| 48 | SecurityID | STRING | Y | TT security ID that uniquely identifies the instrument in the TT platform.
|
| 22 | IDSource | STRING | N | 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
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
|
| 207 | SecurityExchange | EXCHANGE | C | 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
|
| 100 | ExDestination | EXCHANGE | CSent when available for FIX 4.2 sessions
| Name of the sub-market where the instrument trades.
ISO 10383 defines a comprehensive list of MIC codes.
TT FIX uses this value to identify a security.
|
| 30 | LastMkt | EXCHANGE | CSent when available for FIX 4.4 sessions
|
Market of execution for last fill, or an indication of the market
where an order was routed.
ISO 10383 defines a comprehensive list of MIC codes.
|
| 461 | CFICode | STRING | N |
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.
|
| 167 | SecurityType | STRING | C | 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
|
| 460 | Product | INT | N | Product type associated with the security.
Note: Sent only in
Security
Definition (d)
and
Execution
Report (8)
messages.
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
|
| 107 | SecurityDesc | STRING | N | Security description.
|
| 55 | Symbol | STRING | C | Exchange-provided product symbol for the tradable product.
|
| 200 | MaturityMonthYear | MONTHYEAR | CSent when Tag 167 (SecurityType) is not MLEG or SPOT
| Month and year the instrument reaches maturity in the format YYYYMM.
|
| 541 | MaturityDate | LOCALMKTDATE | CSent when Tag 167 (SecurityType) is not MLEG or SPOT
| Maturity date in format YYYYMMDD.
|
| 205 | MaturityDay | DAYOFMONTH | CSent when multiple contracts exist for the same month
| Day of expiration for the instrument.
Range: 1-31
|
| 18223 | ContractYearMonth | STRING | N | Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
|
| 18211 | DeliveryTerm | CHAR | CSent when 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.
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
|
| 743 | DeliveryDate | LOCALMKTDATE | C | Date for contract delivery
|
| 64 | SettlDate | LOCALMKTDATE | CSent when tag 167 (SecurityType) = FOR or NDF
| Settlement date
|
| 9020 | FixingDate | LOCALMKTDATE | CSent when tag 167 (SecurityType) = NDF
| Fixing date
|
| 9032 | ReportingParty | BOOLEAN | CSent when tag 167 (SecurityType) = NDF
| Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.
|
| 9012 | IsFirm | INT | CSent when tag 167 (SecurityType) = FOR or NDF
| Indicates the type of quote that was crossed.
|
| 201 | PutOrCall | INT | CSent when Tag 167 (SecurityType) is OPT
| Whether the option represents a put or call
|
| 202 | StrikePrice | PRICE | CSent when Tag 167 (SecurityType) is OPT
| Strike price for an option
|
| 9787 | DisplayFactor | STRING | C |
Factor to use when multiplying prices sent from a FIX client and
dividing prices sent from TT FIX
|
| 15 | Currency | CURRENCY | C | ISO-standard symbol for the instrument’s trading currency.
|
| 70 | AllocID | STRING | C |
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
|
| 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 | Y |
Alternate ID for an instrument or security, typically for display
purposes.
| | 456 | SecurityAltIDSource | STRING | CSent when tag 455 (SecurityAltId) is sent
| 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.
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):
- ASX
- DGCX
- CFE
- CME
- EEX
- EUREX
- Euronext
- Hkex
- ICE
- ICE_L
- LME
- MEFF
- MX
- OSE
- SGX
- TFX
- TOCOM
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
| | 16207 | BloombergSecurityExchange | STRING | C | New tag for TT
Name of the market where the instrument of the SecurityAltID (455) value trades.
|
|
| 762 | SecuritySubType | STRING | N | 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”.
|
| 555 | NoLegs | STRING | Y | 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.
| | 616 | LegSecurityExchange | EXCHANGE | CRequired 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
| | 18100 | LegExDestination | EXCHANGE | CRequired 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.
| | 602 | LegSecurityID | STRING | CRequired 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.
| | 603 | LegIDSource | STRING | CRequired 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.
| | 600 | LegSymbol | STRING | N | 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.
| | 608 | LegCFICode | STRING | N | Multileg instrument’s individual security’s CFICode (tag 461).
See CFICode (461) field for description
| | 620 | LegSecurityDesc | STRING | N | Leg security description.
| | 607 | LegProduct | INT | N | 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
| | 609 | LegSecurityType | STRING | N | 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)
| | 764 | LegSecuritySubType | STRING | N | SecuritySubType of the leg instrument.
See SecuritySubType (762) field for description
| | 610 | LegMaturityMonthYear | MONTHYEAR | N | Multi-leg instrument’s individual security’s MaturityMonthYear
| | 611 | LegMaturityDate | LOCALMKTDATE | N | Multi-leg instrument’s individual security’s MaturityDate.
| | 18314 | LegMaturityDay | DAYOFMONTH | N | Multi-leg instrument’s individual security’s MaturityDay.
| | 612 | LegStrikePrice | PRICE | N | Multi-leg instrument’s individual security’s StrikePrice.
| | 1358 | LegPutOrCall | INT | CRequired when Tag 609 (LegSecurityType) is OPT
| Whether the option represents a put or call
| | 624 | LegSide | CHAR | N | 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 | N |
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.
| | 1420 | LegExerciseStyle | INT | N | 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.
| | 556 | LegCurrency | CURRENCY | N | Currency associated with a particular leg’s price
| | 561 | RoundLot | QTY | N | The trading lot size of a security.
| | 566 | LegPrice | PRICE | N | Price of the leg for a multi-leg instrument
| | 687 | LegQty | QTY | N | Quantity of this leg.
| | 654 | LegRefID | STRING | N | 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.
| | 637 | LegLastPx | PRICE | N | Execution price assigned to a leg of a multileg instrument.
| | 18224 | LegContractYearMonth | STRING | N | Contract term of the underlying instrument in the form, YYYYMMM
| | 18212 | LegDeliveryTerm | CHAR | CRequired 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
| | 18213 | LegDeliveryDate | LOCALMKTDATE | C | Date for contract delivery
| | 1366 | LegAllocID | STRING | CSent when provided by the exchange.
|
Identifier assigned to a leg of a multi-leg trade for ASX clearing
purposes (clearing deal number).
| | 16568 | LegAvgPx | PRICE | C | The average (mean) price for the legs of a spread.
This value will be populated on Summary Spread Fill Execution Reports.
| | 16615 | LegTTRoutingAccount | STRING | N | TT Routing Account for the leg. Valid for routing synthetic spread orders only.
Note: TT Routing Account for the leg. Valid for routing synthetic spread orders only.
| | 604 | NoLegSecurityAltID | NUMINGROUP | CSent when there are one or more alternate leg security IDs
| Number of alternate leg security IDs contained in this repeating group
| | 605 | LegSecurityAltID | STRING | Y | Alternate ID for an instrument or security, typically for display purposes.
| | 606 | LegSecurityAltIDSource | STRING | Y | 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
| | 16616 | LegBloombergSecurityExchange | STRING | N | Name of the market where the instrument of the LegSecurityAltID (605) value trades.
|
| | 16120 | LegNoFills | NUMINGROUP | CSent 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.
| | 16121 | LegFillExecID | STRING | C | Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
| | 16122 | LegFillPx | PRICE | C | Price of this leg fill
| | 16123 | LegFillQty | QTY | C | Quantity of this leg fill
| | 16124 | LegFillTradingVenueRegulatoryTradeID | STRING | CSent if available when tag 16120 > 0
| Trading Venue transaction identification code of this leg fill
| | 16125 | LegFillLastLiquidityIndicator | INT | N | 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
|
|
|
