Order Cancel Reject (9) Message

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Order Cancel Reject (9) Message

Purpose

Used to reject an order cancel or cancel/replace request

Message Direction

From TT FIX to FIX client

Tag Directory

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

Show Comments

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OrderCancelReject

Tag

Name

Type

Required

Comments

Header

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

35=9 (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 of the FIX session The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56	TargetCompID	STRING	Y	FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50	SenderSubID	STRING	C Sent if TT User Setup specifies an exchange operator ID	Unique ID for the message sender For CME, the value corresponds to the Operator ID.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	N	Unique Trader ID (can also be provided in Tag 50 (SenderSubID)) The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	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 Sent when TT FIX resends messages	Whether the sequence number for this message is already used Possible values: N: NO: Original transmission Y: YES: Possible duplicate
97	PossResend	BOOLEAN	C Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.	Whether the message might contain information that has been sent under another sequence number Possible values: N: NO: Original transmission Y: YES: Possible resend
122	OrigSendingTime	UTCTIMESTAMP	C Sent when TT FIX resends a message	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.

OrderID

STRING

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

The value remains constant for the life of an order.

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.

ClOrdID

STRING

Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.

Unique identifier for an Order as assigned by TT. Uniqueness is guaranteed within a single FIX trading session. Tag 11 values may be reused after the daily or weekly FIX session reset. Maximum length of the tag 11 is (20) characters.

OrigClOrdID

STRING

Previous order identifier. Equal to Tag 11 (ClOrdID) of the original request message

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

Note: Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.

198

SecondaryOrderID

STRING

Unique identifier for the order, as assigned by the exchange.

Note: The value can vary over time for the same order.

10011

TTClOrdID

STRING

Sent when available

Internal unique id across TT system; used primarily for internal debugging

OrdStatus

CHAR

Status of the order

Possible values:

0: New
1: Partially filled
2: Filled
3: Done for day
4: Cancelled
5: Replaced
6: Cancel pending
7: Stopped
8: Rejected
9: Suspended (Held)
A: Pending new
B: Calculated
C: Expired
D: Accepted for bidding
E: Pending replace
z: Inactive (TT internal state only and won’t be sent via FIX messages to any external party)

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.

434

CxlRejResponseTo

CHAR

Type of rejected message

Possible values:

1: Reject is for an Order Cancel Request (F)
2: Reject is for an Order Cancel Replace Request (G)

102

CxlRejReason

INT

Reason for rejecting the cancel request

Possible values:

0: Too Late to Cancel
1: Unknown Order
2: Broker Option
3: Action Already Pending
4: Unable to process Order Mass Cancel Request
5: OrigOrdModTime (586) did not match last TransactTime (60) of order
6: Duplicate ClOrdID (11) received
7: Price exceeds current price
8: Price exceeds current price band
9: Trade Along Required
10: Invalid Investor Id
11: Unsupported Order Characteristic
12: Surveillence Option
13: Incorrect Quantity
14: Incorrect Allocated Quantity
15: Unknown Account
16: Price Exceeds Current Price Band
18: Invalid Price Increment
19: Message Pending
20: Routing Error
99: Other
1003: Market Closed
1007: Fix Field Missing Or Incorrect
1010: Required Field Missing
1011: Fix Field Incorrect
1012: Price Must Be Greater Than Zero
1013: Invalid Order Qualifier
1014: User Not Authorized
2013: Market Orders Not Supported By Opposite
2019: Invalid Expire Date
2044: Order Not In Book
2045: Order Not In Book2
2046: Disclosed Qty Cannot Be Greater
2047: Unknown Contract
2048: Cancel With Different Sender Comp Id
2049: Clordid Different Than Correlationclordid
2050: Clordid Different Than Originalclordid
2051: Different Side
2052: Different Group
2053: Different Security Type
2054: Different Account
2055: Different Qty
2056: Cancel With Different Trader Id
2058: Stop Price Must Be Greater
2059: Stop Price Must Be Smaller
2060: Sell Stop Price Must Be Below Ltp
2061: Buy Stop Price Must Be Above Ltp
2100: Different Product
2101: Different Inflight Fill Mitigation
2102: Modify With Different Sender Comp Id
2103: Modify With Different Trader Id
2115: Order Qty Outside Allowable Range
2130: Invalid Order Type For Pcp
2137: Order Price Outside Limits
2179: Order Price Outside Bands
2311: Invalid Order Type For Group
2500: Instrument Cross Request In Progress
2501: Order Qty Too Low
2600: Market Maker Protection Has Tripped
4000: Engine did not respond
5001: Euronext Unknown Order
5099: Euronext Other
5020: Comp Id Problem
5300: Logon Problem
5313: No Router For Security Group
5314: Router Not Available Or Connected
5318: Invalid Price
5319: Invalid Ordqty
5320: Invalid Ordtype
5321: Invalid Side
6000: Fully filled
6001: Pending replace
6002: Pending cancel
7000: Order Rejected
7001: Contract Not Gtc Gtd Eligible
7009: Contract Past Expiration
7011: Max Contract Working Qty Exceeded
7015: Modify With Different Side
7018: Contract Not Gtc Gtd Eligible2
7020: No Trading Calendar For Expire Date
7021: Expire Date Beyond Instrument Expiration
7022: Expire Date Beyond Leg Instrument Expiration
7024: Market In No Cancel
7027: Invalid Order Type For Reserved Market
7028: Order Session Date In Past
7613: Disclosed Qty Cannot Be Smaller
9999: Technical Error Function Not Performed

16131

RejectSource

INT

Source of the reject message.

Possible values:

1: Edge server
2: Bouncer (risk server)
3: Gateway
4: Exchange
5: Algo server
6: ASE server
7: TTINT
8: External
9: TTAPI
10: Client application
11: FIX Adapter
12: Stager
13: TT Options Risk

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.

18222

AOTCPreventionActionType

CHAR

Indicates the action taken to avoid internal crossing orders

Possible values:

0: None
1: Held
2: Cancel
3: Fill
4: Reduced order
5: Reduced change
6: Released order
7: Replaced order
8: No action on order
9: Cancel replace

18227

Organization

STRING

User-defined name of the trader’s organization.

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 The value matches the Tag 1 (Account) in the corresponding request. Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account). Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).
582	CustOrderCapacity	INT	C Sent when provided 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 Sent when available	TT login email address
18220	BrokerID	STRING	C Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	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. Note: If the Company Administrator specified a FIX Company ID for a managed user in Setup, that value is returned in this tag.
18101	AccountID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT account referenced in tag 1 (Account).
18102	UserID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT user referenced in tag 129 (DeliverToSubId)

Text

STRING

Sent with TT FIX needs to provide additional information

Additional information about the message

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

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)

16110

StagedOrderOwner

STRING

ID of the trader working the staged order.

16115

ExternalSource

BOOLEAN

Whether this message was imported from an external source.

16116

OrderIDGUID

STRING

Sent only when the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application.

TT order ID

This tag is populated with the regular TT order ID when a shortened ID is sent in tag 37 (OrderID).

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.

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

16561

TimeReceivedFromExchange

UTCTIMESTAMP

Time in UTC that an exchange execution report message was received by the TT order connector application.

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

Instrument

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

SecurityID

STRING

TT security ID that uniquely identifies the 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

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

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

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.

LastMkt

EXCHANGE

Sent when available for FIX 4.4 sessions

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

ISO 10383 defines a comprehensive list of MIC codes.

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

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

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.

Symbol

STRING

Not sent when Tag 167 (SecurityType)=MLEG.
Not sent when an Order Status Request (H) message returns no orders in an Execution Report (8) message.

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

Sent when Tag 167 (SecurityType) is not MLEG or SPOT

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

541

MaturityDate

LOCALMKTDATE

Sent when Tag 167 (SecurityType) is not MLEG or SPOT

Maturity date in format YYYYMMDD.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

Range: 1-31

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Sent when 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.

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

743

DeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

SettlDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = FOR or NDF

Settlement date

9020

FixingDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = NDF

Fixing date

9032

ReportingParty

BOOLEAN

Sent when tag 167 (SecurityType) = NDF

Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.

9012

IsFirm

INT

Sent when tag 167 (SecurityType) = FOR or NDF

Indicates the type of quote that was crossed.

Possible values:

1: Firm
2: Last Look

201

PutOrCall

INT

Sent when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Sent when Tag 167 (SecurityType) is OPT

Strike price for an option

9787

DisplayFactor

STRING

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

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

Currency

CURRENCY

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

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

AllocID

STRING

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

SecurityAltIDGrp

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

454	NoSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate security IDs	Number of alternate security IDs in this repeating group
455	SecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
456	SecurityAltIDSource	STRING	C Sent when tag 455 (SecurityAltId) is sent	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. Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID): ASX DGCX CFE CME EEX EUREX Euronext Hkex ICE ICE_L LME MEFF MX OSE SGX TFX TOCOM 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	C	New tag for TT Name of the market where the instrument of the SecurityAltID (455) value trades.

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”.

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.

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.

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.

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.

608

LegCFICode

STRING

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

See CFICode (461) field for 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

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

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

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

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.

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

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

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.

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

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

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).

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.

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
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
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.
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
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
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

16117

OrderSource

INT

TT component that most recently acted on an active order.

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.

16601

EchoDC_01

STRING