FIX Profiles

FIX Profiles

Configuring FIX Rules

Using the Rules tab, you can define the following types of rules for a FIX profile:

  • Message — Defines which messages to pass through conditionally or drop.
  • Tag — Defines routing actions to take based on FIX tags.

Defining message rules

A message rule will either pass or drop a FIX message sent to and from a FIX client. You can define the following types of message rules:

  • Drop to stop the message from being forwarded to its destination.
  • Conditional to specify an action to take based on a message type and the value of tags in the message.
  • Custom to take an action defined by a user-defined script.

    Note: Custom actions are available for advanced users only. Please contact TT support before assigning custom actions.


Configuring a drop action

If either a FIX client or an exchange does not support a particular FIX message, you can use the drop action to prevent the message from being sent.

To configure a drop action, click Message in the Rules Settings section to select which FIX message to drop. Then click Save Changes.

Configuring a conditional action

A conditional action instructs TT FIX to pass or drop a message based on the value of a specific tag in the message. The following example uses a conditional action to allow a FIX client to prevent FIX clients from submitting any new order whose side is neither Buy nor Sell.

You can also use the select an Exchange to provide an extra condition to support exchange-specific tag values. This example expands the NewOrderSingle message rule to add a repeating data item that also sends the message when tag 54=8 (Cross) if tag 207=Eurex.

Defining tag rules

Tag rule actions allow you to manipulate tags and tag values in the messages sent between FIX clients and TT FIX. For example, you can drop tags sent from TT FIX in an Execution Report (8) message that your FIX client does not support. You can define the following types of tag rules:

  • Add to add a tag and value to a message.
  • Assign to assign the value to tag
  • Conditional to specify an action to take based on a message type and the value of tags in the message
  • Custom to take an action defined by a user-defined script
  • Drop to stop the tag from being forwarded to its destination
  • Multiply to multiply a numeric tag value by a number
  • Prepend to add text to the beginning of an existing tag value
  • Postpend to add text to the end of an existing tag value
  • Remap to assign the value of one tag to that of another tag
  • RemapGroup to remap the values for a group of tags
  • Custom to take an action defined by a user-defined script.

    Note: Custom actions are available for advanced users only. Please contact TT support before assigning custom actions.

Add action

The Add action allows you to add a value to tag that contains a numeric value.

To configure an add action for a tag:

  1. In the Rules Settings section, click Message to select the FIX message whose tag you want to configure.

  2. Choose whether to Ignore rule if a value for this tag already exists.

  3. Enter the Tag number you want to modify.

  4. Enter the Numeric amount to add to the value of the specified tag.

  5. Click Save Changes.

Assign action

This tag rule allows you change the value of a tag before forwarding the message on to the receiving party or to add a tag isn't sent by one party before sending the message to the counter-party. The classic example of using an add action would be adding tag 1 (Account) on order messages sent by a FIX client, when the FIX client system doesn't send tag 1 on its orders, because TT FIX requires tag 1 on order messages.

Conditional action

TT FIX allows you to take actions conditionally based on the value of an input tag. For example, suppose you wanted to assign a different tag 1 (Account) value on order routing messages based on the tag 100 (ExDestination) value sent by the FIX client. You could create a conditional tag rule in the FIX profile to do that.

You can also use select an Exchange to provide an extra condition to support exchange-specific tag values. This example modifies the value of tag 48 (SecurityID) based on a combination of the value of tag 456 (SecurityAltIDSource) and the Exchange. These two conditions identify which tag 455 (SecurityAltID) value in the security alt ID repeating group to use when remapping the value to tag 48 based on the exchange specified tag 207 (SecurityExchange).

Drop action

When a FIX client and TT FIX use different FIX specifications, the same message could support different sets of tags. In this situation, you might need to remove tags so the messages conform to the corresponding counter-party's requirements.

Multiply action

To configure an multiply action for a tag:

  1. In the Rules Settings section, click Message to select the FIX message whose tag you want to configure.

  2. Enter the Tag number you want to modify.

  3. Enter the Multiplier to the tag value multiplier.

  4. Click Save Changes.

Prepend action

The prepend action allows you to add a text string to the beginning of a tag value.

Postpend action

The postpend action allows you to add a text string to the end of a tag value.

Remap action

Suppose a FIX client uses a custom tag, 2000 (IsEnergy), to identify an energy contract that trades in flow instead of the contract quantity. TT FIX, however, uses tag 16464 (TradesInFlow) to indicate that information. To avoid having to rewrite the FIX client, you could use the remap action for a Security Definition (d) message to put the value from TT FIX into the tag used by the FIX client, as shown in the following example.

RemapGroup action

To configure a remap action for a tag:

  1. In the Rules Settings section, click Message to select the FIX message whose tag you want to configure.

  2. Choose whether to Ignore rule if a value for this tag already exists.

  3. Enter the Tag number whose value you want to set.

  4. Enter the Input source tag number containing the value you want put in the specified tag.

  5. In the Repeating Data section, click +Add.

  6. For each of the tags you want to remap:

    • Enter the Tag number whose value you want to set.
    • Set the Action to Remap.
    • Enter the Input source tag number containing the value to want to put in the specified tag.
  7. Click Save Changes.

Copying rules

To copy a message or tag rule:

  1. Select the FIX rule you want to copy, and click Copy Rule.

  2. Select the message you want to associate with the copied rule, and click Copy.

  3. Edit the new rule, if desired, and click Save Changes.