Market Data Request (V) Message

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Market Data Request (V) Message

Purpose

Used to request or manage subscriptions for market data

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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MarketDataRequest

Tag

Name

Type

Required

Comments

Header

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

35=V (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.
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
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.

262

MDReqID

STRING

Unique ID for this request. TT FIX returns this ID in all responses to the request.

263

SubscriptionRequestType

CHAR

Type of request.

Possible values:

0: Snapshot
1: Snapshot plus updates (subscribe)
2: Disable previous (unsubscribe)

Notes:

For Snapshot subscriptions, updates are delivered at one-second intervals or greater.
For Snapshot plus updates subscriptions, updates are delivered at 100-millisecond intervals or greater.

264

MarketDepth

INT

Required when Tag 263 (SubscriptionRequestType) is 0 or 1.

Market depth to return in a snapshot.

You can also set Tag 264 equal to the desired level of depth. For example, setting 264=5 provides only first 5 levels of market depth.

Possible values:

0: Full book
1: Top of book

265

MDUpdateType

INT

Required when Tag 263 (SubscriptionRequestType) is 1.

Type of messages TT FIX sends when updating market data.

Restrictions: Incremental Refresh updates are coalesced at (100) milliseconds; Full Refresh updates are coalseced at (1) second.

Uncoalsesced data is available by special request and requires dedicated infrastructure and additional service fees. Contact TT for more information.

Possible values:

0: Full refresh
1: Incremental

266

AggregatedBook

BOOLEAN

Whether FIX should send aggregated book entries.

TT currently supports only Y. It always sends aggregated book entries, even if this tag is omitted.

Possible values:

N: No
Y: Yes

267

NoMDEntryTypes

NUMINGROUP

Number of different Tag 269 (MDEntryType) fields in the request.

269

MDEntryType

CHAR

Type of market data to request.

The number of tag 269 tags must match the value of tag 267 (NoMDEntryTypes).

Note: When Tag 35 (MsgType) = V, (i.e., Market Data Request) or Tag 35 (MsgType) = X, (i.e., Market Data Snapshot), Tag 269 must be the first tag in each MDEntry repeating group.

Possible values:

0: Bid
1: Ask
2: Trade
4: Opening price
5: Closing price
6: Settlement price
7: Trading session high price
8: Trading session Low price
9: VWAP price (Spot energy products only)
A: Imbalance (B3 Auction and Pre-Open market states only)
B: Trade volume
J: Empty book
L: Leg trade
Y: Implied bid
Z: Implied ask
m: OTC trade (New for TT FIX)
n: Market bid (B3 Auction and Pre-Open market states only)
o: Market ask (B3 Auction and Pre-Open market states only)
p: Indicative open
q: Indicative close
r: Indicative bid
s: Indicative ask
t: Indicative settlement
u: Exchange sending time
v: Exchange transaction time
w: Exchange sequence number (TT internal only)
x: Last traded

146

NoRelatedSym

NUMINGROUP

Number of underlying instruments contained in this repeating group.

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.

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.

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).

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

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

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

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

Name 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

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.

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.

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

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

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.

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.

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.

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.

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

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.

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

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.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

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.

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.

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

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

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

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

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

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

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

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

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).

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.

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	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”.

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.

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

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.

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.

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

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.

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
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

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.

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

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.

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
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).

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

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

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

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

Name 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

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.

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

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

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

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

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.

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.

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.

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.

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

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.

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

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.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

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.

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.

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

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

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

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

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

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

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

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

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).

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.

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	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”.

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.

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

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.

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
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

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.

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

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.

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
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).

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

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

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

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

Name 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

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.

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

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

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

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

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.

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.

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.

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.

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

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.

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

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.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

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.

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.

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

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

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

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

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

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

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

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

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).

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.

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	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”.

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.

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

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.

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
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

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.

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

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.

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
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).

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

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

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

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

Name 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

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.

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

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

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

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

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.

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.

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.

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.

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

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.

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

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.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

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.

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.

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

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

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

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

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

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

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

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

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).

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.

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	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”.

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.

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

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.

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
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

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.

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

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.

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
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

18214

IncludeNumberOfOrders

CHAR

Whether or not to include the number of orders that comprise the quantity in aggregated depth and an indicator as to whether or not that number is exact, when the exchange provides this information.

Note: This tag is supported when tag 269 (MDEntryType) contains any of the following:

0: Bid
1: Ask
Y: Implied bid
Z: Implied ask

Possible values:

N: NO (default)
Y: YES

16959

IncludeQuotes

BOOLEAN

Whether or not to send Quote Request (35=R) messages for the subscribed instruments. Defaults to false if not omitted.

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>.

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 Market Data Request (V) message is used by a FIX client to request market data information from TT FIX. You can request information like the top of book (Bid, Ask, and session prices) and market depth data.

TT FIX responds to a Market Data Request (V) message with a Market Data Snapshot Full Refresh (W) message. Additionally:

If the FIX Client sets Tag 263 (SubscriptionRequestType) to 0, TT FIX sends no further messages. It does not update the market data.
If the FIX Client sets Tag 263 (SubscriptionRequestType) to 1, TT FIX updates market data according to the setting the FIX Client uses in Tag 265 (MDUpdateType):
- 0: To update market data, TT FIX sends Market Data Snapshot Full Refresh (W) messages.
- 1: To update market data, TT FIX sends Market Data Incremental Refresh (X) messages.
If the FIX Client sets Tag 263 (SubscriptionRequestType) to 2, TT FIX stops sending updates.

If TT FIX cannot fulfill a request for market data because the request contains an invalid instrument, it sends a Market Data Request Reject (Y) message.

Note: If you submit this request for an exchange whose Price Server is down, TT FIX also responds with a Market Data Request Reject (Y) message.

Some exchanges disseminate implied prices as well as direct (Bid/Ask) prices. Trying to merge these two separate price streams can result in crossed markets for a brief moment. TT FIX forwards all market data updates from exchanges, so FIX clients can encounter this scenario as well. FIX clients that subscribe for direct and implied prices should be written to account for this possibility.

Related Information

Market Data Snapshot Full Refresh (W)

Market Data Incremental Refresh (X)

Market Data Request Reject (Y)

Theme

Text Size

Line Height

Readability

Letter Spacing

Image Zoom

Market Data Request (V) Message