FIX Ruleset

FIX Ruleset

FIX Rules and symbol mappings

The FIX Rulesets tab in the left navigation pane allows you to create FIX Rules and Symbol Mappings.

FIX Rules

A TT FIX Ruleset supports mapping rules that quickly meet the needs of new exchanges or algo provider destinations connecting to the TT platform via the FIX protocol. Use the FIX Rulesets | Rules tab to create and manage your FIX rules to:

  • Specify how to handle messages or tags that either a FIX client or TT FIX does not support.
  • Change the value of a FIX tag or remap one tag to another.
  • Create symbol mappings that convert symbols a FIX client uses to those that TT FIX supports.

Symbol Mappings

A TT FIX Ruleset also allows you to define how to transform messages between FIX clients and TT FIX that use different symbology sets for identifying instruments. Symbol mapping lets FIX clients use their existing methods to identify products and contracts using custom symbols or custom tags. Price conversions can be also be implemented.

Symbol mappings are configured using the FIX Rulesets | Symbol Mappings tab. When creating symbol mappings, you can set the appropriate Client Pattern to define how TT FIX interprets the symbol sent by the FIX client.

Note: For symbols that comprise a single character followed by a space, such as S X8 Comdty, you use replace the space with an underscore for the symbol in the <SYM> pattern. For example, when specifying the mapping for the "S " symbol, you would specify "S_".

Symbol Pattern Description
<SYM>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type do not include expiry details, call/put, strike, or a key. Typically, FIX clients use this format when specifying exchange symbols and routing to FIX Adapter “by name”.

See Component block: Instrument (FIX client request) in the TT FIX help for more details regarding "by security name" routing

<SYM><MY>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type include a symbol followed by the expiry details, always in a two character month and year format, where the first character indicates the month (F=Jan, G=Feb, H=Mar, J=Apr, K=May, M=Jun, N=Jul, Q=Aug, U=Sep, V=Oct, X=Nov, Z=Dec) and the second character is the last digit of the year.

<SYM><MY><KEY>

Indicates that, after the symbol and two character <MY> expiry code, the FIX client’s tag 55 (Symbol) values for the selected exchange and product type includes a space and then a string.

<SYM><MY><C/P>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options include a “C” for call options or a “P” for put options after the two character <MY> expiry code.

<SYM><MY><C/P><KEY>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options also include a space and a string after the “C” or “P” for options after the two character <MY> expiry code.

<SYM><MY><C/P><STRIKE>

When the selected Product Type is OPT, indicates that the FIX client’s tag 55 (Symbol) values for options include a space and the strike price after the “C” or “P” for options.

<SYM><MY><SYM><MY>

When the selected Product Type is MLEG, indicates that the FIX client’s tag 55 (Symbol) values for spreads include the first leg’s symbol, followed by the first leg’s two character <MY> expiry code, followed by the second leg’s symbol, followed by the second leg’s two character <MY> expiry code.

<SYM><MY><SYM><MY><KEY>

When the selected Product Type is MLEG, indicates that the FIX client’s tag 55 (Symbol) values for spreads also include a space and a string after each leg’s symbol and two character <MY> expiry code.

<SYM><MY><MY>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type include a symbol with three or more characters followed bby two two-character expiry codes. Some third-party systems require this pattern for spreads.

<SYM><MY><MY><KEY>

Indicates that the FIX client’s tag 55 (Symbol) values for the selected exchange and product type include a symbol with three or more characters followed by two two-character expiry codes, followed by a space and then a string. Some third-party systems require this pattern for spreads.