New Order List (E) Message

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New Order List (E) Message

Purpose

Note New Order List (35=E) messages are supported in TT only by the EPEX and Nord Pool exchanges.

Defines a basket of multiple contracts and submits multiple individual orders in a single message.

For each New Order List (35=E) submitted, the exchange will either accept or reject all component orders in the list. Partial accepts or rejects will not be processed. No ack or reject is sent for the New Order List (35=E) message itself.

If the New Order List (35=E) message is accepted, then the FIX client will receive individual new order acknowledgment Execution Reports (39=0; 150=0) for each order in the list. The working component orders must then be managed individually as separate orders.

If the New Order List (35=E) message is rejected, then the FIX client will receive individual new order reject Execution Reports (39=8; 150=8) for each order in the list.

Note Time-in-force for the individual orders must be either IOC or FOK. No other TIFs are supported for component orders at this time.

Message Direction

From FIX client to TT FIX

Tag Directory

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

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NewOrderList

Tag

Name

Type

Required

Comments

Header

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

35=E (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 Note: If 43=Y is present, TT will reject New Order Single (D), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) messages with a Business Message Reject (j) message. Possible values: N: NO: Original transmission Y: YES: Possible duplicate Note: If 43=Y is present, TT will reject New Order Single (D), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) messages with a Business Message Reject (j) message.
122	OrigSendingTime	UTCTIMESTAMP	C Required for resent messages	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC.
52	SendingTime	UTCTIMESTAMP	Y	Time, in UTC, the message was sent.
57	TargetSubID	STRING	C If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.	Unique ID for the message receiver.

ListID

STRING

Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID <66> field to assure uniqueness across days.

Must be unique, by customer, for the day.

ListExecInst

STRING

Reserved for futre use.

NoOrders

NUMINGROUP

Indicates number of orders to be combined for average pricing and allocation.

ClOrdID

STRING

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

ListSeqNo

INT

Sequence of individual order within list.

OrderID

STRING

Sent only for FIX Drop Copy OUT sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled for the session in TT Setup. The tag is ignored if sent on FIX Order Routing sessions.

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

The value remains constant for the life of an order.

Note: The value is unique per TT environment.

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

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.

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.

461

CFICode

STRING

Type of security using ISO 10962 standard,
Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.

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

167

SecurityType

STRING

Asset class of the instrument.

Possible values:

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

107

SecurityDesc

STRING

Security description.

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

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.

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

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

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.

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

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

200

MaturityMonthYear

MONTHYEAR

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

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

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

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

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

205

MaturityDay

DAYOFMONTH

Required when multiple contracts exist for the same month

Day of expiration for the instrument.

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

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

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

Range: 1-31

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

743

DeliveryDate

LOCALMKTDATE

Date for contract delivery

201

PutOrCall

INT

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

206

OptAttribute

CHAR

Required when both of the following are true:

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

Additional information about the option contract.

762

SecuritySubType

STRING

Sub-type qualification or identification of the SecurityType

For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.

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

Currency

CURRENCY

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

OrderQty

QTY

Total order quantity

799

OrderAvgPx

PRICE

Average price for a specific order

Account

STRING

Required for New Order Single (D) and Order Cancel/Replace Request (G) messages; optional, otherwise.

Order-routing account

Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account).

ExecInst

MULTIPLESTRINGVALUE

Required when submitting a suspended order

Order execution instructions

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

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

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

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

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

Possible values:

2: Work (default)
6: Participate don’t initiate
G: All or none
S: Suspend
o: Cancel on connection loss (valid only for New Order Single (D) and New Order Multileg (AB) messages)
q: Release from suspension
X: Test request

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>.

Price

PRICE

Required when Tag 40 (OrdType) is:

2: Limit
4: Stop Limit

Limit price for limit orders

Side

CHAR

Side of the order

Possible values:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
B: As Defined (FIX 4.4 only)
C: Opposite (FIX 4.4 only)

OrdType

CHAR

Order type

Possible values include:

1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)

TimeInForce

CHAR

How long an order remains active

Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.

Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.

Note: For the SAFEX exchange, you can use 59=6 (Good Til Date) in conjuction with tag 126 (ExpireTime) to submit a Good Til Time (GTT) order.

Note: EPEX and Nord Pool only support 3: Immediate or Cancel (IOC) and 4: Fill Or Kill (FOK).

Possible values:

0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus

432

ExpireDate

LOCALMKTDATE

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

Date a Good Till Date order expires

126

ExpireTime

UTCTIMESTAMP

Time to stop working the order.

Notes:

Omit the tag to work the order until the market closes (GTC).
For the SAFEX exchange, you can use this tag in conjuction with 59=6 (Good Til Date) to submit a Good Til Time (GTT) order.

16556

TextA

STRING

Value corresponding to the Text A field in TT widgets

16557

TextB

STRING

Value corresponding to the Text B field in TT widgets

16558

TextTT

STRING

Value corresponding to the Text TT field in TT widgets

16559

TextC

STRING

Customer-defined text field not sent to exchange.

16601

EchoDC_01

STRING