

Condition: Sent when available

For additional information about this component group, consult the full
documentation.

2593	NoOrderAttributes	INT	N	Number of order attributes in the repeating group
2594	OrderAttributeType	INT	C Required when OrderAttributeGrp (2593) is greater than 0.	Type of order attribute Possible values: 2: Liquidity provision activity order 3: Commodity Derivative Indicator (risk reduction) order 4: Algorithmic order
2595	OrderAttributeValue	STRING	C Required when OrderAttributeGrp (2593) is greater than 0.	Value of order attribute Possible values: Y: True/Yes N: False/No

16117

OrderSource

INT

TT component that most recently acted on an active order.

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.

Possible values:

0: ASE
2: TTW
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
36: POT Child Router
37: Terminator

7928

SelfMatchPreventionID

STRING

Exchange-registered identifier that enables customers to prevent the matching of orders for accounts with common ownership, even across different executing firms.

8000

SMPInstruction

CHAR

Instruction provided to the exchange as to whether to cancel the resting or incoming
(aggressing) order in the
event of a self-match.

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.

Possible values:

B: SMP Instruction type cancel both
d: SMP Instruction type decrement Leaves quantity only. Do not restate Order quantity (CBOE)
D: SMP Instruction type decrement Order quantity and Leaves quantity of the larger order/Cancel smaller order (CBOE)
e: SMP Instruction type market-wide
f: SMP Instruction type market-wide cancel aggressor
g: SMP Instruction type market-wide cancel resting
h: SMP Instruction type market-wide decrement leaves quantity
m: SMP Instruction type Not Match (ASX)
M: SMP Instruction type match (ASX)
N: SMP Instruction type cancel aggressor
O: SMP Instruction type cancel resting
S: SMP Instruction type cancel smallest order (CBOE)

168

EffectiveTime

UTCTIMESTAMP

Time to start working the order.

126

ExpireTime

UTCTIMESTAMP

Time to stop working the order.

18227

Organization

STRING

User-defined name of the trader’s organization.

16112

NoLinks

INT

Number of links contained in this repeating group

16113

LinkID

STRING

Sent when tag 16112 > 0

Used to identify relationships between entities (accounts or orders).

Example: Distinguish that this is a child order or fill that came from a 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.

16114

LinkType

CHAR

Sent when tag 16112 > 0

The kind of link.

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.

Possible values:

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
E: Unique execution ID allocated from (FX only)
R: Root algo order ID
F: Parent Account ID

16601

EchoDC_01

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16602

EchoDC_02

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16603

EchoDC_03

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16604

EchoDC_04

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16605

EchoDC_05

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16606

EchoDC_06

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16607

EchoDC_07

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16608

EchoDC_08

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16609

EchoDC_09

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16610

EchoDC_10

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16631

EchoDC_11

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16632

EchoDC_12

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16633

EchoDC_13

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16634

EchoDC_14

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16635

EchoDC_15

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16636

EchoDC_16

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16637

EchoDC_17

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16638

EchoDC_18

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16639

EchoDC_19

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16640

EchoDC_20

STRING

Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.

16852

ParentVendorOrderID

STRING

For internal TT use only

16853

ParentVendorUserID

STRING

For internal TT use only

16854

ParentVendorAccountID

STRING

For internal TT use only

16855

ParentVendorBrokerID

STRING

For internal TT use only

16856

ParentVendorProfileID

STRING

For internal TT use only

16130

IntentToCross

BOOLEAN

Required tag for compliance purposes that indicates whether or not the order is for a pre-arranged transaction. Applicable when Intent To Cross is enabled on the TT account.

Note: Only applicable for the MX exchange.

Note: Consult the MX exchange for information on how to properly implement this tag.

18001

MockOrderFlag

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.

Possible values:

0: Not a mock order
1: A mock order

9200

SubStrategy

STRING

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

9991

LegRiskAversion

INT

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

9992

HedgeDiscretionTicks

INT

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

864

NoEvents

NUMINGROUP

Number of entries in the event types repeating group

865

EventType

INT

Type of event

Possible values:

5: Expiry date
6: Last trading date
: The following values are only available for EPEX and Nord Pool:
13: First delivery date
14: Last delivery date
101: First trading date
102: SDAT first trading date

866

EventDate

LOCALMKTDATE

Date the event occurred

1145

EventTime

UTCTIMESTAMP

Note: This tag is only available for EPEX and Nord Pool.

Specific time of event. Use in combination with EventDate <866>.

117

QuoteId

STRING

Unique identifier for quote.

Trailer

For additional information about this component group, consult the full documentation.

CheckSum

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 New Order Multileg (AB) message is used by FIX clients to submit an order for a contract that comprise multiple securities, known as legs.

Eurex Book-or-Cancel orders

You can submit a Book-or-Cancel (BOC) order for Eurex Futures, which immediately deletes the order if any portion of the order would be filled when entered. To submit a Eurex BOC order, send a New Order Single (D) message with the following tag values:

Tag 207 (SecurityExchange) = Eurex (or tag 100 (ExDestination) with the appropriate MIC code)
Tag 40 (OrdType) = 2 (Limit)
Tag 18 (ExecInst) = 6 (Participate don’t initiate)
Tag 59 (TimeInForce) = 0 (Day)

Related Information

Execution Report (8)

Multileg Order Cancel/Replace (AC)

Order Cancel Request (F)

Order Cancel Reject (9)

Theme

Text Size

Line Height

Readability

Letter Spacing

Image Zoom

New Order Multileg (AB) [4.4] Message

New Order Multileg (AB) Message

Purpose

Message Direction

Tag Directory

Message Notes

Eurex Book-or-Cancel orders

Related Information