Trade Capture Report (AE) Message

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Trade Capture Report (AE) Message

Purpose

Used to report trades between counterparties

Message Direction

From TT FIX to FIX client

Tag Directory

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

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TradeCaptureReport

Tag

Name

Type

Required

Comments

Header

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

35=AE (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.

571

TradeReportID

STRING

Unique identifier of trade capture report

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

572

TradeReportRefID

STRING

Reference identifier used with CANCEL and REPLACE transaction types

ExecID

STRING

Unique identifier for this execution report.

This report ID remains unique until TT FIX resets.

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

150

ExecType

CHAR

Indicates the reason for sending this Execution Report

Possible values:

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

487

TradeReportTransType

INT

Trade Report message transaction type

Possible values:

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

829

TrdSubType

INT

Further qualification to the trade type.

Possible values:

1: Arbitrage
2: Combination
3: Cross Trade
4: Exchange for Physical
5: Position Consolidation
6: Rollover
8: Implied spread leg executed against an outright(Inbound Drop Copy FIX clients only)
36: Converted swap (Inbound Drop Copy FIX clients only)
37: Crossed trade (Inbound Drop Copy FIX clients only)
40: Traded at Settlement (TAS) (Inbound Drop Copy FIX clients only)
42: Auction trade (Inbound Drop Copy FIX clients only)
43: Traded at marker (Inbound Drop Copy FIX clients only)
48: Multilateral compression (Inbound Drop Copy FIX clients only)
200: Delivery transfer (Inbound Drop Copy FIX clients only)

856

TradeReportType

INT

Type of trade report

Possible values:

0: Submit
1: Alleged
2: Accept
3: Decline
5: No was
6: Cancel
11: Alleged new
13: Alleged no was
101: Notification (Inbound Drop Copy FIX clients only)
102: Waiting for cancel approval (Enlight trades only)
103: Partially filled (Enlight trades only)
999: Unknown
1000: Clearing

16963

Seq

INT

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

1123

TradeHandlingInstr

CHAR

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

Possible values:

0: Trade confirmation
1: Two-party report
2: One-party report for matching
3: One-party report for pass through
4: Automated floor order routing
7: Third-party report for pass through
8: Trade handling instrument pending trade report
9: Trade handling instrument completed trade report
A: Trade handling instrument expired trade report
B: Trade handling instrument broadcast
C: Trade handling instrument pending approval
D: Trade handling instrument approved
E: Trade handling instrument pending cancel

828

TrdType

INT

The type of wholesale trade.

Possible values:

0: Regular Trade
1: Block Trade
2: Exchange For Physical
3: Transfer
11: Exchange For Risk
12: Exchange For Swap
14: Exchange Of Options For Options
22: OTC Privately Negotiated Trade (Inbound Drop Copy FIX clients only)
23: Substitution of futures for forwards (Inbound Drop Copy FIX clients only)
45: Option exercise (Inbound Drop Copy FIX clients only)
51: Average Price (Eurex)
54: Large Notional Off Facility Swap (Inbound Drop Copy FIX clients only)
55: Exchange basis facility (Inbound Drop Copy FIX clients only)
57: Netted trade (Inbound Drop Copy FIX clients only)
58: STP Block swap trade (Inbound Drop Copy FIX clients only)
59: Credit event trade (Inbound Drop Copy FIX clients only)
60: Succession event trade (Inbound Drop Copy FIX clients only)
1000: Volatility
1001: EFP Financial
1002: EFP Index Futures
1003: Strategy Block Trade
1004: Block Standard CF
1005: Block Combination CF
1006: EFS EFP CF
1007: Block Internal CF
1008: Portfolio CF
1009: Correction CF
1010: Block Combination Buyer CF
1011: Block Combination Seller CF
1012: EFS EFP Combination CF
1013: EFS EFP Combination Buyer CF
1014: EFS EFP Combination Seller CF
1015: OTC Standard CIO
1016: OTC Combination CIO
1017: OTC Combination Buyer CIO
1018: OTC Combination Seller CIO
1019: Standard Trade CD
1020: Standard Outside Spread CD
1021: Combination CD
1022: Old CD
1023: Internal CD
1024: Portfolio CD
1025: Correction CD
1026: Exchange Granted FD
1027: Standard Outside FD
1028: Off Hours FD
1029: Block FD
1030: Exch Granted Exceed Max Lot FD
1031: Exch Granted Eml Off Hours FD
1032: Exch Granted Late FD
1033: Flex Contract Conversion FD
1034: Ice Efrp
1035: Iceblk
1036: Basis
1037: Volatility Contingent
1038: Stock Contingent
1039: CCX EFP
1040: Other Clearing Value
1041: N2EX
1042: EEX
1043: EFS EFP Contra
1044: Efm
1045: Ng EFP EFS
1046: Contra
1047: Cpblk
1048: Bilateral Off Exch
1049: OTC Privately Negotiated Trades
1050: OTC Large Notional Off Facility Swap
1051: Block Swap Trade
1052: Large in Scale (Eurex)
1053: Against Actual (Eurex)
1054: Large in Scale Package (Eurex)
1055: Guaranteed Cross (Eurex)
1056: Request for Cross (Eurex)
1057: EEP CD (NDAQ_EU)
1058: Buyer and Seller No Clearing CD (NDAQ_EU)
1059: Buyer No Clearing CD (NDAQ_EU)
1060: Seller No Clearing CD (NDAQ_EU)
1061: EEP No Fee CD (NDAQ_EU)
1062: Match Exch Manually CD (NDAQ_EU)
1063: Match Exch Combination CD (NDAQ_EU)
1064: Future DS Future Combo CD (NDAQ_EU)
1065: Block Nonfinancial CD(NDAQ_EU)
1066: Exchange for Swap Options CD (NDAQ_EU)
1067: Block Nonfinanical CP CF (NDAQ_EU)
1068: Exchange for Swap Options CF ((NDAQ_EU)
1069: Asset Allocation
1070: Cross Contra Trade
1071: Type Committed (MX/LSE/IDEM/CurveGlobal)
1072: Type Internal (HKEX)
1073: Type Inter-Bank (HKEX)
1074: J-Net One-Sided (OSE)
1075: J-Net Cross (OSE)
1076: EFP Bond
1077: EFP SPI XJO
1078: Cash Related Trade
1079: Non-disclosed OTC Trade
1080: Disclosed OTC Trade
1081: SI Trade
9999: Unknown

LastShares

QTY

Indicates the number of contracts that just filled

151

LeavesQty

QTY

Number of contracts that are still working in the market

LastPx

PRICE

Price of this fill

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

AvgPx

PRICE

Average price of all fills on this order

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

TradeDate

LOCALMKTDATE

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

1125

OrigTradeDate

LOCALMKTDATE

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

625

TradingSessionSubID

STRING

Assigns a specific trading session to the trade. Currently used to support SGX Over-the-Counter (OTC) trade reporting.

Tag 625 accepts values as a string however, the following enums are reserved and specific to SGX OTC trades:

Possible values:

1: Pre-Trading
2: Opening / opening auction
3: Continuous
4: Closing / closing auction
5: Post-Trading
6: Intraday Auction
7: Quiescent

818

SecondaryTradeReportID

STRING

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

820

TradeLinkID

STRING

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

1003

TradeID

STRING

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

1126

OrigTradeID

STRING

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

8016

TradingVenueRegulatoryTradeID

STRING

Sent only for MIFID II exchanges when made available by the exchange and which is different than tag 17 (ExecID).

Code assigned by the trading venue to the transaction pursuant to Article 12 of RTS on the maintenance of relevant data relating to orders in financial instruments, (a/k/a Trading Venue Transaction ID Code or TV TIC).

880

TrdMatchID

STRING

Identifier assigned to a trade for ASX clearing purposes (clearing deal number).

20016

FutureReferencePrice

PRICE

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

Note: Valid only for NFX

442

MultiLegReportingType

CHAR

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

Possible values:

1: Single security
2: Individual leg of multi-leg security
3: Parent of multi-leg security (summary fill)

483

TransBkdTime

UTCTIMESTAMP

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

1390

TradePublishIndicator

INT

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

Possible values:

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

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.

Instrument

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

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.

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.

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

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

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

Name of the sub-market where the instrument trades.

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.

TT FIX uses this value to identify a security.

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).

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

16624

AccountRiskGroup

STRING

Sent only for FIX Drop Copy OUT sessions.

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

552

NoSides

NUMINGROUP

Repeating group for sides of the trade

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)

802

NoPartySubIDs

NUMINGROUP

For Inbound Drop Copy Only

Number of PartySubID (523) and PartySubIDType (803) entries.

523

PartySubID

STRING

For Inbound Drop Copy Only

Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.

803

PartySubIDType

INT

For Inbound Drop Copy Only

Type of PartySubID(523) value.

Possible values:

5: Full legal name of firm
9: Contact name
26: Position account type

ClOrdID

STRING

Sent only for solicited orders (those placed through TT FIX Order Router)

For Inbound Drop Copy Only

Unique identifier as defined by the client application

578

TradeInputSource

STRING

For Inbound Drop Copy FIX clients only

Type of input device or system from which the trade was entered

582

CustOrderCapacity

INT

Capacity of customer placing the order

For Inbound Drop Copy FIX clients only

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

16116

OrderIDGUID

STRING

TT order ID

1152

LegNumber

INT

Deprecated

The leg sequence number for a strategy

16849

SideTextA

STRING

Order Tag Default values for Text A in Setup

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

Note: This tag is supported on a limited number of exchanges (e.g., JPX, HKEX, SGX, etc). For unsupported exchanges, TT will echo the tags back without passing them to the exchange.

16850

SideTextB

STRING

Order Tag Default values for Text B in Setup

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

Note: This tag is supported on a limited number of exchanges (e.g., JPX, HKEX, SGX, etc). For unsupported exchanges, TT will echo the tags back without passing them to the
exchange.

16851

SideTextC

STRING

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

Note: Only supported for HKEX Wholesale Orders.

16601

EchoDC_01

STRING