Importing data using TT FIX

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.

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.

Type of message contained in the message body

This tag must appear third in the list of header tags.

Only 35=8 (Execution Report) is supported.

Assigned value used to identify firm sending message

Assigned value used to identify the receiving firm

Unique ID for the message sender

Message sequence number

Time, in UTC, the message was sent.

Examples:

• For millisecond precision: 60=20170509-22:34:56.881
• For microsecond precision: 60=20170509-22:34:56.881321

Order-routing account

3rd party system username

Type of execution report

Only 20=3 (Status) is supported.

Unique identifier for an order that remains constant for the life of the order

Indicates the reason for sending this Execution Report

Possible values include:

• 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

Order side

Possible values include:

• 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)

Status of the order

Possible values include:

• 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

Indicates the number of contracts that just filled

Condition: Sent only 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.

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

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.

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.

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

Possible values include:

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

Order price

Condition: Sent when Tag 40 (OrdType) is:

• 2: Limit
• 4: Stop Limit

Trigger price for a stop order

Condition: Sent when Tag 40 (OrdType) is:

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

Total order quantity

Sum of working quantities of child orders.

Quantity disclosed for a disclosed quantity (Iceberg) order

Condition: Sent only for disclosed quantity 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)

How long an order remains active

Possible values include:

• 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
• V: Good in Session
• W: Day Plus
• X: Good Till Cancel Plus
• Y: Good Till Date Plus

Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

Date a Good Till Date order expires

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

Additional information about the message

Condition: Sent when the TT FIX needs to send additional information

Unencrypted three-character checksum This tag must always be the last field in a message (i.e. it serves, with the trailing , as the end-of-message delimiter).

ID of the instrument

Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.

Source for the value of tag 48 (SecurityID).

Possible values include:

• 5: RIC code
• 8: Exchange symbol
• 96: TT security ID
• 97: Alias
• 98: Name
• 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

Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.

Name of the market where the instrument trades.

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

Possible values include:

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

Condition: Required when Tag 100 (ExtDestination) 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.

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

Name of the market where the instrument trades.

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

Possible values include:

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

Condition: Required when Tag 100 (ExtDestination) 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.

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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.

Asset class of the instrument.

Possible values include:

• FUT: future
• MLEG: multi-leg
• OPT: option
• SPOT: EEX spot products
• CUR: currency
• TBOND: treasury bond
• CS: common stock
• NONE: No security type (Not valid for 35=c, e or V)

Exchange-provided product symbol for the tradable product.

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

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

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.

Range: 1-31

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

Condition: Required when multiple contracts exist for the same month

Whether the option represents a put or call

Possible values include:

• 0: Put
• 1: Call

Condition: Required when Tag 167 (SecurityType) is OPT

Strike price for an option

Condition: Required when Tag 167 (SecurityType) is OPT