| 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 | Assigned value used to identify the counterparty
| | 56 | TargetCompID | STRING | Y | Assigned value used to identify TT
| | 34 | MsgSeqNum | SEQNUM | Y | Message sequence number
| | 43 | PossDupFlag | BOOLEAN | CMust be sent when a third-party FIX acceptor 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 | CMust be sent if the message may contain information that has been sent under another sequence number.
| 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 | CSent when a third-party FIX acceptor resends a message
| 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.
|
|
| 320 | SecurityReqID | STRING | Y | Unique ID sent in the Security Definition Request (c) message
The third party FIX acceptor must return this value in all responses associated with the initial request.
|
| 322 | SecurityResponseID | STRING | Y | Unique ID for this Security Definition (d) message.
|
| 48 | SecurityID | STRING | Y | ID that uniquely identifies an instrument. Must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.
| | 55 | Symbol | STRING | CNot used when Tag 167 (SecurityType)=MLEG.
| Exchange-provided product symbol for the tradable product.
|
|
| 393 | TotalNumSecurities | INT | Y | Number of securities that match the Security Definition Request (c) message
|
| 16451 | PriceDisplayType | INT | N | Price code for indicating how TT formats the price for display purposes in the Trade app.
|
| 762 | SecuritySubType | STRING | CSend only when tag 167=”MLEG”.
| 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”.
Exchange-listed strategy type
|
| 231 | ContractMultiplier | FLOAT | Y | Specifies the ratio or multiply factor to convert from “nominal” units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc)
|
| 969 | MinPriceIncrement | DECIMAL | Y | Size of one tick for this instrument
|
| 1146 | MinPriceIncrementAmount | DECIMAL | Y | Value of one tick for this instrument
|
| 864 | NoEvents | NUMINGROUP | Y | Number of entries in the event types repeating group
Currently, TT FIX Gateway uses this group only for the Last Trade Date of the security. Therefore, send 864=1.
|
| 865 | EventType | INT | Y | Type of event
TT supports only value 6 (Inactivation) to represent the Last Trade Date
Possible values:- 5: Expiry date
- 6: Last trading date
- : The following values are only available for EPEX and Nord Pool:
- 13: First delivery date
- 14: Last delivery date
- 101: First trading date
- 102: SDAT first trading date
|
| 866 | EventDate | LOCALMKTDATE | Y | Date the event occurred
|
| 867 | EventPx | PRICE | N | Predetermined price of issue at event, if applicable
Note: TT FIX Gateway does not currently use this tag.
|
| 868 | EventText | STRING | N | Comments related to the event
Note: TT FIX Gateway does not currently use this tag.
|
| 167 | SecurityType | STRING | Y | 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
|
| 107 | SecurityDesc | STRING | N | Security description.
|
| 200 | MaturityMonthYear | MONTHYEAR | CSend when Tag 167 (SecurityType) is not MLEG.
| Month and year the instrument reaches maturity in the format YYYYMM.
|
| 541 | MaturityDate | LOCALMKTDATE | Y | Maturity date in format YYYYMMDD.
Note: The instrument name that displayed on the TT front end is a combination of the values provided in tag 55 (Symbol) and tag 541 (MaturityDate). For example, if tag 55 = ABC and tag 541 = 20260215, the TT front end will show ABC Feb26.
|
| 18211 | DeliveryTerm | CHAR | CSend when the delivery term is not monthly.
| Term of delivery for the instrument.
The third-party FIX acceptor should use 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
- 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
|
| 201 | PutOrCall | INT | CSend when Tag 167 (SecurityType) is OPT.
| Whether the option represents a put or call
|
| 202 | StrikePrice | PRICE | CSend when Tag 167 (SecurityType) is OPT.
| Strike price for an option
|
| 15 | Currency | CURRENCY | Y | ISO-standard symbol for the instrument’s trading currency.
|
| 454 | NoSecurityAltID | NUMINGROUP | CSent when there are one or more alternate security IDs
| Number of alternate security IDs in this repeating group
| | 455 | SecurityAltID | STRING | CSent when tag 454 (NoSecurityAltId) > 0.
|
Alternate ID for an instrument or security, typically for display
purposes.
| | 456 | SecurityAltIDSource | STRING | CSend when tag 454 (NoSecurityAltId) > 0.
| Identifies class or source of the SecurityAltID (455) value.
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
|
|
| 555 | NoLegs | STRING | CSend when the value of tag 167 (SecurityType) is MLEG.
| 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.
| | 602 | LegSecurityID | STRING | CSend when Tag 555 (NoLegs) > 0.
| ID that uniquely identifies an instrument
The value must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.
| | 600 | LegSymbol | STRING | CSend when Tag 555 (NoLegs) > 0.
| Leg instrument’s symbol
| | 609 | LegSecurityType | STRING | CSend when Tag 555 (NoLegs) > 0.
| 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)
| | 610 | LegMaturityMonthYear | MONTHYEAR | CSend when Tag 555 (NoLegs) > 0 and when tag 609 (LegSecurityType) is not MLEG.
| Multi-leg instrument’s individual security’s MaturityMonthYear
| | 611 | LegMaturityDate | LOCALMKTDATE | Y | Multi-leg instrument’s individual security’s MaturityDate.
| | 612 | LegStrikePrice | PRICE | CSend when Tag 555 (NoLegs) > 0 0 and when tag 609 (LegSecurityType) is OPT.
| Multi-leg instrument’s individual security’s StrikePrice.
| | 1358 | LegPutOrCall | INT | CSend when when Tag 609 (LegSecurityType) is OPT.
| Whether the option represents a put or call
| | 624 | LegSide | CHAR | CSend when Tag 555 (NoLegs) > 0.
| 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 | CSend when Tag 555 (NoLegs) > 0.
|
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.
| | 556 | LegCurrency | CURRENCY | CSend when Tag 555 (NoLegs) > 0.
| Currency associated with a particular leg’s price
| | 566 | LegPrice | PRICE | CSend when Tag 555 (NoLegs) > 0 and Tag 623 (LegRatioQty) represents the delta for a covered strategy.
| Price of the leg for a multi-leg instrument
| | 18212 | LegDeliveryTerm | CHAR | CSend when Tag 555 (NoLegs) > 0 and 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
- D: Day
- L: Balance of week
- N: Next day
- Y: Year
|
|
| 10 | CheckSum | STRING | Y | Unencrypted three-character checksum
This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).
|
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