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MiFID II Support

Component – Instrument (Request from FIX Clients)

On this page

Overview

When sending the instrument component block in a FIX client request, you can specify the instrument in any of the following methods:

By security ID

You can use the security ID method for all cases. Instead of including the entire instrument block when communicating with TT FIX, client applications can use Tag 48 (SecurityID) and Tag 55 (Symbol).

By security Alt ID

You can only use the security Alt ID method for contracts for which the exchange populates Tag 455 (SecurityAltID). For those exchanges that support alternate security ID (sometimes called aliases), client applications can use Tag 455 (SecurityAltID) to specify its alternate security ID. As instruments on different exchanges can share the same value for SecurityAltID, including SecurityExchange creates a unique identifier for each instrument.

By security name

You can use the security name method for all contracts on all exchanges with the following exceptions. Note that you cannot use the security name method for ICE contracts that use daily, weekly, variable, and undefined delivery terms. You can also identify instruments by specifying its name and characteristics. You might use this method if your application or business practices do not use security IDs.

Instrument
TagNameTypeRequiredComments
48SecurityIDSTRINGY
22IDSourceSTRINGY

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.

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.

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
207SecurityExchangeEXCHANGEC

Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).

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
207SecurityExchangeEXCHANGEC

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
207SecurityExchangeEXCHANGEC

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
100ExDestinationEXCHANGEC

Required when Tag 207 (SecurityExchange) 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.


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.

100ExDestinationEXCHANGEC

Required when Tag 207 (SecurityExchange) is absent

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.


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.

100ExDestinationEXCHANGEC

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.

461CFICodeSTRINGN

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.

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.

167SecurityTypeSTRINGY

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

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.

167SecurityTypeSTRINGY

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
460ProductINTN

Product type associated with the security.

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.

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
107SecurityDescSTRINGN

Security description.

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.

454NoSecurityAltIDNUMINGROUPY

Number of alternate security IDs in this repeating group

455SecurityAltIDSTRINGY

Alternate ID for an instrument or security, typically for display
purposes.

456SecurityAltIDSourceSTRINGY

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.

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
16207BloombergSecurityExchangeSTRINGC

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

55SymbolSTRINGY

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.

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.

55SymbolSTRINGY

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.

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.

55SymbolSTRINGC

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.

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.

200MaturityMonthYearMONTHYEARC

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.

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.

541MaturityDateLOCALMKTDATEC

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.

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.


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

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.

205MaturityDayDAYOFMONTHC

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.

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.

Range: 1-31


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.

Range: 1-31

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

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.

18223ContractYearMonthSTRINGN

Contract term in the form, YYYYMM

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

18211DeliveryTermCHARC

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.

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.

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

Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.

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.

743DeliveryDateLOCALMKTDATEN

Date for contract delivery

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.

201PutOrCallINTC

Required when Tag 167 (SecurityType) is OPT

Whether the option represents a put or call

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.

Possible values:
  • 0: Put
  • 1: Call
202StrikePricePRICEC

Required when Tag 167 (SecurityType) is OPT

Strike price for an option

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.

15CurrencyCURRENCYC

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

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.

206OptAttributeCHARC

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.

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.

762SecuritySubTypeSTRINGN

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.

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.


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.

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.

1194ExerciseStyleINTN

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
1194ExerciseStyleINTN

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
1194ExerciseStyleINTN

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
C

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.

555NoLegsSTRINGY

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.

616LegSecurityExchangeEXCHANGEC

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
18100LegExDestinationEXCHANGEC

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.

602LegSecurityIDSTRINGC

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.

603LegIDSourceSTRINGC

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.

600LegSymbolSTRINGN

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.

608LegCFICodeSTRINGN

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

See CFICode (461) field for description

620LegSecurityDescSTRINGN

Leg security description.

607LegProductINTN

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
609LegSecurityTypeSTRINGN

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)
764LegSecuritySubTypeSTRINGN

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

610LegMaturityMonthYearMONTHYEARN

Multi-leg instrument’s individual security’s MaturityMonthYear

611LegMaturityDateLOCALMKTDATEN

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

18314LegMaturityDayDAYOFMONTHN

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

612LegStrikePricePRICEN

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

1358LegPutOrCallINTC

Required when Tag 609 (LegSecurityType) is OPT

Whether the option represents a put or call

Possible values:
  • 0: Put
  • 1: Call
624LegSideCHARN

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
623LegRatioQtyFLOATN

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.
1420LegExerciseStyleINTN

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.
1420LegExerciseStyleINTN

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.
1420LegExerciseStyleINTN

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.
556LegCurrencyCURRENCYN

Currency associated with a particular leg’s price

561RoundLotQTYN

The trading lot size of a security.

566LegPricePRICEN

Price of the leg for a multi-leg instrument

687LegQtyQTYN

Quantity of this leg.

654LegRefIDSTRINGN

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.

637LegLastPxPRICEN

Execution price assigned to a leg of a multileg instrument.

18224LegContractYearMonthSTRINGN

Contract term of the underlying instrument in the form, YYYYMMM

18212LegDeliveryTermCHARC

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
18213LegDeliveryDateLOCALMKTDATEC

Sent when available

Date for contract delivery

1366LegAllocIDSTRINGC

Sent when provided by the exchange.

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

16568LegAvgPxPRICEC

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

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

16615LegTTRoutingAccountSTRINGN

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

N

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

604NoLegSecurityAltIDNUMINGROUPC

Sent when there are one or more alternate leg security IDs

Number of alternate leg security IDs contained in this repeating group

605LegSecurityAltIDSTRINGY

Alternate ID for an instrument or security, typically for display purposes.

606LegSecurityAltIDSourceSTRINGY

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
16616LegBloombergSecurityExchangeSTRINGN

Name of the market where the instrument of the LegSecurityAltID (605) value trades.

C

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.

16120LegNoFillsNUMINGROUPC

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.

16121LegFillExecIDSTRINGC

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).

16122LegFillPxPRICEC

Sent when tag 16120 > 0

Price of this leg fill

16123LegFillQtyQTYC

Sent when tag 16120 > 0

Quantity of this leg fill

16124LegFillTradingVenueRegulatoryTradeIDSTRINGC

Sent if available when tag 16120 > 0

Trading Venue transaction identification code of this leg fill

16125LegFillLastLiquidityIndicatorINTN

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
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