Execution Report (8) Message

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Execution Report (8) Message

Purpose

Used to send order information to a FIX client, such as confirmations, fills, and unsolicited changes

Message Direction

From TT FIX to FIX client

Tag Directory

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

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ExecutionReport

Tag

Name

Type

Required

Comments

Header

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

35=8 (MsgType)

8	BeginString	STRING	Y	FIX protocol version The tag indicates the beginning of a new message. This tag must be the first tag in the message. You must set the value to FIX.4.2 or FIX.4.4.
9	BodyLength	INT	Y	Message length (in characters) The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35	MsgType	STRING	Y	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values: 0: Heartbeat 1: Test Request 2: Resend Request 3: Reject 4: Sequence Reset 5: Logout 8: Execution Report 9: Order Cancel Reject A: Logon B: News c: Security Definition Request D: Order Single d: Security Definition e: Security Status Request f: Security Status F: Order Cancel Request G: Order Cancel Replace Request H: Order Status Request Q: Don’t Know Trade (Inbound Drop Copy only) R: Quote Request V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AD: Trade Capture Report Request AE: Trade Capture Report AQ: Trade Capture Report Request Ack
49	SenderCompID	STRING	Y	ID of the FIX session The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56	TargetCompID	STRING	Y	FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50	SenderSubID	STRING	C Sent if TT User Setup specifies an exchange operator ID	Unique ID for the message sender For CME, the value corresponds to the Operator ID.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	N	Unique Trader ID (can also be provided in Tag 50 (SenderSubID)) The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	STRING	C Sent in Execution Report (8) and Order Cancel Reject (9) messages.	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.
34	MsgSeqNum	SEQNUM	Y	Message sequence number
43	PossDupFlag	BOOLEAN	C Sent when TT FIX resends messages	Whether the sequence number for this message is already used Possible values: N: NO: Original transmission Y: YES: Possible duplicate
97	PossResend	BOOLEAN	C Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.	Whether the message might contain information that has been sent under another sequence number Possible values: N: NO: Original transmission Y: YES: Possible resend
122	OrigSendingTime	UTCTIMESTAMP	C 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.

ExecID

STRING

Sent unless an Order Status Request (H) message returns no orders.

Exchange-provided unique identifier for this execution report.

Uniqueness varies based on the exchange and is typically limited to a single trading day or the life of a multi-day order. Firms that want to maintain historical archives should consider appending a date to the ExecID value to ensure uniqueness across days. Firms that need a unique ExecID for the life of an order can use Tag 16612 as an alternative.

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

16612

UniqueExecID

STRING

TT-generated execution ID in the form of a short-form GUID, no more than 22-characters in
length.

ExecRefID

STRING

Sent when Tag 20 (ExecTransType) = 2 (Correct); also sent for FIX 4.4 when Tag 150 (ExecType) = G (Trade Correct) or H (Trade Cancel).

Reference identifier used with Correct transaction types

Tag 19 (ExecRefID) will be populated with the Tag 17 (ExecID) value of the fill that is being corrected.

ExecTransType

CHAR

Type of execution report

Note: This tag is sent only for FIX 4.2 Execution Reports. This functionality is replaced with Tag 150 (ExecType) for FIX 4.4.

Possible values:

0: New
1: Cancel
2: Correct
3: Status (in response to an Order Status Request (H) message)

OrderID

STRING

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

The value remains constant for the life of an order.

Note: The value is unique per TT environment.

198

SecondaryOrderID

STRING

Sent unless an Order Status Request (H) message returns no orders.

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

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

ClOrdID

STRING

A unique identifier for an order, assigned by a FIX client, must be guaranteed to be unique within a single FIX trading session. The value of Tag 11 can be reused after a daily or weekly FIX session reset.

When Compliance Feed is enabled on TT Drop Copy, for order actions not initiated by FIX Order Router, TT generates a ClOrderID. This identifier is also unique within a single FIX trading session, and Tag 11 values may be reused after each session reset. The maximum length for Tag 11 generated by TT is 20 characters.

526

SecondaryClOrdID

STRING

Sent when provided by the exchange

Unique identifier for the order as assigned by the buy-side

527

SecondaryExecID

STRING

Sent unless an Order Status Request (H) message returns no orders.

Exchange-generated fill ID

For exchanges that do not provide this tag, the value will be set to order_id:order_sequence.

OrigClOrdID

STRING

Sent if available

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

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

10011

TTClOrdID

STRING

Sent when available

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

16116

OrderIDGUID

STRING

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

TT order ID

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

150

ExecType

CHAR

Indicates the reason for sending this Execution Report

Possible values:

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

ExecInst

MULTIPLESTRINGVALUE

Sent when available

Execution instructions sent in the order request

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

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

103

OrdRejReason

INT

Sent when Tag 150 (ExecType) is 8 (Reject)

Reason for rejecting the incoming request

Possible values:

0: Broker option
1: Unknown symbol
2: Exchange closed
3: Order exceeds limit
4: Too late to enter
5: Unknown order
6: Duplicate order
7: Duplicate of a verbally-communicated order
8: Stale order
9: Trade along required
10: Invalid Investor ID
11: Unsupported order characteristic
12: Surveillance option
13: Incorrect quantity
14: Incorrect allocated quantity
15: Unknown account
16: Price exceeds current price band
18: Invalid price increment
19: Message pending
20: Routing error
99: Other
1003: Market closed
1007: FIX field missing or incorrect
1010: Required field missing
1011: FIX field incorrect
1012: Price must be greater than zero
1013: Invalid order qualifier
1014: User not authorized
2013: Market hours not suported by opposite
2019: Invalid expire date
2044: Order not in book
2045: Order not in book 2
2046: Disclosed qty cannot be greater
2047: Unknown contract
2048: Cancel with different sender comp id
2049: ClOrdId different than correleation ClOrdId
2050: ClOrdId different than original ClOrdId
2051: Different side
2052: Different group
2053: Different security type
2054: Different account
2055: Different qty
2056: Cancel with different trader id
2058: Stop price must be greater
2059: Stop price must be smaller
2060: Sell stop price must be below ltp
2061: Buy stop price must be above ltp
2100: Different product
2101: Different inflight fill modification
2102: Modify with different sender comp id
2103: Modify with different trader id
2115: Order qty outside allowable range
2130: Invalid order type for pcp
2137: Order price outside limits
2179: Order price outside bands
2311: Invalid order type for group
2500: Instrument cross request in process
2501: Ordr qty too low
2600: Market maker protection has tripped
4000: Engine did not respond
6001: Pending replace
6002: Pending cancel
7000: Order rejected
7001: Contract not gtc gtd eligible
7009: Contract past expiration
7011: Max contract working qty exceeded
7015: Modify with different side
7018: Contract not gtc gtd eligible 2
7020: No trading calendar for expire date
7021: Expire date beyond instrument expiration
7022: Expire date beyond leg instrument expiration
7024: Market in no cancel
7027: Invalid order type for reserved market
7028: Order session date in past
7613: Disclosed qty cannot be smaller
9999: Technical error function not performed

16131

RejectSource

INT

Source of the reject message.

Possible values:

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

168

EffectiveTime

UTCTIMESTAMP

Time to start working the order.

Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.

126

ExpireTime

UTCTIMESTAMP

Time to stop working the order.

Text

STRING

Sent when the TT FIX needs to send additional information

Additional information about the message

378

ExecRestatementReason

INT

Sent when Tag 150 (ExecType) = D (Restated)

Reason for the restatement

Note: For markets using OM API for orders, (HKEX, JPX, SGX), if the exchange does not respond immediately to an order request, the TT Order Connector will send a Pending Execution Report with the following fields:

- 150=D (Restated)
- 39=A (Pending new)
- 378=9002 (Pending)

Possible values:

0: GT corporate action
1: GT renewal
2: Verbal change
3: Repricing of order
4: Broker option
5: Partial decline of order quantity
6: Cancel on trading halt
7: Cancel on system failure
8: Market
9: Cancel not best
10: Warehouse recap
11: Peg refresh
50: Control user activity (Inbound Drop Copy only)
51: Corporate manager activity (Inbound Drop Copy only)
52: Branch manager activity (Inbound Drop Copy only)
53: Exchange and FIX server connection down (Inbound Drop Copy only)
99: Other
100: Cancel on disconnect
103: Cancel oldest (resting) due to self-match prevention
104: Cancel from credit violation
105: Cancel from firmsoft
106: Cancel from risk
107: Cancel newest (aggressing) due to self-match prevention
108: Cancel due to minimum lot size not met
109: Cancel by system
110: Cancel by proxy
111: Cancel due to order expiry
112: Cancel due to order outside price limits
113: Cancel due to session transition
114: Cancel due to auction delete
115: Cancel due to other reason
116: Order passing request accepted
117: Order passing request rejected
118: Incoming order self match prevention
119: Resting order self match prevention
120: Cancel due to self match prevention
121: GTC/GTD Restatement
122: Reduction of Order quantity
123: Price Sliding Reprice
124: State Change
125: Order passing request initiate
126: Order passing request undo
9000: Unsolicited order recovery
9001: Timeout
9002: Pending
9003: Exec Restatement Reason Revived

OrdStatus

CHAR

Status of the order

Possible values:

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

LastShares

QTY

Sent only when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

Indicates the number of contracts that just filled

LastPx

PRICE

Sent when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

Price of this fill

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

669

LastParPx

PRICE

Sent only for Eris Forward starting swaps when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)

NPV price for the fill of an Eris Forward starting swap or an Eris Forward product listed on the ICE exchange.

AvgPx

PRICE

Average price of all fills on this order

The value is calculated as follows:

If order has no fills, TT FIX sends 0 in this tag.
If the order has fills, TT FIX sends the sum over all fill execution reports of the product of Tag 32 (LastShares) and Tag 31 (LastPx) divided by the Tag 14 (CumQty).
If Tag 442 (MultiLegReportingType) is 2 (Leg), TT FIX sends the average price at which the leg filled.

TransactTime

UTCTIMESTAMP

Time, in UTC, the transaction occurred with microsecond precision.

For example:

Millisecond precision: 60=20170509-22:34:56.881
Microsecond precision: 60=20170509-22:34:56.881321

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

151

LeavesQty

QTY

Number of contracts that are still working in the market

Possible values include:

Value of (Tag 38 (OrderQty) – Tag 14 (CumQty)), if the order is still in the market
0, otherwise

Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contracts that are still working for the leg of the specified strategy.

CumQty

QTY

Total number of contracts that have filled over the life of this order

The value always equals the sum of the Tag 32 (LastShares) of all fill execution reports received for this order, including this one.

Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contacts that have filled for the leg of the specified strategy.

442

MultiLegReportingType

CHAR

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

Possible values:

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

TradeDate

LOCALMKTDATE

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

16611

MlegHeadExecId

STRING

A TT-generated unique ID that may be used to indicate the execution ID for a specific spread
execution and to tie leg executions back to the spread execution message.

Present only if 442=2 or 3 and 150=1, 2 or F.

2404

ComplianceText

STRING

ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.

ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.

If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).

Note: Orders will not be rejected by the exchange if this field is not populated.

Tag 2404 in the TT system behaves as follows:

ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, “Compliance Text”.
If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.

18009

TradingStrategy

INT

Defines the type of trading strategy for the order.

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

Possible values:

1: ARBITRAGE
10: HEDGE
11: DIRECTIONAL

18010

ReverseSpreadOC

INT

Sets whether to reverse the spread on open/close.

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

Possible values:

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

18232

LastTradingDate

LOCALMKTDATE

New tag for TT

LastTradingDate (Tag 18232) represents the final date that the contract may trade or be closed out.

Appears in the format YYYY-MM-DD

393

TotalNumSecurities

INT

Indicates the total number of leg fill messages associated with a spread summary. For certain exchanges, this value may be 0 for outrights. TT forwards this value as received from the exchange, without modification.

Instrument

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

SecurityID

STRING

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

IDSource

STRING

Source for the value of tag 48 (SecurityID).

Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options
instruments in tag 48 (SecurityID):

ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM

Possible values:

4: ISIN number
5: RIC code
8: Exchange symbol
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key

207

SecurityExchange

EXCHANGE

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

Name of the market where the instrument trades.

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

Possible values:

AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
Cboe
CboeFX_SW_NY
CBOT
CFE
CME
Coinbase
CoinFLEX
CurveGlobal
CZCE
DCE
DGCX
EEX
Eurex
Euronext
Fenics
FEX
HKEX
ICE
ICE_L
IDEM
INE
KCG
KRK
LME
LSE
MEFF
MEXDER
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

100

ExDestination

EXCHANGE

Sent when available for FIX 4.2 sessions

Name of the sub-market where the instrument trades.

ISO 10383 defines a comprehensive list of MIC codes.

TT FIX uses this value to identify a security.

LastMkt

EXCHANGE

Sent when available for FIX 4.4 sessions

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

ISO 10383 defines a comprehensive list of MIC codes.

461

CFICode

STRING

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

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

167

SecurityType

STRING

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

Asset class of the instrument.

Possible values:

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

460

Product

INT

Product type associated with the security.

Possible values:

1: Agency
2: Commodity
3: Corporate
4: Currency
5: Equity
6: Government
7: Index
8: Loan
9: Money market
10: Mortgage
11: Municipal
12: Other
13: Financing
14: Energy

107

SecurityDesc

STRING

Security description.

Symbol

STRING

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

Exchange-provided product symbol for the tradable product.

200

MaturityMonthYear

MONTHYEAR

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

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

541

MaturityDate

LOCALMKTDATE

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

Maturity date in format YYYYMMDD.

205

MaturityDay

DAYOFMONTH

Sent when multiple contracts exist for the same month

Day of expiration for the instrument.

Range: 1-31

18223

ContractYearMonth

STRING

Contract term in the form, YYYYMM

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

18211

DeliveryTerm

CHAR

Sent when the delivery term is not monthly

Term of delivery for the instrument.

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

Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.

Possible values:

A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak

743

DeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

SettlDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = FOR or NDF

Settlement date

9020

FixingDate

LOCALMKTDATE

Sent when tag 167 (SecurityType) = NDF

Fixing date

9032

ReportingParty

BOOLEAN

Sent when tag 167 (SecurityType) = NDF

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

9012

IsFirm

INT

Sent when tag 167 (SecurityType) = FOR or NDF

Indicates the type of quote that was crossed.

Possible values:

1: Firm
2: Last Look

201

PutOrCall

INT

Sent when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

202

StrikePrice

PRICE

Sent when Tag 167 (SecurityType) is OPT

Strike price for an option

9787

DisplayFactor

STRING

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

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

Currency

CURRENCY

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

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

AllocID

STRING

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

SecurityAltIDGrp

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

454	NoSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate security IDs	Number of alternate security IDs in this repeating group
455	SecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
456	SecurityAltIDSource	STRING	C Sent when tag 455 (SecurityAltId) is sent	Identifies class or source of the SecurityAltID (455) value. Notes: 99 (Other) is not valid for order routing requests. At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME. Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID): ASX DGCX CFE CME EEX EUREX Euronext Hkex ICE ICE_L LME MEFF MX OSE SGX TFX TOCOM Possible values: 1: CUSIP number (sent only when provided by the exchange) 4: ISIN number 5: RIC code 8: Exchange security ID 91: Ticker Symbol 92: TT product family ID (sent only for Security Definition (d) messages) 93: TT product ID (sent only for Security Definition (d) messages) 94: Alt Symbol (For ICE, the value is the “Cleared Alias” for the contract.) 95: Clearport 97: Alias 98: Name 99: Other (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.) 100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges. A: Bloomberg Code H: Clearing House (Inbound Drop Copy only) S: OpenFIGI ID
16207	BloombergSecurityExchange	STRING	C	New tag for TT Name of the market where the instrument of the SecurityAltID (455) value trades.

762

SecuritySubType

STRING

Sub-type qualification or identification of the SecurityType

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

LegInstrumentGrp

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

Repeating group of legs in a multileg instrument

The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).

Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

555

NoLegs

STRING

Number of legs in the repeating group

Can be zero (e.g. standardized multileg instrument such as an Option
strategy). The value must be provided even if zero.

616

LegSecurityExchange

EXCHANGE

Required when both of the following are true.

The leg instrument trades on a different exchange that the parent instrument.
Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.

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

Possible values:

AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
CBOE
CboeFX_SW_NY
CBOT
CFE
CME
Coinbase
CoinFLEX
CurveGlobal
CZCE
DCE
DGCX
EEX
Eurex
Euronext
Fenics
FEX
HKEX
ICE
ICE_L
IDEM
INE
KCG
KRK
LME
LSE
MEFF
MEXDER
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

18100

LegExDestination

EXCHANGE

Required when both of the following are true.

The leg instrument trades on a different exchange that the parent instrument.
Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.

Execution destination for the leg order as defined by the institution

Some traders use this tag in place of Tag 207 (SecurityExchange) to
identify the exchange.

ISO 10383 defines a comprehensive list of MIC codes.

602

LegSecurityID

STRING

Required when both of the following are true.

The leg instrument trades on a different exchange that the parent instrument.
Both Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

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

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

603

LegIDSource

STRING

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

Multileg instrument’s individual security’s SecurityIDSource.

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

600

LegSymbol

STRING

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

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

See Symbol (55) field for description.

Note: Users can map the value of Tag 600 to a different symbology using the Symbol Mapping feature in User Setup. Refer to the Fix Rules and Symbol Mappings section in the User Setup Help for more information.

608

LegCFICode

STRING

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

See CFICode (461) field for description

620

LegSecurityDesc

STRING

Leg security description.

607

LegProduct

INT

Multileg instrument’s individual security’s product.

Possible values:

1: Agency
2: Commodity
3: Corporate
4: Currency
5: Equity
6: Government
7: Index
8: Loan
9: Money market
10: Mortgage
11: Municipal
12: Other
13: Financing
14: Energy

609

LegSecurityType

STRING

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

Possible values:

FUT: Future
MLEG: Multi-leg
OPT: Option
SPOT: EEX spot products
TBOND: Treasury bond
CS: Common stock
NONE: No security type (Not valid for 35=c, e or V)

764

LegSecuritySubType

STRING

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610

LegMaturityMonthYear

MONTHYEAR

Multi-leg instrument’s individual security’s MaturityMonthYear

611

LegMaturityDate

LOCALMKTDATE

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

18314

LegMaturityDay

DAYOFMONTH

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

612

LegStrikePrice

PRICE

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

1358

LegPutOrCall

INT

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:

0: Put
1: Call

624

LegSide

CHAR

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

Possible values:

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

623

LegRatioQty

FLOAT

Ratio of quantity for this individual leg relative to the entire
multi-leg security

The value represents one of the following:

For a leg of a covered strategy (such as a volatility trade) on CME
or NYSE_Liffe markets, the value represents the delta (expressed as
an integer between 1 and 100).
In all other cases, the value represents the quantity of this leg in
the strategy.

1420

LegExerciseStyle

INT

Type of exercise for a derivatives security.

Possible values:

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

556

LegCurrency

CURRENCY

Currency associated with a particular leg’s price

561

RoundLot

QTY

The trading lot size of a security.

566

LegPrice

PRICE

Price of the leg for a multi-leg instrument

687

LegQty

QTY

Quantity of this leg.

654

LegRefID

STRING

Unique indicator for a specific leg.

Note: Sent only for FIX 4.4 sessions when the tag is
included the corresponding
New Order
Multileg (AB)
request. FIX 4.4 Drop Copy sessions will not send this tag for orders
placed from the TT Trade application.

637

LegLastPx

PRICE

Execution price assigned to a leg of a multileg instrument.

18224

LegContractYearMonth

STRING

Contract term of the underlying instrument in the form, YYYYMMM

18212

LegDeliveryTerm

CHAR

Required when both of the following are true:

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

Term of delivery for the underlying instrument.

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

Possible values:

A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year

18213

LegDeliveryDate

LOCALMKTDATE

Sent when available

Date for contract delivery

1366

LegAllocID

STRING

Sent when provided by the exchange.

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

16568

LegAvgPx

PRICE

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

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

16615

LegTTRoutingAccount

STRING

TT Routing Account for the leg. Valid for routing synthetic spread orders only.

LegSecurityAltIDGrp

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

604	NoLegSecurityAltID	NUMINGROUP	C Sent when there are one or more alternate leg security IDs	Number of alternate leg security IDs contained in this repeating group
605	LegSecurityAltID	STRING	Y	Alternate ID for an instrument or security, typically for display purposes.
606	LegSecurityAltIDSource	STRING	Y	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values: 1: CUSIP number (sent only when provided by the exchange) 4: ISIN number 5: RIC code 8: Exchange security ID 94: Alt Symbol (For ICE, the value is the “Cleared Alias” for the contract.) 95: Clearport 97: Alias 98: Name 99: Other 91: Exchange Ticker A: Bloomberg Code H: Clearing House S: OpenFIGI ID
16616	LegBloombergSecurityExchange	STRING	N	Name of the market where the instrument of the LegSecurityAltID (605) value trades.

LegFillsGrp

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

Repeating group of fills for this leg instrument.

16120	LegNoFills	NUMINGROUP	C Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. “sweeping the market”. Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX.	Number of partial leg fills included in an Execution Report Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121	LegFillExecID	STRING	C Sent when tag 16120 > 0	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122	LegFillPx	PRICE	C Sent when tag 16120 > 0	Price of this leg fill
16123	LegFillQty	QTY	C Sent when tag 16120 > 0	Quantity of this leg fill
16124	LegFillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 16120 > 0	Trading Venue transaction identification code of this leg fill
16125	LegFillLastLiquidityIndicator	INT	N	Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group. Possible values: 1: Added liquidity 2: Removed liquidity

Trader

Information about the trader routing the order.

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

1	Account	STRING	C Sent when available.	Order-routing account The value matches the Tag 1 (Account) in the corresponding request. Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account). Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).
582	CustOrderCapacity	INT	C Send when required by the Exchange	Capacity of customer placing the order Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission). Possible values: 1: Member trading for own account 2: Clearing Firm trading for its proprietary account 3: Member trading for another member 4: All other
10553	TTID	STRING	C Sent when available	TT login email address
18220	BrokerID	STRING	C Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	TT-defined short code for the broker
18221	CompanyID	STRING	C Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	TT-defined name of the firm that sends messages to the exchange. Note: If the Company Administrator specified a FIX Company ID for a managed user in Setup, that value is returned in this tag.
18101	AccountID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT account referenced in tag 1 (Account).
18102	UserID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT user referenced in tag 129 (DeliverToSubId)

Parties

Information about the entities involved in the financial transaction associated with this FIX message.

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

453	NoPartyIDs	NUMINGROUP	N	Number of parties in the PartiesGrp repeating group
448	PartyID	STRING	C Required when NoPartyIds (453) is greater than 0.	Party identifier code Reserved values when 452=3 (ClientID) and 447=P (Short code): 0: Own account; no client 1: PNAL (Pending allocation) 2: AGGR (Aggregated) GU: CME give-up code (to override the Give-up code configured in Setup) SX: SGX give-up code (to override the Give-up code configured in Setup) Reserved when 452=12 (Executing trader) and 447=P (Short code): 3: NORE: Execution decision outside firm
452	PartyRole	INT	C Required when NoPartyIds (453) is greater than 0.	Type or role of PartyID (tag 448) Possible values: 1: Executing firm (formerly FIX 4.2 ExecBroker) 2: Broker of credit 3: Client id (formerly FIX 4.2 ClientID) 4: Clearing firm (formerly FIX 4.2 ClearingFirm) 5: Investor id 6: Introducing firm 7: Entering firm 8: Locate 9: Fund manager client id 10: Settlement location 11: Order origination trader 12: Executing trader (associated with Executing Firm – actually executes) 13: Order origination firm 14: Giveup clearing firm 15: Correspondant clearing firm 16: Executing system 17: Contra firm 18: Contra clearing firm 19: Sponsoring firm 20: Underlying contra firm 21: Clearing organization 22: Exchange 24: Customer account 25: Correspondent clearing organization 26: Correspondent broker 27: Buyer seller 28: Custodian 29: Intermediary 30: Agent 31: Sub custodian 32: Beneficiary 33: Interested party 34: Regulatory body 35: Liquidity provider 36: Entering trader 37: Contra trader 38: Position account 39: Contra investor id 40: Transfer to firm 41: Contra position account 42: Contra exchange 43: Internal carry account 44: Order entry operator id 45: Secondary account number 46: Foreign firm 47: Third party allocation firm 48: Claiming account 49: Asset manager 50: Pledgor account 51: Pledgee account 52: Large trader reportable account 53: Trader mnemonic 54: Sender location 55: Session id 56: Acceptable counterparty 57: Unacceptable counterparty 58: Entering unit 59: Executing unit 60: Introducing broker 61: Quote originator 62: Report originator 63: Systematic internaliser 64: Multilateral trading facility 65: Regulated market 66: Market maker 67: Investment firm 68: Host competent authority 69: Home competent authority 70: Competent authority of the most relevant market in terms of liquidity 71: Competent authority of the transaction 72: Reporting intermediary 73: Execution venue 74: Market data entry originator 75: Location id 76: Desk id 77: Market data market 78: Allocation entity 79: Prime broker providing general trade services 80: Step out firm 81: Brokerclearingid 82: Central registration depository 83: Clearing account 84: Acceptable settling counterparty 85: Unacceptable settling counterparty 118: Party role decision maker 119: Party role client ID house 122: Investment decision maker (IDM) 200: Account code 201: Takeup firm 202: Clearing instruction 203: Customer info 204: Allocation entity ID 205: Account type 206: Giveup firm 207: MIFID ID 208: Composite MIFID ID (ICE only) 209: CTI code 210: LMA clearing account 211: Authorized trader ID (ICE only) 212: Frequent trader ID (CFE only) 213: User (TFEX only) 214: Member (TFEX only) 215: Trading member (TFEX only) 216: Clearing member (TFEX only) 217: Acting user (TFEX only) 218: Trader ID 219: Owner type (TFEX only) 220: Routing Member ID (ICE only) 221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to “SX” when mutually offsetting to SGX. Set 448 to “GU” for all other Give-ups on CME.) 222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup. 223: Secondary Client ID 224: Secondary executing trader 300: Investment Decision in Firm 301: Execution Decision in Firm 302: Investment Decision Country 303: Execution Decision Country 304: Party Role Country Code
2376	PartyRoleQualifier	INT	N	Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448). Default values are set for this tag when PartyRole (tag 452) is one of the following: When 452=3 (Client ID), the default is 2376=23 (Firm). When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person). When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person). Condition: Required when NoPartyIds (453) is greater than 0. Possible values: 22: Algorithm 23: Firm or legal entity 24: Natural person
447	PartyIDSource	CHAR	C Required when NoPartyIds (453) is greater than 0.	Identifies class or source of the PartyID (448) value. Possible values: 1: Korean investor ID 2: Taiwanese qualified investor ID (QFII FID) 3: Taiwanese trading account 4: Malaysian central depository 5: Chinese investor ID 6: UK national insurance or pension number 7: US social security number 8: US employer or tax ID number 9: Australian business number A: Australian tax file number B: BIC C: Generally-accepted market participant identifier D: Proprietary E: ISO country code F: Settlement entity location G: MIC H: CSD participant member code I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document P: Short code

16999

ClearingAccountOverride

STRING

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

Price

PRICE

Sent when Tag 40 (OrdType) is:

2: Limit
4: Stop Limit

Order price

Note: For TT parent synthetic Limit orders where the Limit price is set as an offset relative to a real-time value such as current Bid/Ask/LTP, tag 44 may not be present on parent Execution Reports.

StopPx

PRICE

Sent when Tag 40 (OrdType) is:

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

Trigger price for a stop order.

110

MinQty

QTY

Sent only for Minimum Volume (MV) orders

Minimum quantity for a Minimum Volume (MV) order

1138

DisplayQty

QTY

1088

RefreshQty

QTY

Sent only for disclosed quantity orders

Quantity disclosed for a disclosed quantity (Iceberg) order

OrderQty

QTY

Sent unless an Order Status Request (H) message returns no orders.

Total order quantity

Side

CHAR

Sent unless an Order Status Request (H) message returns no orders.

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

Sent unless an Order Status Request (H) message returns no orders.

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)

As per the FIX 4.2 specification:

For Market On Open (MOO) orders, the TT FIX sends Tag 40 (OrdType) = 1 (Market) and Tag 59 (TimeInForce) = 2 (At The Opening).
For Limit on Open (LOO) orders, the TT FIX sends Tag 40 (OrdType) = 2 (Limit) and Tag 59 (TimeInForce) = 2 (At The Opening).

The TT FIX supports Limit Stop Market (LSM) orders only for Eurex.

828

TrdType

INT

Sent only for wholesale orders and fills

The type of wholesale trade.

Possible values:

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

1194

ExerciseStyle

INT

This value only sent if supported by the exchange.

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

880

TrdMatchID

STRING

Sent when provided by the exchange.

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

1057

AggressorIndicator

BOOLEAN

Sent when provided by the exchange.

Whether the order initiator is an aggressor in the trade.

18217

RefID

STRING

Unique indicator for a specific leg.

18218

TTCustomerName

STRING

The Order Profile applied to the TT account.

Can be used by FIX clients to specify the User Setup Order Profile name to be applied to a new order / change order message.

If the successful lookup includes an Order Profile, the profile name is copied to Tag 18218, TT Customer Name.

OpenClose

CHAR

Sent unless an Order Status Request (H) message returns no orders.

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

Possible values:

O: Open (default, if unspecified)
C: Close
F: FIFO – first in, first out (currently supported only for specific exchanges including INE,CZCE,DCE,SHFE,CHFFE.)

TimeInForce

CHAR

Sent unless an Order Status Request (H) message returns no orders.

How long an order remains active

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

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

Possible values:

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

432

ExpireDate

LOCALMKTDATE

Sent unless Tag 59 (TimeInForce) = 6 (Good Till Cancel)

Date a Good Till Date order expires

1028

ManualOrderIndicator

BOOLEAN

Sent when provided by the Exchange

Whether the order is sent manually or through automated trading logic

Possible values:

Y: Manual
N: Automated

18216

ExchCred

STRING

Sent when provided by the Exchange

Exchange order routing credential that was used to route the order

1385

ContingencyType

INT

Sent when provided by the Exchange

Type of contingency

Possible values:

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

548

CrossID

STRING

Sent for cross orders when provided by the Exchange

Identifier for a cross order

Must be unique during a given trading day. Recommend that firms use the order date as part of the CrossID for Good Till Cancel (GT) orders.

549

CrossType

INT

Sent when provided by the Exchange

Type of cross order submitted to a market

Possible values:

1: Cross AON – cross trade which is executed completely or not. Both sides are treated in the same manner. This is equivalent to an “All or None”
2: Cross IOC – cross trade which is executed partially and the rest is canceled.
3: Cross One Side – cross trade which is partially executed with the unfilled portions remaining active
4: Cross Same Price – cross trade is executed with existing orders with the same price.

571

TradeReportID

STRING

Unique identifier of trade capture report

18222

AOTCPreventionActionType

CHAR

Indicates the action taken to avoid internal crossing orders

Possible values:

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

16728

TotalNumOrders

INT

Included for order book downloads that do not provide Tag 11 (ClOrdID) or Tag 37 (OrderID). For more information about order book downloads, refer to Order Status Request (H).

Number of orders included in the response to an order book download request.

HandlInst

CHAR

Required when submitting a staged order

Order handling instructions.

Possible values:

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

1031

CustOrderHandlingInst

CHAR

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

Simplified Execution Source Code as defined by FIA. Identifies the execution method used for Exchange Traded Derivative trades at point of origin, allowing executing and clearing brokers to easily reference the appropriate brokerage rate for the execution method.

Note: This tag is also included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

Possible values:

C: Vendor-provided Platform billed by Executing Broker
G: Sponsored Access via Exchange API or FIX provided by Executing Broker
H: Premium Algorithmic Trading Provider billed by Executing Broker
D: Other, including Other-provided Screen
W: Desk
Y: Electronic (default)

16106

StagedOrderMsg

STRING

Message text associated with the staged order.

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

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

16110

StagedOrderOwner

STRING

Sent for staged orders (Tag 21 (HandlInst)=3)

ID of the trader working the staged order.

16109

StagedOrderStatus

CHAR

Sent for staged orders (Tag 21 (HandlInst)=3)

Claim status of the staged order

Possible values:

A: Staged order is available to claim
O: Staged order has been claimed

16115

ExternalSource

BOOLEAN

Whether this message was imported from an external source.

16112

NoLinks

INT

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.

Number of links contained in this repeating group

16113

LinkID

STRING

Sent when tag 16112 > 0

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

Example: Distinguish that this is a child order or fill that came from a synthetic parent order. Child orders and fills that came from the same parent order will have the same LinkID.

Note: If the Send Staged / Synthetic Child order / fill message setting is enabled for the FIX session in the Setup application, this tag will contain a shortened ID.

16114

LinkType

CHAR

Sent when tag 16112 > 0

The kind of link.

Note: When LinkType (Tag 16114) equals R, LinkID (Tag 16113) will contain the TT Order ID of the topmost parent order in the chain (e.g., parent/child/grandchild/etc.) of algo orders.

Possible values:

7: Staged child order ID
P: Parent order ID
X: Position transfer ID
8: Staged bulked child order ID
9: Staged stitched child order ID
A: Staged split child order ID
E: Unique execution ID allocated from (FX only)
R: Root algo order ID
F: Parent Account ID

FillsGrp

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

Specifies the partial fills included in this Execution Report

Condition: Sent when tag 1362 > 0

1362	NoFills	NUMINGROUP	C Sent when an order is filled through multiple price levels in a single match transaction, i.e. “sweeping the market,” or when itemizing leg fills from a single summary fill received from the exchange. Sent when tag 1362 > 0.	Number of partial fills included in this Execution Report
1363	FillExecID	STRING	C Sent when tag 1362 > 0	Unique identifier of execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
1364	FillPx	PRICE	C Sent when tag 1362 > 0	Price of this partial fill
1365	FillQty	QTY	C Sent when tag 1362 > 0	Quantity (e.g. shares) bought or sold in this partial fill
16118	FillTradingVenueRegulatoryTradeID	STRING	C Sent if available when tag 1362 > 0	Trading Venue transaction identification code Note: FillTradingVenueRegulatoryTradeID is only populated on execution reports from Eurex and EEX markets. For these markets, tag 8016 will no longer be sent.
16119	FillLastLiquidityIndicator	INT	N	Whether this fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this FillsGrp repeating group. Possible values: 1: Added liquidity 2: Removed liquidity

16623

SpreadLegRatioQty

FLOAT

Ratio of quantity for this individual leg relative to the entire inter-product spread.

Sent only for spread leg fills in FIX 4.4 sessions.

16903

ChildTIF

CHAR

Time-in-Force for the algo child orders

Possible values:

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

StrategyParametersGrp

Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.

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

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

18226

TTSyntheticType

INT

Identifies the type of a parent TT synthetic order, such as an ADL algo, Autospreader or TT Order Type order.

Possible values:

0: Default
1: Ase_Quote
2: Ase_Hedge
3: Ase_Pr
4: Aggregator_Leg
5: Ase_Spread
6: Aggregator
7: Algo
8: Algo_Child
9: Prime_Ase_Spread
10: TT_Bracket
11: TT_Iceberg
12: TT_If_Touched
13: TT_Market
14: TT_Machine_Gun
15: TT_OCO
16: TT_Sniper
17: TT_Stop
18: TT_Time_Duration
19: TT_Time_Sliced
20: TT_Timed
21: TT_Trailing_Limit
22: TT_Volume_Duration
23: TT_Volume_Slice
24: TT_Volume_Participation
25: TT_With_A_Tick
26: TT_Retry
27: TT_OCO_OMA
28: TT_OBV
29: TT_Auto_Hedger
31: SDKAlgo
32: SDKAlgo_Child
33: TT_TWAP
34: TT_VWAP
35: RCM_TWAP
36: RCM_VWAP
37: RCM_POV
38: RCM_SCALEPOV
39: RCM_Brisk
40: RCM_Close
41: RCM_PROWLER
42: RCM_SPLICER

18227

Organization

STRING

User-defined name of the trader’s organization.

18229

ReviewUserID

STRING

Identifies the user who approved the order.

18230

ReviewStatus

INT

Identifies the review or approval status of the order.

Possible values:

1: None
2: Reviewed
3: Approved

OrderAttributesGrp

Attributes associated with the order

Condition: Sent when available

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

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

1724

OrderOrigination

INT

Sent unless an Order Status Request (H) message returns no orders.

Identifies the origin of the order. whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer. The value corresponds to the Direct Electronic Access setting for Order Tag Defaults in Setup.

Possible values:

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

528

OrderCapacity

CHAR

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

Possible values:

A: Agency (maps to [AOTC])
G: Proprietary (maps to [AOTC])
I: Individual (maps to [AOTC])
P: Principal (maps to [DEAL])
R: Riskless Principal (maps to [MTCH])
W: Agent for Other Member (maps to [AOTC])

529

OrderRestriction

CHAR

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

Possible values:

1: Program Trade
2: Index Arbitrage
3: Non-Index Arbitrage
4: Competing Market Maker
5: Acting as Market Maker or Specialist in the security
6: Acting as Market Maker or Specialist in the underlying security of a derivative security
7: Foreign Entity (of foreign government or regulatory jurisdiction)
8: External Market Participant
9: External Inter-connected Market Linkage
A: Riskless Arbitrage
B: Issuer Holding
C: Issuer Price Stabilization
D: Non-Algorithmic
E: Algorithmic

16624

AccountRiskGroup

STRING

Sent only for FIX Drop Copy OUT sessions.

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

16625

TextTTModifyingUser

STRING

Sent when available in the Execution Report.

The TT Username of the user modifying the Text TT field on an existing execution report.

16626

NVDR

BOOLEAN

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

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

16627

TTF

BOOLEAN

Related to TFEX Thai Trust Fund (TTF) trading.

16628

TFUserType

CHAR

Sets the type of user that entered the order.

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

Possible values:

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

8013

TrdRegPublicationReason

INT

Indicates whether the transaction was executed under a pre-trade waiver in accordance with Articles 4 and 9 of Regulation (EU) 600/2014. Pre-trade waiver flag is only applicable to OTC and Block orders and will be provided only when made available by the exchange.

Possible values:

4: ILQD
5: SIZE
6: LRGS

8016

TradingVenueRegulatoryTradeID

STRING

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

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

851

LastLiquidityIndicator

INT

Sent only when tag 39 (OrdStatus) is 1 (Partially Filled) or 2 (Filled).

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.

Possible values:

1: Added liquidity
2: Removed liquidity

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.

16561

TimeReceivedFromExchange

UTCTIMESTAMP

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

16117

OrderSource

INT

TT component that most recently acted on an active order.

Possible values:

0: ASE
2: TTW
3: Invalid
4: TT Trader
6: Mobile
7: ROE
9: External
10: TT FIX
11: Aggregator
12: Bouncer
13: Lambda Liquidator
14: External FIX Adapter
15: Prime ASE
16: Nimbus
17: ADL
18: TTSDK
19: TT Algo
20: ADL Prime
21: TTSDK Prime
22: TT Algo Prime
23: Chart
24: TTD
25: TTD Chart
26: TTINT
27: TT Admin
28: TT .NET API client
29: TT .NET API server
30: C++ API
31: TT Options Risk
32: External upload
33: Stager
34: TT Score
35: FIX Adapter Child Router
36: POT Child Router
37: Terminator

7928

SelfMatchPreventionID

STRING

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

8000

SMPInstruction

CHAR

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

Notes:

This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.

As per ASX ‘s Unintentional Crossing Prevention (UCP) rules, the exchange does not reject trades when a UCP match is detected.

On ASX orders, Tag 8000 (SMPInstruction) is implicitly set to M, Match when a UCP ID value is provided in Tag 7928 (SelfMatchPreventionID).
On ASX trades for such orders, the value in Tag 8000 (SMPInstruction) reflects whether a UCP match was detected or not by the ASX exchange.

Possible values:

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

16857

TTSMPID

STRING

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

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

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

16858

TTSMPInstruction

INT

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

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

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

Possible values:

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

16601

EchoDC_01

STRING