Orchestra

FIX.4.2

unified2orchestra.xslt script

Orchestra

Message Set Overview

The following table lists all messages described in this report.

Name
Category
Description

Allocation
Allocation
The Allocation message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

AllocationAck
Allocation
The allocation ACK message is used to acknowledge the receipt and status of an allocation message received from the institution.

BusinessMessageReject
Common
The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means.

Email
EventCommunication
The email message is similar to the format and purpose of to the News message, however, it is intended for private use between two parties.

News
EventCommunication
The news message is a general free format message between the broker and institution.

Advertisement
Indication
Advertisement messages are used to announce completed transactions.

IOI
Indication
Indication of interest messages market merchandise which the broker is buying or selling in either a proprietary or agency capacity.

MarketDataIncrementalRefresh
MarketData
The second Market Data message format is used for incremental updates.

MarketDataRequest
MarketData
Some systems allow the transmission of real-time quote, order, trade and/or other price information on a subscription basis.

MarketDataRequestReject
MarketData
The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons.

MarketDataSnapshotFullRefresh
MarketData
The Market Data messages are used as the response to a Market Data Request message.

BidRequest
ProgramTrading
The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.

BidResponse
ProgramTrading
The Bid Response message can be used in one of two ways depending on which market conventions are being followed. In the “Non disclosed” convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See “Program/Basket/List Trading” for an example. In the “Disclosed” convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

ListCancelRequest
ProgramTrading
The list cancel request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

ListExecute
ProgramTrading
The list execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list.

ListStatus
ProgramTrading
The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side.

ListStatusRequest
ProgramTrading
The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

ListStrikePrice
ProgramTrading
The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

OrderList
ProgramTrading
The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

MassQuote
QuotationNegotiation
The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series.

Quote
QuotationNegotiation
The quote message is used as the response to a Quote Request message and can be used to publish unsolicited quotes.

QuoteAcknowledgement
QuotationNegotiation
An optional response to Quote, Mass Quote, Quote Cancel, and Quote Request message is the Quote Acknowledgement message.

QuoteCancel
QuotationNegotiation
The Quote Cancel message is used by an originator of quotes to cancel quotes.

QuoteRequest
QuotationNegotiation
In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose.

QuoteStatusRequest
QuotationNegotiation
The quote status request message is used by the institution to generate an execution report that contains the quote status message back from the counterparty.

SecurityDefinition
SecurityAndTradingSessionDefinitionOrStatus
The Security Definition message is used for the following: 1. Accept the security defined in a Security Definition message. 2. Accept the security defined in a Security Definition message with changes to the definition and/or identity of the security. 3. Reject the security requested in a Security Definition message 4. Return a list of Security Types 5. Return a list of Securities

SecurityDefinitionRequest
SecurityAndTradingSessionDefinitionOrStatus
The Security Definition Request message is used for the following: 1. Request a specific Security to be traded with the second party. The request security can be defined as a complex security made up of one or more underlying securities. 2. Request a list of the Security Types that can be traded with the second party. 3. Request a list of Securities that can be traded with the second party. This request can optionally be qualified with Symbol, TradingSessionID, SecurityExchange, and Security Type.

SecurityStatus
SecurityAndTradingSessionDefinitionOrStatus

SecurityStatusRequest
SecurityAndTradingSessionDefinitionOrStatus
The Security Status Request message provides for the ability to request the status of a security.

TradingSessionStatus
SecurityAndTradingSessionDefinitionOrStatus
The Trading Session Status provides information on the status of a market.

TradingSessionStatusRequest
SecurityAndTradingSessionDefinitionOrStatus
The Trading Session Status Request is used to request information on the status of a market.

Heartbeat
Session
The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

Logon
Session
The logon message authenticates a user establishing a connection to a remote system.

Logout
Session
The logout message initiates or confirms the termination of a FIX session.

Reject
Session
The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation.

ResendRequest
Session
The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

SequenceReset
Session
The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

TestRequest
Session
The test request message forces a heartbeat from the opposing application.

SettlementInstructions
SettlementInstruction
The Settlement Instructions message provides either the broker’s or the institution’s instructions for trade settlement.

DontKnowTrade
SingleGeneralOrderHandling
The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected.

ExecutionReport
SingleGeneralOrderHandling
The execution report message is used to: 1. Confirm the receipt of an order 2. Confirm changes to an existing order (i.e. accept cancel and replace requests) 3. Relay order status information 4. Relay fill information on working orders 5. Reject orders 6. Report post-trade fees calculations associated with a trade

OrderCancelReject
SingleGeneralOrderHandling
The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

OrderCancelReplaceRequest
SingleGeneralOrderHandling
The order cancel/replace request is used to change the parameters of an existing order.

OrderCancelRequest
SingleGeneralOrderHandling
The order cancel request message requests the cancellation of all the remaining quantity of an existing order.

OrderSingle
SingleGeneralOrderHandling
The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

OrderStatusRequest
SingleGeneralOrderHandling
The order status request message is used by the institution to generate an order status message back from the broker.

Advertisement

Category: Indication

Message Functionality

Advertisement messages are used to announce completed transactions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 7
AdvId | [1..1] | String |
AdvTransType | [1..1] | CodeSet |
AdvRefID | [0..1] | String | Required for Cancel and Replace AdvTransType messages
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
AdvSide | [1..1] | CodeSet |
Shares | [1..1] | Qty |
Price | [0..1] | Price |
Currency | [0..1] | Currency |
TradeDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
LastMkt | [0..1] | Exchange |
TradingSessionID | [0..1] | String |
StandardTrailer | [1..1] | Component |

Allocation

Category: Allocation

Message Functionality

The Allocation message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = J
AllocID | [1..1] | String |
AllocTransType | [1..1] | CodeSet |
RefAllocID | [0..1] | String | Required for AllocTransType = Calculated, Replace, or Cancel
AllocLinkID | [0..1] | String | Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
AllocLinkType | [0..1] | CodeSet | Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
OrdAllocGrp | [0..*] | Group | Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).
ExecAllocGrp | [0..*] | Group | Indicates number of individual execution repeating group entries to follow. Absence of this field indicates that no individual execution entries are included. Primarily used to support step-outs.
Side | [1..1] | CodeSet |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Shares | [1..1] | Qty | Total number of shares allocated to all accounts
LastMkt | [0..1] | Exchange | Market of the executions.
TradingSessionID | [0..1] | String |
AvgPx | [1..1] | Price | For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
Currency | [0..1] | Currency | Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
AvgPrxPrecision | [0..1] | int | Absence of this field indicates that default precision arranged by the broker/institution is to be used
TradeDate | [1..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp | Date/time when allocation is generated
SettlmntTyp | [0..1] | CodeSet | Absence of this field is interpreted as Regular
FutSettDate | [0..1] | LocalMktDate | "Settlement Date". Required with SettlmntTyp other than regular
GrossTradeAmt | [0..1] | Amt | Expressed in same currency as AvgPx. Sum of (AllocShares * AllocAvgPx or AllocPrice).
NetMoney | [0..1] | Amt | Expressed in same currency as AvgPx. Sum of AllocNetMoney.
OpenClose | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
NumDaysInterest | [0..1] | int | Applicable for Convertible Bonds and fixed income
AccruedInterestRate | [0..1] | float | Applicable for Convertible Bonds and fixed income
AllocGrp | [0..*] | Group | Indicates number of allocation groups to follow.
StandardTrailer | [1..1] | Component |

AllocationAck

Category: Allocation

Message Functionality

The allocation ACK message is used to acknowledge the receipt and status of an allocation message received from the institution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = P
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
AllocID | [1..1] | String |
TradeDate | [1..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp | Date/Time AllocationACK generated
AllocStatus | [1..1] | CodeSet |
AllocRejCode | [0..1] | CodeSet | Required for AllocStatus = 1 (rejected)
Text | [0..1] | String | Can include explanation for AllocRejCode = 7 (other)
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

BidRequest

Category: ProgramTrading

Message Functionality

The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = k (lowercase)
BidID | [0..1] | String | Required to relate the bid response
ClientBidID | [1..1] | String |
BidRequestTransType | [1..1] | CodeSet | Identifies the Bid Request message transaction type
ListName | [0..1] | String |
TotalNumSecurities | [1..1] | int |
BidType | [1..1] | int | e.g. "Non Disclosed", "Disclosed", No Bidding Process
NumTickets | [0..1] | int | Total number of tickets/allocations assuming fully executed
Currency | [0..1] | Currency | Used to represent the currency of monetary amounts.
SideValue1 | [0..1] | Amt | Expressed in Currency
SideValue2 | [0..1] | Amt | Expressed in Currency
BidDescReqGrp | [0..*] | Group | Used if BidType="Non Disclosed"
BidCompReqGrp | [0..*] | Group | Used if BidType="Disclosed"
LiquidityIndType | [0..1] | CodeSet |
WtAverageLiquidity | [0..1] | float | Overall weighted average liquidity expressed as a % of average daily volume
ExchangeForPhysical | [0..1] | CodeSet |
OutMainCntryUIndex | [0..1] | Amt | % value of stocks outside main country in Currency
CrossPercent | [0..1] | float | % of program that crosses in Currency
ProgRptReqs | [0..1] | CodeSet |
ProgPeriodInterval | [0..1] | int | Time in minutes between each ListStatus report sent by SellSide. Zero means don’t send status.
IncTaxInd | [0..1] | CodeSet | Net/Gross
ForexReq | [0..1] | CodeSet | Is foreign exchange required
NumBidders | [0..1] | int | Indicates the total number of bidders on the list
TradeDate | [0..1] | LocalMktDate |
TradeType | [1..1] | CodeSet |
BasisPxType | [1..1] | CodeSet |
StrikeTime | [0..1] | UTCTimestamp | Used when BasisPxType = "C"
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

BidResponse

Category: ProgramTrading

Message Functionality

The Bid Response message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example. In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = l (lowercase L)
BidID | [0..1] | String |
ClientBidID | [0..1] | String |
BidCompRspGrp | [1..*] | Group | Number of bid repeating groups
StandardTrailer | [1..1] | Component |

BusinessMessageReject

Category: Common

Message Functionality

The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = j (lowercase)
RefSeqNum | [0..1] | int | MsgSeqNum of rejected message
RefMsgType | [1..1] | String | The MsgType of the FIX message being referenced.
BusinessRejectRefID | [0..1] | String | The value of the business-level "ID" field on the message being referenced. Required unless the corresponding ID field (see list above) was not specified.
BusinessRejectReason | [1..1] | CodeSet | Code to identify reason for a Business Message Reject message.
Text | [0..1] | String | Where possible, message to explain reason for rejection
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

DontKnowTrade

Category: SingleGeneralOrderHandling

Message Functionality

The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Q
OrderID | [1..1] | String | Broker Order ID as identified on problem execution
ExecID | [1..1] | String | Execution ID of problem execution
DKReason | [1..1] | CodeSet |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [1..1] | CodeSet |
OrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required.
CashOrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages.
LastShares | [0..1] | Qty | Required if specified on the ExecutionRpt
LastPx | [0..1] | Price | Required if specified on the ExecutionRpt
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

Email

Category: EventCommunication

Message Functionality

The email message is similar to the format and purpose of to the News message, however, it is intended for private use between two parties.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = C
EmailThreadID | [1..1] | String | Unique identifier for the email message thread
EmailType | [1..1] | CodeSet |
OrigTime | [0..1] | UTCTimestamp |
Subject | [1..1] | String | Specifies the Subject text
EncodedSubjectLen | [0..1] | int | Must be set if EncodedSubject field is specified and must immediately precede it.
EncodedSubject | [0..1] | data | Encoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field.
RoutingGrp | [0..*] | Group | Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
InstrmtGrp | [0..*] | Group | Specifies the number of repeating symbols specified
OrderID | [0..1] | String |
ClOrdID | [0..1] | String |
LinesOfTextGrp | [1..*] | Group | Specifies the number of repeating lines of text specified
RawDataLength | [0..1] | int |
RawData | [0..1] | data |
StandardTrailer | [1..1] | Component |

ExecutionReport

Category: SingleGeneralOrderHandling

Message Functionality

The execution report message is used to: 1. Confirm the receipt of an order 2. Confirm changes to an existing order (i.e. accept cancel and replace requests) 3. Relay order status information 4. Relay fill information on working orders 5. Reject orders 6. Report post-trade fees calculations associated with a trade

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = 8

OrderID
[1..1]
String
OrderID is required to be unique for each chain of orders.

SecondaryOrderID
[0..1]
String
Can be used to provide order id used by exchange or executing system.

ClOrdID
[0..1]
String
Required for executions against electronically submitted orders which were assigned an ID by the institution. Not required for orders manually entered by the broker.

OrigClOrdID
[0..1]
String
Conditionally required for response to an electronic Cancel or Cancel/Replace request (ExecType=PendingCancel, Replaced, or Canceled). ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order.

ClientID
[0..1]
String
Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).

ExecBroker
[0..1]
String
Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).

ContraGrp
[0..*]
Group
Number of ContraBrokers repeating group instances.

ListID
[0..1]
String
Required for executions against orders which were submitted as part of a list.

ExecID
[1..1]
String
Must be unique for each Execution Report message

ExecTransType
[1..1]
CodeSet

ExecRefID
[0..1]
String
Required for Cancel and Correct ExecTransType messages

ExecType
[1..1]
CodeSet
Describes the type of execution report. Same possible values as OrdStatus.

OrdStatus
[1..1]
CodeSet
Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx

OrdRejReason
[0..1]
CodeSet
For optional use with ExecType = 8 (Rejected)

ExecRestatementReason
[0..1]
CodeSet
Required for ExecType = D (Restated).

Account
[0..1]
String
Required for executions against electronically submitted orders which were assigned an account by the institution

SettlmntTyp
[0..1]
CodeSet
Absence of this field is interpreted as Regular.

FutSettDate
[0..1]
LocalMktDate
Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option)

Symbol
[1..1]
String

SymbolSfx
[0..1]
String

SecurityID
[0..1]
String

IDSource
[0..1]
CodeSet

SecurityType
[0..1]
CodeSet
Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.

MaturityMonthYear
[0..1]
MonthYear
Specifies the month and year of maturity. Required if MaturityDay is specified.

MaturityDay
[0..1]
DayOfMonth
Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.

PutOrCall
[0..1]
CodeSet
For Options.

StrikePrice
[0..1]
Price
For Options.

OptAttribute
[0..1]
char
For Options.

ContractMultiplier
[0..1]
float
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

CouponRate
[0..1]
float
For Fixed Income.

SecurityExchange
[0..1]
Exchange
Can be used to identify the security.

Issuer
[0..1]
String

EncodedIssuerLen
[0..1]
int
Must be set if EncodedIssuer field is specified and must immediately precede it.

EncodedIssuer
[0..1]
data
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.

SecurityDesc
[0..1]
String

EncodedSecurityDescLen
[0..1]
int
Must be set if EncodedSecurityDesc field is specified and must immediately precede it.

EncodedSecurityDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.

Side
[1..1]
CodeSet

OrderQty
[0..1]
Qty
Either CashOrderQty or OrderQty is required. Not required for a rejected cash order or an order ack for a cash order.

CashOrderQty
[0..1]
Qty
Either CashOrderQty or OrderQty is required. Specifies the approximate "monetary quantity" conveyed on the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages involving fills.

OrdType
[0..1]
CodeSet

Price
[0..1]
Price
Required if specified on the order

StopPx
[0..1]
Price
Required if specified on the order

PegDifference
[0..1]
PriceOffset
Required if specified on the order

DiscretionInst
[0..1]
CodeSet
Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.

DiscretionOffset
[0..1]
PriceOffset
Amount (signed) added to the "related to" price specified via DiscretionInst.

Currency
[0..1]
Currency

ComplianceID
[0..1]
String

SolicitedFlag
[0..1]
CodeSet

TimeInForce
[0..1]
CodeSet
Absence of this field indicates Day order

EffectiveTime
[0..1]
UTCTimestamp
Time specified on the order at which the order should be considered valid

ExpireDate
[0..1]
LocalMktDate
Conditionally required if TimeInForce = GTD and ExpireTime is not specified.

ExpireTime
[0..1]
UTCTimestamp
Conditionally required if TimeInForce = GTD and ExpireDate is not specified.

ExecInst
[0..1]
CodeSet
Can contain multiple instructions, space delimited.

Rule80A
[0..1]
CodeSet

LastShares
[0..1]
Qty
Quantity of shares bought/sold on this (last) fill. Not required ExecTransType = 3 (Status). When required, should be "0" for non-fills ("fill" defined as ExecTransType=New and ExecType=Partial Fill or Fill) unless noted below. If ExecType=Stopped, represents the quantity stopped/guaranteed/protected for.

LastPx
[0..1]
Price
Price of this (last) fill. Not required for ExecTransType = 3 (Status), Should represent the "all-in" (LastSpotRate + LastForwardPoints) rate for F/X orders. ). When required, should be "0" for non-fills ("fill" defined as ExecTransType=New and ExecType=Partial Fill or Fill) unless noted below. If ExecType=Stopped, represents the price stopped/guaranteed/protected at.

LastSpotRate
[0..1]
Price
Applicable for F/X orders

LastForwardPoints
[0..1]
PriceOffset
Applicable for F/X orders

LastMkt
[0..1]
Exchange

TradingSessionID
[0..1]
String

LastCapacity
[0..1]
CodeSet

LeavesQty
[1..1]
Qty
Amount of shares open for further execution. If the OrdStatus is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty - CumQty.

CumQty
[1..1]
Qty
Currently executed shares for chain of orders.

AvgPx
[1..1]
Price

DayOrderQty
[0..1]
Qty
For GT orders on days following the day of the first trade.

DayCumQty
[0..1]
Qty
For GT orders on days following the day of the first trade.

DayAvgPx
[0..1]
Price
For GT orders on days following the day of the first trade.

GTBookingInst
[0..1]
CodeSet
States whether executions are booked out or accumulated on a partially filled GT order

TradeDate
[0..1]
LocalMktDate
Used when reporting other than current day trades.

TransactTime
[0..1]
UTCTimestamp
Time the transaction represented by this ExecutionReport occurred

ReportToExch
[0..1]
CodeSet

Commission
[0..1]
Amt
On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.

CommType
[0..1]
CodeSet

GrossTradeAmt
[0..1]
Amt

SettlCurrAmt
[0..1]
Amt
Used to report results of forex accommodation trade

SettlCurrency
[0..1]
Currency
Used to report results of forex accommodation trade

SettlCurrFxRate
[0..1]
float
Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency

SettlCurrFxRateCalc
[0..1]
char
Specifies whether the SettlCurrFxRate should be multiplied or divided

HandlInst
[0..1]
CodeSet

MinQty
[0..1]
Qty

MaxFloor
[0..1]
Qty

OpenClose
[0..1]
CodeSet
For options

MaxShow
[0..1]
Qty

Text
[0..1]
String

EncodedTextLen
[0..1]
int
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

FutSettDate2
[0..1]
LocalMktDate
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.

OrderQty2
[0..1]
Qty
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.

ClearingFirm
[0..1]
String

ClearingAccount
[0..1]
String

MultiLegReportingType
[0..1]
CodeSet
Default is a single security if not specified.

StandardTrailer
[1..1]
Component

Heartbeat

Category: Session

Message Functionality

The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 0
TestReqID | [0..1] | String | Required when the heartbeat is the result of a Test Request message.
StandardTrailer | [1..1] | Component |

IOI

Category: Indication

Message Functionality

Indication of interest messages market merchandise which the broker is buying or selling in either a proprietary or agency capacity.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 6
IOIid | [1..1] | String |
IOITransType | [1..1] | CodeSet |
IOIRefID | [0..1] | String | Required for Cancel and Replace IOITransType messages
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [1..1] | CodeSet | Side of Indication Valid values: 1 = Buy 2 = Sell 7 = Undisclosed (for IOIs)
IOIShares | [1..1] | CodeSet |
Price | [0..1] | Price |
Currency | [0..1] | Currency |
ValidUntilTime | [0..1] | UTCTimestamp |
IOIQltyInd | [0..1] | CodeSet |
IOINaturalFlag | [0..1] | CodeSet |
IOIQualGrp | [0..*] | Group | Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
TransactTime | [0..1] | UTCTimestamp |
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
RoutingGrp | [0..*] | Group | Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
SpreadToBenchmark | [0..1] | PriceOffset | For Fixed Income
Benchmark | [0..1] | CodeSet | For Fixed Income
StandardTrailer | [1..1] | Component |

ListCancelRequest

Category: ProgramTrading

Message Functionality

The list cancel request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = K
ListID | [1..1] | String |
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListExecute

Category: ProgramTrading

Message Functionality

The list execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = L
ListID | [1..1] | String | Must be unique, by customer, for the day
ClientBidID | [0..1] | String | Used with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
BidID | [0..1] | String |
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListStatus

Category: ProgramTrading

Message Functionality

The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = N
ListID | [1..1] | String |
ListStatusType | [1..1] | int |
NoRpts | [1..1] | int | Total number of messages required to status complete list.
ListOrderStatus | [1..1] | int |
RptSeq | [1..1] | int | Sequence number of this report message.
ListStatusText | [0..1] | String |
EncodedListStatusTextLen | [0..1] | int | Must be set if EncodedListStatusText field is specified and must immediately precede it.
EncodedListStatusText | [0..1] | data | Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
TransactTime | [0..1] | UTCTimestamp |
TotNoOrders | [1..1] | int | Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
OrdListStatGrp | [1..*] | Group | Number of orders statuses in this message, i.e. number of repeating groups to follow.
StandardTrailer | [1..1] | Component |

ListStatusRequest

Category: ProgramTrading

Message Functionality

The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = M
ListID | [1..1] | String |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListStrikePrice

Category: ProgramTrading

Message Functionality

The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = m (lowercase)
ListID | [1..1] | String |
TotNoStrikes | [1..1] | int | Used to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
InstrmtStrkPxGrp | [1..*] | Group | Number of strike price entries
StandardTrailer | [1..1] | Component |

Logon

Category: Session

Message Functionality

The logon message authenticates a user establishing a connection to a remote system.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = A
EncryptMethod | [1..1] | CodeSet | (Always unencrypted)
HeartBtInt | [1..1] | int | Note same value used by both sides
RawDataLength | [0..1] | int | Required for some authentication methods
RawData | [0..1] | data | Required for some authentication methods
ResetSeqNumFlag | [0..1] | CodeSet | Indicates both sides of a FIX session should reset sequence numbers
MaxMessageSize | [0..1] | int | Can be used to specify the maximum number of bytes supported for messages received
MsgTypeGrp | [0..*] | Group | Specifies the number of repeating MsgTypes specified
StandardTrailer | [1..1] | Component |

Logout

Category: Session

Message Functionality

The logout message initiates or confirms the termination of a FIX session.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 5
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarketDataIncrementalRefresh

Category: MarketData

Message Functionality

The second Market Data message format is used for incremental updates.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = X
MDReqID | [0..1] | String | Conditionally required if this message is in response to a Market Data Request.
MDIncGrp | [1..*] | Group | Number of entries following.
StandardTrailer | [1..1] | Component |

MarketDataRequest

Category: MarketData

Message Functionality

Some systems allow the transmission of real-time quote, order, trade and/or other price information on a subscription basis.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = V
MDReqID | [1..1] | String | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
SubscriptionRequestType | [1..1] | CodeSet | SubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counterparty.
MarketDepth | [1..1] | int |
MDUpdateType | [0..1] | CodeSet | Required if SubscriptionRequestType = Snapshot + Updates (1).
AggregatedBook | [0..1] | CodeSet |
MDReqGrp | [1..*] | Group | Number of MDEntryType fields requested.
InstrmtMDReqGrp | [1..*] | Group | Number of symbols requested.
StandardTrailer | [1..1] | Component |

MarketDataRequestReject

Category: MarketData

Message Functionality

The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Y
MDReqID | [1..1] | String | Must refer to the MDReqID of the request.
MDReqRejReason | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarketDataSnapshotFullRefresh

Category: MarketData

Message Functionality

The Market Data messages are used as the response to a Market Data Request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = W
MDReqID | [0..1] | String | Conditionally required if this message is in response to a Market Data Request.
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
FinancialStatus | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
TotalVolumeTraded | [0..1] | Qty | Total volume traded in this trading session for this security.
MDFullGrp | [1..*] | Group | Number of entries following.
StandardTrailer | [1..1] | Component |

MassQuote

Category: QuotationNegotiation

Message Functionality

The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = i (lowercase)
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [1..1] | String |
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages.
DefBidSize | [0..1] | Qty | Default Bid Size for quote contained within this quote message – if not explicitly provided.
DefOfferSize | [0..1] | Qty | Default Offer Size for quotes contained within this quote message – if not explicitly provided.
QuotSetGrp | [1..*] | Group | The number of sets of quotes in the message
StandardTrailer | [1..1] | Component |

News

Category: EventCommunication

Message Functionality

The news message is a general free format message between the broker and institution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = B
OrigTime | [0..1] | UTCTimestamp |
Urgency | [0..1] | CodeSet |
Headline | [1..1] | String | Specifies the headline text
EncodedHeadlineLen | [0..1] | int | Must be set if EncodedHeadline field is specified and must immediately precede it.
EncodedHeadline | [0..1] | data | Encoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field.
RoutingGrp | [0..*] | Group | Required if any RoutingType and RoutingIDs are specified. Indicates the number within repeating group.
InstrmtGrp | [0..*] | Group | Specifies the number of repeating symbols specified
LinesOfTextGrp | [1..*] | Group | Specifies the number of repeating lines of text specified
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
RawDataLength | [0..1] | int |
RawData | [0..1] | data |
StandardTrailer | [1..1] | Component |

OrderCancelReject

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 9
OrderID | [1..1] | String | If CxlRejReason="Unknown order", specify "NONE".
SecondaryOrderID | [0..1] | String | Can be used to provide order id used by exchange or executing system.
ClOrdID | [1..1] | String | Unique order id assigned by institution to the cancel request or to the replacement order.
OrigClOrdID | [1..1] | String | ClOrdID which could not be canceled/replaced. ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order.
OrdStatus | [1..1] | CodeSet | OrdStatus value after this cancel reject is applied.
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ListID | [0..1] | String | Required for rejects against orders which were submitted as part of a list.
Account | [0..1] | String |
TransactTime | [0..1] | UTCTimestamp |
CxlRejResponseTo | [1..1] | CodeSet |
CxlRejReason | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderCancelReplaceRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel/replace request is used to change the parameters of an existing order.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = G
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by broker.
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
OrigClOrdID | [1..1] | String | ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order.
ClOrdID | [1..1] | String | Unique identifier of replacement order as assigned by institution. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
ListID | [0..1] | String | Required for List Orders
Account | [0..1] | String |
PreAllocGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlmntTyp | [0..1] | CodeSet | Absence of this field is interpreted as Regular.
FutSettDate | [0..1] | LocalMktDate | Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option)
HandlInst | [1..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message).
MinQty | [0..1] | Qty |
MaxFloor | [0..1] | Qty |
ExDestination | [0..1] | Exchange |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
Symbol | [1..1] | String | Must match original order
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String | Must match original order
IDSource | [0..1] | CodeSet | Must match original order
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [1..1] | CodeSet | Must match original side, however, Buy and Buy Minus can be interchanged as well as Sell and Sell Plus
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
OrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders)
CashOrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages.
OrdType | [1..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
PegDifference | [0..1] | PriceOffset | Amount (signed) added to the price of the peg
DiscretionInst | [0..1] | CodeSet | Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.
DiscretionOffset | [0..1] | PriceOffset | Amount (signed) added to the "related to" price specified via DiscretionInst.
ComplianceID | [0..1] | String |
SolicitedFlag | [0..1] | CodeSet |
Currency | [0..1] | Currency | Must match original order.
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
Commission | [0..1] | Amt |
CommType | [0..1] | CodeSet |
Rule80A | [0..1] | CodeSet | Must match original order
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq = Y.
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
OpenClose | [0..1] | CodeSet | For options
CoveredOrUncovered | [0..1] | CodeSet | For options
CustomerOrFirm | [0..1] | CodeSet | For options when delivering the order to execution system/exchange.
MaxShow | [0..1] | Qty |
LocateReqd | [0..1] | CodeSet |
ClearingFirm | [0..1] | String |
ClearingAccount | [0..1] | String |
StandardTrailer | [1..1] | Component |

OrderCancelRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel request message requests the cancellation of all the remaining quantity of an existing order.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = F
OrigClOrdID | [1..1] | String | ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order.
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by broker.
ClOrdID | [1..1] | String | Unique ID of cancel request as assigned by the institution.
ListID | [0..1] | String | Required for List Orders
Account | [0..1] | String |
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [1..1] | CodeSet |
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
OrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. OrderQty = CumQty + LeavesQty (see exceptions above)
CashOrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages.
ComplianceID | [0..1] | String |
SolicitedFlag | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderList

Category: ProgramTrading

Message Functionality

The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = E
ListID | [1..1] | String | Must be unique, by customer, for the day
BidID | [0..1] | String | Should refer to an earlier program if bidding took place.
ClientBidID | [0..1] | String |
ProgRptReqs | [0..1] | CodeSet |
BidType | [1..1] | int | e.g. Non Disclosed Model, Disclosed Model, No Bidding Process
ProgPeriodInterval | [0..1] | int |
ListExecInstType | [0..1] | CodeSet | Controls when execution should begin.
ListExecInst | [0..1] | String | Free-form text.
EncodedListExecInstLen | [0..1] | int | Must be set if EncodedListExecInst field is specified and must immediately precede it.
EncodedListExecInst | [0..1] | data | Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
TotNoOrders | [1..1] | int | Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
ListOrdGrp | [1..*] | Group | Number of orders in this message (number of repeating groups to follow)
StandardTrailer | [1..1] | Component |

OrderSingle

Category: SingleGeneralOrderHandling

Message Functionality

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = D
ClOrdID | [1..1] | String | Unique identifier of the order as assigned by institution.
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
Account | [0..1] | String |
PreAllocGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlmntTyp | [0..1] | CodeSet | Absence of this field is interpreted as Regular.
FutSettDate | [0..1] | LocalMktDate | Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option)
HandlInst | [1..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
MinQty | [0..1] | Qty |
MaxFloor | [0..1] | Qty |
ExDestination | [0..1] | Exchange |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
Side | [1..1] | CodeSet |
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
OrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified.
CashOrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages.
OrdType | [1..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
Currency | [0..1] | Currency |
ComplianceID | [0..1] | String |
SolicitedFlag | [0..1] | CodeSet |
IOIid | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
Commission | [0..1] | Amt |
CommType | [0..1] | CodeSet |
Rule80A | [0..1] | CodeSet |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq = Y.
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
OpenClose | [0..1] | CodeSet | For options
CoveredOrUncovered | [0..1] | CodeSet | For options
CustomerOrFirm | [0..1] | CodeSet | For options when delivering the order to execution system/exchange.
MaxShow | [0..1] | Qty |
PegDifference | [0..1] | PriceOffset | Amount (signed) added to the price of the peg
DiscretionInst | [0..1] | CodeSet | Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.
DiscretionOffset | [0..1] | PriceOffset | Amount (signed) added to the "related to" price specified via DiscretionInst.
ClearingFirm | [0..1] | String |
ClearingAccount | [0..1] | String |
StandardTrailer | [1..1] | Component |

OrderStatusRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order status request message is used by the institution to generate an order status message back from the broker.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = H
OrderID | [0..1] | String |
ClOrdID | [1..1] | String |
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
Account | [0..1] | String |
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [1..1] | CodeSet |
StandardTrailer | [1..1] | Component |

Quote

Category: QuotationNegotiation

Message Functionality

The quote message is used as the response to a Quote Request message and can be used to publish unsolicited quotes.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = S
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [1..1] | String |
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages.
TradingSessionID | [0..1] | String |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
BidSize | [0..1] | Qty |
OfferSize | [0..1] | Qty |
ValidUntilTime | [0..1] | UTCTimestamp |
BidSpotRate | [0..1] | Price | May be applicable for F/X quotes
OfferSpotRate | [0..1] | Price | May be applicable for F/X quotes
BidForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
OfferForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
TransactTime | [0..1] | UTCTimestamp |
FutSettDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.
StandardTrailer | [1..1] | Component |

QuoteAcknowledgement

Category: QuotationNegotiation

Message Functionality

An optional response to Quote, Mass Quote, Quote Cancel, and Quote Request message is the Quote Acknowledgement message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = b (lowercase)
QuoteReqID | [0..1] | String | Required when acknowledgment is in response to a Quote Request message
QuoteID | [0..1] | String | Required when acknowledgment is in response to a Quote message
QuoteAckStatus | [1..1] | CodeSet | Status of the quote acknowledgement.
QuoteRejectReason | [0..1] | CodeSet | Reason Quote was rejected.
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
TradingSessionID | [0..1] | String |
Text | [0..1] | String |
QuotSetAckGrp | [0..*] | Group | The number of sets of quotes in the message
StandardTrailer | [1..1] | Component |

QuoteCancel

Category: QuotationNegotiation

Message Functionality

The Quote Cancel message is used by an originator of quotes to cancel quotes.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Z
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [1..1] | String |
QuoteCancelType | [1..1] | CodeSet | Identifies the type of Quote Cancel request.
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages.
TradingSessionID | [0..1] | String |
QuotCxlEntriesGrp | [1..*] | Group | The number of securities whose quotes are to be canceled
StandardTrailer | [1..1] | Component |

QuoteRequest

Category: QuotationNegotiation

Message Functionality

In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = R
QuoteReqID | [1..1] | String |
QuotReqGrp | [1..*] | Group | Number of related symbols in Request
StandardTrailer | [1..1] | Component |

QuoteStatusRequest

Category: QuotationNegotiation

Message Functionality

The quote status request message is used by the institution to generate an execution report that contains the quote status message back from the counterparty.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = a (lowercase)
QuoteID | [0..1] | String |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Side | [0..1] | CodeSet |
TradingSessionID | [0..1] | String |
StandardTrailer | [1..1] | Component |

Reject

Category: Session

Message Functionality

The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 3
RefSeqNum | [1..1] | int | MsgSeqNum of rejected message
RefTagID | [0..1] | int | The tag number of the FIX field being referenced.
RefMsgType | [0..1] | String | The MsgType of the FIX message being referenced.
SessionRejectReason | [0..1] | CodeSet | Code to identify reason for a session-level Reject message.
Text | [0..1] | String | Where possible, message to explain reason for rejection
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ResendRequest

Category: Session

Message Functionality

The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 2
BeginSeqNo | [1..1] | int |
EndSeqNo | [1..1] | int |
StandardTrailer | [1..1] | Component |

SecurityDefinition

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The Security Definition message is used for the following: 1. Accept the security defined in a Security Definition message. 2. Accept the security defined in a Security Definition message with changes to the definition and/or identity of the security. 3. Reject the security requested in a Security Definition message 4. Return a list of Security Types 5. Return a list of Securities

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = d (lowercase)
SecurityReqID | [1..1] | String |
SecurityResponseID | [1..1] | String | Identifier for the Security Definition message
SecurityResponseType | [0..1] | CodeSet |
TotalNumSecurities | [1..1] | int |
Symbol | [0..1] | String | Symbol of the requested Security
SymbolSfx | [0..1] | String | Suffix of the Requested Security
SecurityID | [0..1] | String | Security ID of the requested Security
IDSource | [0..1] | CodeSet | Source of the Security ID
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required. Set to "?" if Security Definition Request is looking for the Security Types
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange |
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Currency | [0..1] | Currency |
TradingSessionID | [0..1] | String |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
UndInstrmtGrp | [0..*] | Group | Number of legs that make up the Security
StandardTrailer | [1..1] | Component |

SecurityDefinitionRequest

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The Security Definition Request message is used for the following: 1. Request a specific Security to be traded with the second party. The request security can be defined as a complex security made up of one or more underlying securities. 2. Request a list of the Security Types that can be traded with the second party. 3. Request a list of Securities that can be traded with the second party. This request can optionally be qualified with Symbol, TradingSessionID, SecurityExchange, and Security Type.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = c (lowercase)
SecurityReqID | [1..1] | String |
SecurityRequestType | [1..1] | CodeSet |
Symbol | [0..1] | String | Symbol of the requested Security
SymbolSfx | [0..1] | String | Suffix of the Requested Security
SecurityID | [0..1] | String | Security ID of the requested Security
IDSource | [0..1] | CodeSet | Source of the Security ID
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange |
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Currency | [0..1] | Currency |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
TradingSessionID | [0..1] | String | Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
UndInstrmtGrp | [0..*] | Group | Number of legs that make up the Security
StandardTrailer | [1..1] | Component |

SecurityStatus

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The message usage documentation for SecurityStatus

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = f (lowercase)
SecurityStatusReqID | [0..1] | String |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Currency | [0..1] | Currency |
TradingSessionID | [0..1] | String |
UnsolicitedIndicator | [0..1] | CodeSet | Set to ‘Y’ if message is sent as a result of a subscription request not a snapshot request
SecurityTradingStatus | [0..1] | CodeSet | Identifies the trading status applicable to the transaction.
FinancialStatus | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
HaltReason | [0..1] | CodeSet | Denotes the reason for the Opening Delay or Trading Halt.
InViewOfCommon | [0..1] | CodeSet |
DueToRelated | [0..1] | CodeSet |
BuyVolume | [0..1] | Qty |
SellVolume | [0..1] | Qty |
HighPx | [0..1] | Price |
LowPx | [0..1] | Price |
LastPx | [0..1] | Price | Represents the last price for that security either on a Consolidated or an individual participant basis at the time it is disseminated.
TransactTime | [0..1] | UTCTimestamp | Trade Dissemination Time
Adjustment | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

SecurityStatusRequest

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The Security Status Request message provides for the ability to request the status of a security.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = e (lowercase)
SecurityStatusReqID | [1..1] | String | Must be unique, or the ID of previous Security Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
Currency | [0..1] | Currency |
SubscriptionRequestType | [1..1] | CodeSet | SubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counterparty.)
TradingSessionID | [0..1] | String |
StandardTrailer | [1..1] | Component |

SequenceReset

Category: Session

Message Functionality

The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 4
GapFillFlag | [0..1] | CodeSet |
NewSeqNo | [1..1] | int |
StandardTrailer | [1..1] | Component |

SettlementInstructions

Category: SettlementInstruction

Message Functionality

The Settlement Instructions message provides either the broker’s or the institution’s instructions for trade settlement.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = T
SettlInstID | [1..1] | String | Unique message ID regardless of SettlInstMode
SettlInstTransType | [1..1] | CodeSet | New, Replace, or Cancel
SettlInstRefID | [1..1] | String | Required for Cancel and Replace SettlInstTransType messages
SettlInstMode | [1..1] | CodeSet | 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing
SettlInstSource | [1..1] | CodeSet | 1=Broker’s Settlement Instructions, 2=Institution’s Settlement Instructions
AllocAccount | [1..1] | String | Required for SettlInstMode=1, 2, or 3
SettlLocation | [0..1] | CodeSet | Required for SettlInstMode=2 or 3, may be required for SettlInstMode=1 (i.e. may not be required if StandInstDbType and StandInstDbID are used)
TradeDate | [0..1] | LocalMktDate | Required for SettlInstMode=2 or 3
AllocID | [0..1] | String | Required for SettlInstMode=2 or 3
LastMkt | [0..1] | Exchange | Required for SettlInstMode=2 or 3, May be required for SettlInstMode=1
TradingSessionID | [0..1] | String |
Side | [0..1] | CodeSet | Required for SettlInstMode=2 or 3, May be required for SettlInstMode=1
SecurityType | [0..1] | CodeSet | May be required for SettlInstMode=1
EffectiveTime | [0..1] | UTCTimestamp | May be required for SettlInstMode=1 (timestamp when it goes in to effect)
TransactTime | [1..1] | UTCTimestamp | Date/Time Settlement Instructions were generated
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
ExecBroker | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
StandInstDbType | [0..1] | CodeSet | 1=DTC SID, 2=Thomson ALERT, 3=Global Custodian’s, etc.
StandInstDbName | [0..1] | String | Name of StandInstDbType (i.e. DTC, Global Custodian’s name)
StandInstDbID | [0..1] | String | Identifier used within the StandInstDbType
SettlDeliveryType | [0..1] | int |
SettlDepositoryCode | [0..1] | String | Applicable when SettlLocation is a depository
SettlBrkrCode | [0..1] | String |
SettlInstCode | [0..1] | String |
SecuritySettlAgentName | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
SecuritySettlAgentCode | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
SecuritySettlAgentAcctNum | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
SecuritySettlAgentAcctName | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
SecuritySettlAgentContactName | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
SecuritySettlAgentContactPhone | [0..1] | String | Applicable when settlement is being performed at a country vs. a depository
CashSettlAgentName | [0..1] | String | Applicable when SettlDeliveryType=Free
CashSettlAgentCode | [0..1] | String | Applicable when SettlDeliveryType=Free
CashSettlAgentAcctNum | [0..1] | String | Applicable when SettlDeliveryType=Free
CashSettlAgentAcctName | [0..1] | String | Applicable when SettlDeliveryType=Free
CashSettlAgentContactName | [0..1] | String | Applicable when SettlDeliveryType=Free
CashSettlAgentContactPhone | [0..1] | String | Applicable when SettlDeliveryType=Free
StandardTrailer | [1..1] | Component |

TestRequest

Category: Session

Message Functionality

The test request message forces a heartbeat from the opposing application.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 1
TestReqID | [1..1] | String |
StandardTrailer | [1..1] | Component |

TradingSessionStatus

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The Trading Session Status provides information on the status of a market.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = h (lowercase)
TradSesReqID | [0..1] | String | Provided for a response to a specific Trading Session Status Request message (snapshot).
TradingSessionID | [1..1] | String | Identifier for Trading Session
TradSesMethod | [0..1] | CodeSet | Method of trading:
TradSesMode | [0..1] | CodeSet | Trading Session Mode
UnsolicitedIndicator | [0..1] | CodeSet | ‘Y’ if message is sent unsolicited as a result of a previous subscription request.
TradSesStatus | [1..1] | CodeSet | State of the trading session
TradSesStartTime | [0..1] | UTCTimestamp | Starting time of the trading session
TradSesOpenTime | [0..1] | UTCTimestamp | Time of the opening of the trading session
TradSesPreCloseTime | [0..1] | UTCTimestamp | Time of the pre-close of the trading session
TradSesCloseTime | [0..1] | UTCTimestamp | Closing time of the trading session
TradSesEndTime | [0..1] | UTCTimestamp | End time of the trading session
TotalVolumeTraded | [0..1] | Qty |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

TradingSessionStatusRequest

Category: SecurityAndTradingSessionDefinitionOrStatus

Message Functionality

The Trading Session Status Request is used to request information on the status of a market.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = g (lowercase)
TradSesReqID | [1..1] | String | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
TradingSessionID | [0..1] | String | Trading Session for which status is being requested
TradSesMethod | [0..1] | CodeSet | Method of trading
TradSesMode | [0..1] | CodeSet | Trading Session Mode
SubscriptionRequestType | [1..1] | CodeSet |
StandardTrailer | [1..1] | Component |

Message Elements

Data Types

Data type
Base type
Description

Amt
float
float field typically representing a Price times a Qty

Boolean
char
char field containing one of two values: 'Y' = True/Yes 'N' = False/No

char

Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive

Currency
String
String field (see definition of "String" above) representing a currency type (see Appendix A-Valid Currency Codes).

data

Raw data with no format or content restrictions. Data fields are always immediately preceded by a length field. The length field should specify the number of bytes of the value of the data field (up to but not including the terminating SOH). Caution: the value of one of these fields may contain the delimiter (SOH) character. Note that the value specified for this field should be followed by the delimiter (SOH) character as all fields are terminated with an "SOH".

DayOfMonth
int
int field representing a day during a particular month (values 1 to 31).

Exchange
String
String field (see definition of "String" above) representing a market or exchange. (see Appendix C-Reuters Exchange Mnemonics).

float

Sequence of digits with optional decimal point and sign character (ASCII characters "-", "0" - "9" and "."); the absence of the decimal point within the string will be interpreted as the float representation of an integer value. All float fields must accommodate up to fifteen significant digits. The number of decimal places used should be a factor of business/market needs and mutual agreement between counterparties.

int

Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23"). Examples: 723 in field 21 would be mapped int as

LocalMktDate
String
Date of Local Market (vs. UTC) in YYYYMMDD format. Valid values: YYYY = 0000-9999, MM = 01-12, DD = 01-31.

MonthYear
String
char field representing month of a year in YYYYMM format. Valid values: YYYY = 0000-9999, MM = 01-12.

MultipleValueString
String
String field containing one or more space delimited multiple character values.

Price
float
float field (see definition of "float" above) representing a price. Note the number of decimal places may vary.

PriceOffset
float
float field (see definition of "float" above) representing a price offset, which can be mathematically added to a "Price". Note the number of decimal places may vary and some fields such as LastForwardPoints may be negative.

Qty
float
float field (see definition of "float" above) capable of storing either a whole number (no decimal places) of "shares" or a decimal value containing decimal places for non-share quantity asset classes.

String

Alpha-numeric free format strings, can include any character or punctuation except the delimiter. All String fields are case-sensitive.

UTCDate
String
Date represented in UTC (Universal Time Coordinated, also known as "GMT") in YYYYMMDD format. Valid values: YYYY = 0000-9999, MM = 01-12, DD = 01-31.

UTCTimeOnly
String
Time-only represented in UTC (Universal Time Coordinated, also known as "GMT") in either HH:MM:SS (whole seconds) or HH:MM:SS.sss (milliseconds) format, colons, and period required. Valid values: * HH = 00-23, MM = 00-59, SS = 00-59. (without milliseconds) * HH = 00-23, MM = 00-59, SS = 00-59. sss=000-999 (indicating milliseconds).

UTCTimestamp
String
Time/date combination represented in UTC (Universal Time Coordinated, also known as "GMT") in either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss (milliseconds) format, colons, dash, and period required. Valid values: * YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-59 (without milliseconds). * YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-59. sss=000-999 (indicating milliseconds).

Data Dictionary

Account

Account mnemonic as agreed between broker and institution.

Type: String

Used in groups: BidCompReqGrp, ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest

AccruedInterestAmt

Amount of Accrued Interest for convertible bonds and fixed income

Type: Amt

Used in groups: AllocGrp

AccruedInterestRate

Accrued Interest Rate for convertible bonds and fixed income

Type: float

Used in messages: Allocation

Adjustment

Identifies the type of adjustment.

Type: int

Allowed values in AdjustmentCodeSet:

Code | Name | Description
1 | Cancel | Cancel
2 | Error | Error
3 | Correction | Correction

Used in messages: SecurityStatus

AdvId

Unique identifier of advertisement message. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Advertisement

AdvRefID

Reference identifier used with CANCEL and REPLACE transaction types. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Advertisement

AdvSide

Broker's side of advertised trade

Type: char

Allowed values in AdvSideCodeSet:

Code | Name | Description
B | Buy | Buy
S | Sell | Sell
T | Trade | Trade
X | Cross | Cross

Used in messages: Advertisement

AdvTransType

Identifies advertisement message transaction type

Type: String

Allowed values in AdvTransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New
R | Replace | Replace

Used in messages: Advertisement

AggregatedBook

Specifies whether or not book entries should be aggregated.

Type: Boolean

Allowed values in AggregatedBookCodeSet:

Code | Name | Description
N | BookEntriesShouldNotBeAggregated | Multiple entries per side per price allowed
Y | BookEntriesToBeAggregated | one book entry per side per price

Used in messages: MarketDataRequest

AllocAccount

Sub-account mnemonic

Type: String

Used in groups: AllocGrp, PreAllocGrp

Used in messages: SettlementInstructions

AllocAvgPx

AvgPx for a specific AllocAccount

Type: Price

Used in groups: AllocGrp

AllocGrp

No component usage documentation for AllocGrp

Name | Mult. | Type | Description
NoAllocs | [1..1] | int |
AllocAccount | [0..1] | String | May be the same value as BrokerOfCredit if ProcessCode is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the ExecBroker. Required if NoAllocs > 0. Must be first field in repeating group.
AllocPrice | [0..1] | Price | Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount plus AllocPrice form a unique Allocs entry. Used in lieu of AllocAvgPx.
AllocShares | [1..1] | Qty |
ProcessCode | [0..1] | CodeSet |
BrokerOfCredit | [0..1] | String | Required if ProcessCode is step-out or soft-dollar step-out
NotifyBrokerOfCredit | [0..1] | CodeSet |
AllocHandlInst | [0..1] | CodeSet |
AllocText | [0..1] | String | Free format text field related to this AllocAccount
EncodedAllocTextLen | [0..1] | int | Must be set if EncodedAllocText field is specified and must immediately precede it.
EncodedAllocText | [0..1] | data | Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.
ExecBroker | [0..1] | String | Required for step-in and step-out trades
ClientID | [0..1] | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).
Commission | [0..1] | Amt |
CommType | [0..1] | CodeSet |
AllocAvgPx | [0..1] | Price | AvgPx for this AllocAccount. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points) for this allocation.
AllocNetMoney | [0..1] | Amt | NetMoney for this AllocAccount ((AllocShares * AllocAvgPx) - Commission - sum of MiscFeeAmt + AccruedInterestAmt) if a Sell ((AllocShares * AllocAvgPx) + Commission + sum of MiscFeeAmt + AccruedInterestAmt) if a Buy
SettlCurrAmt | [0..1] | Amt | AllocNetMoney in SettlCurrency for this AllocAccount if SettlCurrency is different from "overall" Currency
SettlCurrency | [0..1] | Currency | SettlCurrency for this AllocAccount if different from "overall" Currency. Required if SettlCurrAmt is specified.
SettlCurrFxRate | [0..1] | float | Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
SettlCurrFxRateCalc | [0..1] | char | Specifies whether the SettlCurrFxRate should be multiplied or divided
AccruedInterestAmt | [0..1] | Amt | Applicable for Convertible Bonds and fixed income
SettlInstMode | [0..1] | CodeSet | Type of Settlement Instructions which will be provided via Settlement Instructions message (0=Default, 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing)
MiscFeesGrp | [0..*] | Group | Required if any miscellaneous fees are reported. Indicates number of repeating entries. Repeating group within Alloc repeating group. ** Nested Repeating Group follows **

Used in messages: Allocation

AllocHandlInst

Indicates how the receiver (i.e. third party) of Allocation message should handle/process the account details.

Type: int

Allowed values in AllocHandlInstCodeSet:

Code | Name | Description
1 | Match | Match
2 | Forward | Forward
3 | ForwardAndMatch | Forward and Match

Used in groups: AllocGrp

AllocID

Unique identifier for allocation message. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Allocation, AllocationAck, SettlementInstructions

AllocLinkID

Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps". Should be unique.

Type: String

Used in messages: Allocation

AllocLinkType

Identifies the type of Allocation linkage when AllocLinkID is used.

Type: int

Allowed values in AllocLinkTypeCodeSet:

Code | Name | Description
0 | FXNetting | F/X Netting
1 | FXSwap | F/X Swap

Used in messages: Allocation

AllocNetMoney

NetMoney for a specific AllocAccount

Type: Amt

Used in groups: AllocGrp

AllocPrice

Executed price for an AllocAccount entry used when using "executed price" vs. "average price" allocations (e.g. Japan).

Type: Price

Used in groups: AllocGrp

AllocRejCode

Identifies reason for rejection.

Type: int

Allowed values in AllocRejCodeCodeSet:

Code | Name | Description
0 | UnknownAccount | unknown account(s)
1 | IncorrectQuantity | incorrect quantity
2 | IncorrectAveragegPrice | incorrect average price
3 | UnknownExecutingBrokerMnemonic | unknown executing broker mnemonic
4 | CommissionDifference | commission difference
5 | UnknownOrderID | unknown OrderID
6 | UnknownListID | unknown ListID
7 | OtherSeeText | other

Used in messages: AllocationAck

AllocShares

Number of shares to be allocated to specific sub-account (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: AllocGrp, PreAllocGrp

AllocStatus

Identifies status of allocation.

Type: int

Allowed values in AllocStatusCodeSet:

Code | Name | Description
0 | Accepted | accepted (successfully processed)
1 | BlockLevelReject | rejected
2 | AccountLevelReject | partial accept
3 | Received | received (received, not yet processed)

Used in messages: AllocationAck

AllocText

Free format text related to a specific AllocAccount.

Type: String

Used in groups: AllocGrp

AllocTransType

Identifies allocation transaction type

Type: char

Allowed values in AllocTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Cancel | Cancel
3 | Preliminary | Preliminary (without MiscFees and NetMoney)
4 | Calculated | Calculated (includes MiscFees and NetMoney)
5 | CalculatedWithoutPreliminary | Calculated without Preliminary (sent unsolicited by broker, includes MiscFees and NetMoney)

Used in messages: Allocation

AvgPrxPrecision

Indicates number of decimal places to be used for average pricing. Absence of this field indicates that default precision arranged by the broker/institution is to be used.

Type: int

Used in messages: Allocation

AvgPx

Calculated average price of all fills on this order.

Type: Price

Used in groups: OrdListStatGrp

Used in messages: Allocation, ExecutionReport

BasisPxType

Code to represent the basis price type.

Type: char

Allowed values in BasisPxTypeCodeSet:

Code | Name | Description
2 | ClosingPriceAtMorningSession | Closing Price at morning session
3 | ClosingPrice | Closing Price
4 | CurrentPrice | Current price
5 | SQ | SQ
6 | VWAPThroughADay | VWAP through a day
7 | VWAPThroughAMorningSession | VWAP through a morning session
8 | VWAPThroughAnAfternoonSession | VWAP through an afternoon session
9 | VWAPThroughADayExcept | VWAP through a day except YORI
A | VWAPThroughAMorningSessionExcept | VWAP through a morning session except YORI
B | VWAPThroughAnAfternoonSessionExcept | VWAP through an afternoon session except YORI
C | Strike | Strike
D | Open | Open
Z | Others | Others

Used in messages: BidRequest

BeginSeqNo

Message sequence number of first message in range to be resent

Type: int

Used in messages: ResendRequest

BeginString

Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted)

Type: String

Used in components: StandardHeader

Benchmark

For Fixed Income. Identifies the benchmark (e.g. used in conjunction with the SpreadToBenchmark field).

Type: char

Allowed values in BenchmarkCodeSet:

Code | Name | Description
1 | CURVE | CURVE
2 | FiveYR | 5-YR
3 | OLD5 | OLD-5
4 | TenYR | 10-YR
5 | OLD10 | OLD-10
6 | ThirtyYR | 30-YR
7 | OLD30 | OLD-30
8 | ThreeMOLIBOR | 3-MO-LIBOR
9 | SixMOLIBOR | 6-MO-LIBOR

Used in messages: IOI

BidCompReqGrp

No component usage documentation for BidCompReqGrp

Name | Mult. | Type | Description
NoBidComponents | [1..1] | int |
ListID | [0..1] | String | Required if NoBidComponents > 0. Must be first field in repeating group.
Side | [0..1] | CodeSet | When used in request for a "Disclosed" bid indicates that bid is required on assumption that SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
TradingSessionID | [0..1] | String | Indicates off-exchange type activities for Detail.
NetGrossInd | [0..1] | CodeSet | Indicates Net or Gross for selling Detail.
SettlmntTyp | [0..1] | CodeSet | Indicates order settlement period for Detail.
FutSettDate | [0..1] | LocalMktDate |
Account | [0..1] | String |

Used in messages: BidRequest

BidCompRspGrp

No component usage documentation for BidCompRspGrp

Name | Mult. | Type | Description
NoBidComponents | [1..1] | int |
Commission | [1..1] | Amt | First element of price. Required if NoBidComponents > 0.
CommType | [1..1] | CodeSet |
ListID | [0..1] | String |
Country | [0..1] | String | ISO Country Code
Side | [0..1] | CodeSet | When used in response to a "Disclosed" request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
Price | [0..1] | Price | Second element of price
PriceType | [0..1] | CodeSet |
FairValue | [0..1] | Amt | The difference between the value of a future and the value of the underlying equities after allowing for the discounted cash flows associated with the underlying stocks (E.g. Dividends etc).
NetGrossInd | [0..1] | CodeSet | Net/Gross
SettlmntTyp | [0..1] | CodeSet | Indicates order settlement period for Detail.
FutSettDate | [0..1] | LocalMktDate |
TradingSessionID | [0..1] | String |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: BidResponse

BidDescReqGrp

No component usage documentation for BidDescReqGrp

Name | Mult. | Type | Description
NoBidDescriptors | [1..1] | int |
BidDescriptorType | [0..1] | int | Required if NoBidDescriptors > 0. Must be first field in repeating group.
BidDescriptor | [0..1] | String |
SideValueInd | [0..1] | int | Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
LiquidityValue | [0..1] | Amt | Value between LiquidityPctLow and LiquidityPctHigh in Currency
LiquidityNumSecurities | [0..1] | int | Number of Securities between LiquidityPctLow and LiquidityPctHigh in Currency
LiquidityPctLow | [0..1] | float | Liquidity indicator or lower limit if LiquidityNumSecurities > 1
LiquidityPctHigh | [0..1] | float | Upper liquidity indicator if LiquidityNumSecurities > 1
EFPTrackingError | [0..1] | float | Eg Used in EFP (Exchange For Physical) trades 12%
FairValue | [0..1] | Amt | Used in EFP trades
OutsideIndexPct | [0..1] | float | Used in EFP trades
ValueOfFutures | [0..1] | Amt | Used in EFP trades

Used in messages: BidRequest

BidDescriptor

BidDescriptor value. Usage depends upon BidDescriptorType.

Type: String

Used in groups: BidDescReqGrp

BidDescriptorType

Code to identify the type of BidDescriptor.

Type: int

Used in groups: BidDescReqGrp

BidForwardPoints

Bid F/X forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuoteEntryGrp

Used in messages: Quote

BidID

Unique identifier for Bid Response as assigned by broker. Uniqueness must be guaranteed within a single trading day.

Type: String

Used in messages: BidRequest, BidResponse, ListExecute, OrderList

BidPx

Bid price/rate

Type: Price

Used in groups: QuoteEntryGrp

Used in messages: Quote

BidRequestTransType

Identifies the Bid Request message type.

Type: char

Allowed values in BidRequestTransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New

Used in messages: BidRequest

BidSize

Quantity of bid (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: QuoteEntryGrp

Used in messages: Quote

BidSpotRate

Bid F/X spot rate.y vary and not limited to four)

Type: Price

Used in groups: QuoteEntryGrp

Used in messages: Quote

BidType

Code to identify the type of Bid Request.

Type: int

Used in messages: BidRequest, OrderList

BodyLength

Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)

Type: int

Used in components: StandardHeader

BrokerOfCredit

Broker to receive trade credit.

Type: String

Used in groups: AllocGrp

BusinessRejectReason

Code to identify reason for a Business Message Reject message.

Type: int

Allowed values in BusinessRejectReasonCodeSet:

Code | Name | Description
0 | Other | Other
1 | UnknownID | Unknown ID
2 | UnknownSecurity | Unknown Security
3 | UnsupportedMessageType | Unsupported Message Type
4 | ApplicationNotAvailable | Application not available
5 | ConditionallyRequiredFieldMissing | Conditionally Required Field Missing

Used in messages: BusinessMessageReject

BusinessRejectRefID

The value of the business-level "ID" field on the message being referenced.

Type: String

Used in messages: BusinessMessageReject

BuyVolume

Number of shares bought.

Type: Qty

Used in messages: SecurityStatus

CashOrderQty

Specifies the approximate order quantity desired in total monetary units vs. as a number of shares. The broker would be responsible for converting and calculating a share quantity (OrderQty) based upon this amount to be used for the actual order and subsequent messages.

Type: Qty

Used in groups: ListOrdGrp

Used in messages: DontKnowTrade, ExecutionReport, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle

CashSettlAgentAcctName

Name of SettlInstSource's account at local agent bank if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CashSettlAgentAcctNum

SettlInstSource's account number at local agent bank if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CashSettlAgentCode

BIC (Bank Identification Code–Swift managed) code of the SettlInstSource's local agent bank if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CashSettlAgentContactName

Name of contact at local agent bank for SettlInstSource's account if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CashSettlAgentContactPhone

Phone number for contact at local agent bank for SettlInstSource's account if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CashSettlAgentName

Name of SettlInstSource's local agent bank if SettlDeliveryType=Free

Type: String

Used in messages: SettlementInstructions

CheckSum

Three byte, simple checksum (see Appendix B: CheckSum Calculation for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)

Type: String

Used in components: StandardTrailer

ClearingAccount

Supplemental accounting information forwarded to clearing house/firm.

Type: String

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

ClearingFirm

Firm that will clear the trade. Used if different from the executing firm.

Type: String

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

ClientBidID

Unique identifier for a Bid Request as assigned by institution. Uniqueness must be guaranteed within a single trading day.

Type: String

Used in messages: BidRequest, BidResponse, ListExecute, OrderList

ClientID

Firm identifier used in third party-transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID).

Type: String

Used in groups: AllocGrp, ListOrdGrp

Used in messages: AllocationAck, ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, SettlementInstructions

ClOrdID

Unique identifier for Order as assigned by institution (identified by SenderCompID or OnBehalfOfCompID as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods,should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

Type: String

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, OrdAllocGrp, OrdListStatGrp

Used in messages: Email, ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest

Commission

Commission. Note if CommType is percentage, Commission of 5% should be represented as .05.

Type: Amt

Used in groups: AllocGrp, BidCompRspGrp, ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

CommType

Commission type

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | per share
2 | Percent | percentage
3 | Absolute | absolute

Used in groups: AllocGrp, BidCompRspGrp, ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

ComplianceID

ID used to represent this transaction for compliance purposes (e.g. OATS reporting).

Type: String

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle

ContraBroker

Identifies contra broker. Standard NASD market-maker mnemonic is preferred.

Type: String

Used in groups: ContraGrp

ContractMultiplier

Specifies the ratio or multiply factor to convert from contracts to shares (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

Type: float

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

ContraGrp

No component usage documentation for ContraGrp

Name | Mult. | Type | Description
NoContraBrokers | [1..1] | int |
ContraBroker | [0..1] | String | First field in repeating group. Required if NoContraBrokers > 0.
ContraTrader | [0..1] | String |
ContraTradeQty | [0..1] | Qty |
ContraTradeTime | [0..1] | UTCTimestamp |

Used in messages: ExecutionReport

ContraTradeQty

Quantity traded with the ContraBroker.

Type: Qty

Used in groups: ContraGrp

ContraTrader

Identifies the trader (e.g. "badge number") of the ContraBroker.

Type: String

Used in groups: ContraGrp

ContraTradeTime

Identifies the time of the trade with the ContraBroker. (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ContraGrp

CorporateAction

Identifies the type of Corporate Action.

Type: char

Allowed values in CorporateActionCodeSet:

Code | Name | Description
A | ExDividend | Ex-Dividend
B | ExDistribution | Ex-Distribution
C | ExRights | Ex-Rights
D | New | New
E | ExInterest | Ex-Interest

Used in groups: MDIncGrp

Used in messages: MarketDataSnapshotFullRefresh, SecurityStatus

Country

ISO Country Code in field

Type: String

Used in groups: BidCompRspGrp

CouponRate

For Fixed Income. Coupon rate of the bond. Will be zero for step-up bonds.

Type: float

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

CoveredOrUncovered

Used for options

Type: int

Allowed values in CoveredOrUncoveredCodeSet:

Code | Name | Description
0 | Covered | Covered
1 | Uncovered | Uncovered

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

CrossPercent

Percentage of program that crosses in Currency. Represented as a percentage.

Type: float

Used in messages: BidRequest

CumQty

Total number of shares filled. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: OrdListStatGrp

Used in messages: ExecutionReport

Currency

Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible. See Appendix A: Valid Currency Codes for information on obtaining valid values.

Type: Currency

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, BidRequest, ExecutionReport, IOI, OrderCancelReplaceRequest, OrderSingle, Quote, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

CustomerOrFirm

Used for options when delivering the order to an execution system/exchange to specify if the order is for a customer or the firm placing the order itself.

Type: int

Allowed values in CustomerOrFirmCodeSet:

Code | Name | Description
0 | Customer | Customer
1 | Firm | Firm

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

CxlQty

Total number of shares canceled for this order. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: OrdListStatGrp

CxlRejReason

Code to identify reason for cancel rejection.

Type: int

Allowed values in CxlRejReasonCodeSet:

Code | Name | Description
0 | TooLateToCancel | Too late to cancel
1 | UnknownOrder | Unknown order
2 | BrokerCredit | Broker Option
3 | OrderAlreadyInPendingStatus | Order already in Pending Cancel or Pending Replace status

Used in messages: OrderCancelReject

CxlRejResponseTo

Identifies the type of request that a Cancel Reject is in response to.

Type: char

Allowed values in CxlRejResponseToCodeSet:

Code | Name | Description
1 | OrderCancelRequest | Order Cancel Request
2 | OrderCancel | Order Cancel/Replace Request

Used in messages: OrderCancelReject

DayAvgPx

The average price of shares on a GT order that have traded today.

Type: Price

Used in messages: ExecutionReport

DayCumQty

The number of shares on a GT order that have traded today.

Type: Qty

Used in messages: ExecutionReport

DayOrderQty

For GT orders, the OrderQty less all shares (adjusted for stock splits) that traded on previous days. DayOrderQty = OrderQty – (CumQty - DayCumQty)

Type: Qty

Used in messages: ExecutionReport

DefBidSize

Default Bid Size.

Type: Qty

Used in messages: MassQuote

DefOfferSize

Default Offer Size.

Type: Qty

Used in messages: MassQuote

DeleteReason

Reason for deletion.

Type: char

Allowed values in DeleteReasonCodeSet:

Code | Name | Description
0 | Cancellation | Cancelation / Trade Bust
1 | Error | Error

Used in groups: MDIncGrp

DeliverToCompID

Assigned value used to identify the firm targeted to receive the message if the message is delivered by a third party i.e. the third party firm identifier would be delivered in the TargetCompID field and the ultimate receiver firm ID in this field.

Type: String

Used in components: StandardHeader

DeliverToLocationID

Assigned value used to identify specific message recipient’s location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

DeliverToSubID

Assigned value used to identify specific message recipient (i.e. trader) if the message is delivered by a third party

Type: String

Used in components: StandardHeader

DeskID

Identification of a Market Maker’s desk

Type: String

Used in groups: MDFullGrp, MDIncGrp

DiscretionInst

Code to identify the price a DiscretionOffset is related to and should be mathematically added to.

Type: char

Allowed values in DiscretionInstCodeSet:

Code | Name | Description
0 | RelatedToDisplayedPrice | Related to displayed price
1 | RelatedToMarketPrice | Related to market price
2 | RelatedToPrimaryPrice | Related to primary price
3 | RelatedToLocalPrimaryPrice | Related to local primary price
4 | RelatedToMidpointPrice | Related to midpoint price
5 | RelatedToLastTradePrice | Related to last trade price

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

DiscretionOffset

Amount (signed) added to the "related to" price specified via DiscretionInst.

Type: PriceOffset

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

DKReason

Reason for execution rejection.

Type: char

Allowed values in DKReasonCodeSet:

Code | Name | Description
A | UnknownSymbol | Unknown symbol
B | WrongSide | Wrong side
C | QuantityExceedsOrder | Quantity exceeds order
D | NoMatchingOrder | No matching order
E | PriceExceedsLimit | Price exceeds limit
Z | Other | Other

Used in messages: DontKnowTrade

DueToRelated

Indicates whether or not the halt was due to the Related Security being halted.

Type: Boolean

Allowed values in DueToRelatedCodeSet:

Code | Name | Description
N | NotRelatedToSecurityHalt | Halt was not related to a halt of the related security
Y | RelatedToSecurityHalt | Halt was due to related security being halted

Used in messages: SecurityStatus

EffectiveTime

Time the details within the message should take effect (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle, SettlementInstructions

EFPTrackingError

Eg Used in EFP trades 12% (EFP – Exchange for Physical ). Represented as a percentage.

Type: float

Used in groups: BidDescReqGrp

EmailThreadID

Unique identifier for an email thread (new and chain of replies)

Type: String

Used in messages: Email

EmailType

Email message type.

Type: char

Allowed values in EmailTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Reply | Reply
2 | AdminReply | Admin Reply

Used in messages: Email

EncodedAllocText

Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the AllocText field.

Type: data

Used in groups: AllocGrp

EncodedAllocTextLen

Byte length of encoded (non-ASCII characters) EncodedAllocText field.

Type: int

Used in groups: AllocGrp

EncodedHeadline

Encoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the Headline field.

Type: data

Used in messages: News

EncodedHeadlineLen

Byte length of encoded (non-ASCII characters) EncodedHeadline field.

Type: int

Used in messages: News

EncodedIssuer

Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the Issuer field.

Type: data

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

EncodedIssuerLen

Byte length of encoded (non-ASCII characters) EncodedIssuer field.

Type: int

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

EncodedListExecInst

Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the ListExecInst field.

Type: data

Used in messages: OrderList

EncodedListExecInstLen

Byte length of encoded (non-ASCII characters) EncodedListExecInst field.

Type: int

Used in messages: OrderList

EncodedListStatusText

Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the ListStatusText field.

Type: data

Used in messages: ListStatus

EncodedListStatusTextLen

Byte length of encoded (non-ASCII characters) EncodedListStatusText field.

Type: int

Used in messages: ListStatus

EncodedSecurityDesc

Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.

Type: data

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

EncodedSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedSecurityDesc field.

Type: int

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

EncodedSubject

Encoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the Subject field.

Type: data

Used in messages: Email

EncodedSubjectLen

Byte length of encoded (non-ASCII characters) EncodedSubject field.

Type: int

Used in messages: Email

EncodedText

Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the Text field.

Type: data

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, BusinessMessageReject, DontKnowTrade, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logout, MarketDataRequestReject, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, Reject, SecurityDefinition, SecurityDefinitionRequest, TradingSessionStatus

EncodedTextLen

Byte length of encoded (non-ASCII characters) EncodedText field.

Type: int

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, BusinessMessageReject, DontKnowTrade, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logout, MarketDataRequestReject, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, Reject, SecurityDefinition, SecurityDefinitionRequest, TradingSessionStatus

EncodedUnderlyingIssuer

Encoded (non-ASCII characters) representation of the UnderlyingIssuer field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.

Type: data

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

EncodedUnderlyingIssuerLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingIssuer field.

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

EncodedUnderlyingSecurityDesc

Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc field in the encoded format specified via the MessageEncoding field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.

Type: data

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

EncodedUnderlyingSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingSecurityDesc field.

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

EncryptMethod

Method of encryption.

Type: int

Allowed values in EncryptMethodCodeSet:

Code | Name | Description
0 | None | None / other
1 | PKCS | PKCS (proprietary)
2 | DES | DES (ECB mode)
3 | PKCSDES | PKCS/DES (proprietary)
4 | PGPDES | PGP/DES (defunct)
5 | PGPDESMD5 | PGP/DES-MD5 (see app note on FIX website)
6 | PEM | PEM/DES-MD5 (see app note on FIX website)

Used in messages: Logon

EndSeqNo

Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity).

Type: int

Used in messages: ResendRequest

ExchangeForPhysical

Indicates whether or not to exchange for physical.

Type: Boolean

Allowed values in ExchangeForPhysicalCodeSet:

Code | Name | Description
N | False | False
Y | True | True

Used in messages: BidRequest

ExDestination

Execution destination as defined by institution when order is entered. Valid values: See Appendix C

Type: Exchange

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

ExecAllocGrp

No component usage documentation for ExecAllocGrp

Name | Mult. | Type | Description
NoExecs | [1..1] | int |
LastShares | [0..1] | Qty | Number of shares in individual execution. Required if NoExecs > 0
ExecID | [0..1] | String |
LastPx | [0..1] | Price | Price of individual execution. Required if NoExecs > 0
LastCapacity | [0..1] | CodeSet | Can be specified by broker for AllocTransTyp=Calculated

Used in messages: Allocation

ExecBroker

Identifies executing / give-up broker. Standard NASD market-maker mnemonic is preferred.

Type: String

Used in groups: AllocGrp, ListOrdGrp

Used in messages: AllocationAck, ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, SettlementInstructions

ExecID

Unique identifier of execution message as assigned by broker (will be 0 (zero) for ExecTransType=3 (Status)). Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in groups: ExecAllocGrp

Used in messages: DontKnowTrade, ExecutionReport

ExecInst

Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.

Type: MultipleValueString

Allowed values in ExecInstCodeSet:

Code | Name | Description
0 | StayOnOfferSide | Stay on offerside
1 | NotHeld | Not held
2 | Work | Work
3 | GoAlong | Go along
4 | OverTheDay | Over the day
5 | Held | Held
6 | ParticipateDoNotInitiate | Participate don't initiate
7 | StrictScale | Strict scale
8 | TryToScale | Try to scale
9 | StayOnBidSide | Stay on bidside
A | NoCross | No cross (cross is forbidden)
B | OKToCross | OK to cross
C | CallFirst | Call first
D | PercentOfVolume | Percent of volume (indicates that the sender does not want to be all the volume on the floor vs. a specific percentage)
E | DoNotIncrease | Do not increase - DNI
F | DoNotReduce | Do not reduce - DNR
G | AllOrNone | All or none - AON
I | InstitutionsOnly | Institutions only
L | LastPeg | Last peg (last sale)
M | MidPricePeg | Mid-price peg (midprice of inside quote)
N | NonNegotiable | Non-negotiable
O | OpeningPeg | Opening peg
P | MarketPeg | Market peg
R | PrimaryPeg | Primary peg (primary market - buy at bid/sell at offer)
S | Suspend | Suspend
T | FixedPegToLocalBestBidOrOfferAtTimeOfOrder | Fixed Peg to Local best bid or offer at time of order
U | CustomerDisplayInstruction | Customer Display Instruction (Rule11Ac1-1/4)
V | Netting | Netting (for Forex)
W | PegToVWAP | Peg to VWAP

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

ExecRefID

Reference identifier used with Cancel and Correct transaction types. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: ExecutionReport

ExecRestatementReason

Code to identify reason for an ExecutionRpt message sent with ExecType=Restated or used when communicating an unsolicited cancel.

Type: int

Allowed values in ExecRestatementReasonCodeSet:

Code | Name | Description
0 | GTCorporateAction | GT Corporate action
1 | GTRenewal | GT renewal / restatement (no corporate action)
2 | VerbalChange | Verbal change
3 | RepricingOfOrder | Repricing of order
4 | BrokerOption | Broker option
5 | PartialDeclineOfOrderQty | Partial decline of OrderQty (e.g. exchange-initiated partial cancel)

Used in messages: ExecutionReport

ExecTransType

Identifies transaction type

Type: char

Allowed values in ExecTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Correct | Correct
3 | Status | Status

Used in messages: ExecutionReport

ExecType

Describes the specific ExecutionRpt (i.e. Pending Cancel) while OrdStatus will always identify the current order status (i.e. Partially Filled)

Type: char

Allowed values in ExecTypeCodeSet:

Code | Name | Description
0 | New | New
1 | PartialFill | Partial fill
2 | Fill | Fill
3 | DoneForDay | Done for day
4 | Canceled | Canceled
5 | Replaced | Replace
6 | PendingCancel | Pending Cancel (e.g. result of Order Cancel Request)
7 | Stopped | Stopped
8 | Rejected | Rejected
9 | Suspended | Suspended
A | PendingNew | Pending New
B | Calculated | Calculated
C | Expired | Expired
D | Restated | Restated (ExecutionRpt sent unsolicited by sellside, with ExecRestatementReason set)
E | PendingReplace | Pending Replace (e.g. result of Order Cancel/Replace Request)

Used in messages: ExecutionReport

ExpireDate

Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market’s business practices

Type: LocalMktDate

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

ExpireTime

Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

FairValue

Used in EFP trades

Type: Amt

Used in groups: BidCompRspGrp, BidDescReqGrp

FinancialStatus

Identifies a firm’s financial status.

Type: char

Allowed values in FinancialStatusCodeSet:

Code | Name | Description
1 | Bankrupt | Bankrupt

Used in groups: MDIncGrp

Used in messages: MarketDataSnapshotFullRefresh, SecurityStatus

ForexReq

Indicates request for forex accommodation trade to be executed along with security transaction.

Type: Boolean

Allowed values in ForexReqCodeSet:

Code | Name | Description
N | DoNotExecuteForexAfterSecurityTrade | Do not execute Forex after security trade
Y | ExecuteForexAfterSecurityTrade | Execute Forex after security trade

Used in groups: ListOrdGrp

Used in messages: BidRequest, OrderCancelReplaceRequest, OrderSingle

FutSettDate

Specific date of trade settlement (SettlementDate) in YYYYMMDD format. Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option). (expressed in local time at place of settlement)

Type: LocalMktDate

Used in groups: BidCompReqGrp, BidCompRspGrp, ListOrdGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: Allocation, ExecutionReport, OrderCancelReplaceRequest, OrderSingle, Quote

FutSettDate2

FutSettDate of the future part of an F/X swap order.

Type: LocalMktDate

Used in groups: ListOrdGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle, Quote

GapFillFlag

Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent.

Type: Boolean

Allowed values in GapFillFlagCodeSet:

Code | Name | Description
N | SequenceReset | Sequence Reset, ignore MsgSeqNum
Y | GapFillMessage | Gap Fill message, MsgSeqNum field valid

Used in messages: SequenceReset

GrossTradeAmt

Total amount traded (e.g. CumQty * AvgPx) expressed in units of currency.

Type: Amt

Used in messages: Allocation, ExecutionReport

GTBookingInst

Code to identify whether to book out executions on a part-filled GT order on the day of execution or to accumulate.

Type: int

Allowed values in GTBookingInstCodeSet:

Code | Name | Description
0 | BookOutAllTradesOnDayOfExecution | book out all trades on day of execution
1 | AccumulateUntilFilledOrExpired | accumulate executions until order is filled or expires
2 | AccumulateUntilVerballlyNotifiedOtherwise | accumulate until verbally notified otherwise

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

HaltReason

Denotes the reason for the Opening Delay or Trading Halt.

Type: char

Allowed values in HaltReasonCodeSet:

Code | Name | Description
D | NewsDissemination | News Dissemination
E | OrderInflux | Order Influx
I | OrderImbalance | Order Imbalance
M | AdditionalInformation | Additional Information
P | NewsPending | News Pending
X | EquipmentChangeover | Equipment Changeover

Used in messages: SecurityStatus

HandlInst

Instructions for order handling on Broker trading floor

Type: char

Allowed values in HandlInstCodeSet:

Code | Name | Description
1 | AutomatedExecutionNoIntervention | Automated execution order, private, no Broker intervention
2 | AutomatedExecutionInterventionOK | Automated execution order, public, Broker intervention OK
3 | ManualOrder | Manual order, best execution

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

Headline

The headline of a News message

Type: String

Used in messages: News

HeartBtInt

Heartbeat interval (seconds)

Type: int

Used in messages: Logon

HighPx

Represents an indication of the high end of the price range for a security prior to the open or reopen

Type: Price

Used in messages: SecurityStatus

IDSource

Identifies class of alternative SecurityID

Type: String

Allowed values in IDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN number
5 | RICCode | RIC code
6 | ISOCurrencyCode | ISO Currency Code
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange Symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

IncTaxInd

Code to represent whether value is net (inclusive of tax) or gross.

Type: int

Allowed values in IncTaxIndCodeSet:

Code | Name | Description
1 | Net | Net
2 | Gross | Gross

Used in messages: BidRequest

InstrmtGrp

No component usage documentation for InstrmtGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | int |
RelatdSym | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SymbolSfx | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SecurityID | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
IDSource | [0..1] | CodeSet | Can be repeated multiple times if message is related to multiple symbols.
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: RelatdSym, SecurityType, and MaturityMonthYear are required. If an Option: RelatdSym, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.

Used in messages: Email, News

InstrmtMDReqGrp

No component usage documentation for InstrmtMDReqGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | int |
Symbol | [1..1] | String | Must be the first field in the repeating group.
SymbolSfx | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SecurityID | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
IDSource | [0..1] | CodeSet | Can be repeated multiple times if message is related to multiple symbols.
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future:Symbol, SecurityType, and MaturityMonthYear are required. If an Option:Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
TradingSessionID | [0..1] | String |

Used in messages: MarketDataRequest

InstrmtStrkPxGrp

No component usage documentation for InstrmtStrkPxGrp

Name | Mult. | Type | Description
NoStrikes | [1..1] | int |
Symbol | [1..1] | String | Required if NoStrikes > 0. Must be first field in repeating group.
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
ClOrdID | [0..1] | String | Can use client order identifier or the symbol and side to uniquely identify the stock in the list.
Side | [0..1] | CodeSet |
Price | [1..1] | Price |
Currency | [0..1] | Currency |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: ListStrikePrice

InViewOfCommon

Indicates whether or not the halt was due to Common Stock trading being halted.

Type: Boolean

Allowed values in InViewOfCommonCodeSet:

Code | Name | Description
N | HaltWasNotRelatedToAHaltOfTheCommonStock | Halt was not related to a halt of the common stock
Y | HaltWasDueToCommonStockBeingHalted | Halt was due to common stock being halted

Used in messages: SecurityStatus

IOIid

Unique identifier of IOI message. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in groups: ListOrdGrp

Used in messages: IOI, OrderSingle

IOINaturalFlag

Indicates that IOI is the result of an existing agency order or a facilitation position resulting from an agency order, not from principal trading or order solicitation activity.

Type: Boolean

Allowed values in IOINaturalFlagCodeSet:

Code | Name | Description
N | NotNatural | Not natural
Y | Natural | Natural

Used in messages: IOI

IOIQltyInd

Relative quality of indication

Type: char

Allowed values in IOIQltyIndCodeSet:

Code | Name | Description
H | High | High
L | Low | Low
M | Medium | Medium

Used in messages: IOI

IOIQualGrp

No component usage documentation for IOIQualGrp

Name | Mult. | Type | Description
NoIOIQualifiers | [1..1] | int |
IOIQualifier | [0..1] | CodeSet | Required if NoIOIQualifiers > 0

Used in messages: IOI

IOIQualifier

Code to qualify IOI use.

Type: char

Allowed values in IOIQualifierCodeSet:

Code | Name | Description
A | AllOrNone | All or none
C | AtTheClose | At the close
I | InTouchWith | In touch with
L | Limit | Limit
M | MoreBehind | More behind
O | AtTheOpen | At the open
P | TakingAPosition | Taking a position
Q | AtTheMarket | At the Market (previously called Current Quote)
R | ReadyToTrade | Ready to trade
S | PortfolioShown | Portfolio show-n
T | ThroughTheDay | Through the day
V | Versus | Versus
W | Indication | Indication - Working away
X | CrossingOpportunity | Crossing opportunity
Y | AtTheMidpoint | At the Midpoint
Z | PreOpen | Pre-open

Used in groups: IOIQualGrp

IOIRefID

Reference identifier used with CANCEL and REPLACE, transaction types. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: IOI

IOIShares

Number of shares in numeric or relative size.

Type: String

Allowed values in IOISharesCodeSet:

Code | Name | Description
L | Large | Large
M | Medium | Medium
S | Small | Small

Used in messages: IOI

IOITransType

Identifies IOI message transaction type

Type: char

Allowed values in IOITransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New
R | Replace | Replace

Used in messages: IOI

Issuer

Company name of security issuer (e.g. International Business Machines)

Type: String

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

LastCapacity

Broker capacity in order execution

Type: char

Allowed values in LastCapacityCodeSet:

Code | Name | Description
1 | Agent | Agent
2 | CrossAsAgent | Cross as agent
3 | CrossAsPrincipal | Cross as principal
4 | Principal | Principal

Used in groups: ExecAllocGrp

Used in messages: ExecutionReport

LastForwardPoints

F/X forward points added to LastSpotRate. May be a negative value.

Type: PriceOffset

Used in messages: ExecutionReport

LastMkt

Market of execution for last fill

Type: Exchange

Used in messages: Advertisement, Allocation, ExecutionReport, SettlementInstructions

LastMsgSeqNumProcessed

The last MsgSeqNum value received and processed. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.

Type: int

Used in components: StandardHeader

LastPx

Price of this (last) fill. Field not required for ExecTransType = 3 (Status)

Type: Price

Used in groups: ExecAllocGrp

Used in messages: DontKnowTrade, ExecutionReport, SecurityStatus

LastShares

Quantity of shares bought/sold on this (last) fill. Field not required for ExecTransType = 3 (Status) (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ExecAllocGrp

Used in messages: DontKnowTrade, ExecutionReport

LastSpotRate

F/X spot rate.

Type: Price

Used in messages: ExecutionReport

LeavesQty

Amount of shares open for further execution. If the OrdStatus is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty - CumQty. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: OrdListStatGrp

Used in messages: ExecutionReport

LinesOfText

Identifies number of lines of text body

Type: int

Used in groups: LinesOfTextGrp

LinesOfTextGrp

No component usage documentation for LinesOfTextGrp

Name | Mult. | Type | Description
LinesOfText | [1..1] | int |
Text | [1..1] | String | Repeating field, number of instances defined in LinesOfText
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: Email, News

LiquidityIndType

Code to identify the type of liquidity indicator.

Type: int

Allowed values in LiquidityIndTypeCodeSet:

Code | Name | Description
1 | FiveDayMovingAverage | 5 day moving average
2 | TwentyDayMovingAverage | 20 day moving average
3 | NormalMarketSize | Normal Market Size
4 | Other | Other

Used in messages: BidRequest

LiquidityNumSecurities

Number of Securities between LiquidityPctLow and LiquidityPctHigh in Currency.

Type: int

Used in groups: BidDescReqGrp

LiquidityPctHigh

Upper liquidity indicator if TotalNumSecurities > 1. Represented as a percentage.

Type: float

Used in groups: BidDescReqGrp

LiquidityPctLow

Liquidity indicator or lower limit if TotalNumSecurities > 1. Represented as a percentage.

Type: float

Used in groups: BidDescReqGrp

LiquidityValue

Value between LiquidityPctLow and LiquidityPctHigh in Currency

Type: Amt

Used in groups: BidDescReqGrp

ListExecInst

Free format text message containing list handling and execution instructions.

Type: String

Used in messages: OrderList

ListExecInstType

Identifies the type of ListExecInst.

Type: char

Allowed values in ListExecInstTypeCodeSet:

Code | Name | Description
1 | Immediate | Immediate
2 | WaitForInstruction | Wait for Execute Instruction (e.g. a List Execute message or phone call before proceeding with execution of the list)

Used in messages: OrderList

ListID

Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID field to assure uniqueness across days.

Type: String

Used in groups: BidCompReqGrp, BidCompRspGrp, OrdAllocGrp

Used in messages: ExecutionReport, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderList

ListName

Descriptive name for list order.

Type: String

Used in messages: BidRequest

ListOrderStatus

Code to represent the status of a list order.

Type: int

Used in messages: ListStatus

ListOrdGrp

No component usage documentation for ListOrdGrp

Name | Mult. | Type | Description
NoOrders | [1..1] | int |
ClOrdID | [1..1] | String | Must be the first field in the repeating group.
ListSeqNo | [1..1] | int | Order number within the list
SettlInstMode | [0..1] | CodeSet |
ClientID | [0..1] | String |
ExecBroker | [0..1] | String |
Account | [0..1] | String |
PreAllocGrp | [0..*] | Group | Indicates number of pre-trade allocation accounts to follow
SettlmntTyp | [0..1] | CodeSet |
FutSettDate | [0..1] | LocalMktDate |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
MinQty | [0..1] | Qty |
MaxFloor | [0..1] | Qty |
ExDestination | [0..1] | Exchange |
TrdgSesGrp | [0..*] | Group |
ProcessCode | [0..1] | CodeSet |
Symbol | [1..1] | String |
SymbolSfx | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SecurityID | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
IDSource | [0..1] | CodeSet | Can be repeated multiple times if message is related to multiple symbols.
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
Side | [1..1] | CodeSet | Note: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
SideValueInd | [0..1] | int | Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
LocateReqd | [0..1] | CodeSet |
TransactTime | [0..1] | UTCTimestamp |
OrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified.
CashOrderQty | [0..1] | Qty | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages.
OrdType | [0..1] | CodeSet |
Price | [0..1] | Price |
StopPx | [0..1] | Price |
Currency | [0..1] | Currency |
ComplianceID | [0..1] | String |
SolicitedFlag | [0..1] | CodeSet |
IOIid | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet |
EffectiveTime | [0..1] | UTCTimestamp |
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
Commission | [0..1] | Amt |
CommType | [0..1] | CodeSet |
Rule80A | [0..1] | CodeSet |
ForexReq | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency |
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
OpenClose | [0..1] | CodeSet |
CoveredOrUncovered | [0..1] | CodeSet |
CustomerOrFirm | [0..1] | CodeSet |
MaxShow | [0..1] | Qty |
PegDifference | [0..1] | PriceOffset |
DiscretionInst | [0..1] | CodeSet | Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.
DiscretionOffset | [0..1] | PriceOffset | Amount (signed) added to the "related to" price specified via DiscretionInst.
ClearingFirm | [0..1] | String |
ClearingAccount | [0..1] | String |

Used in messages: OrderList

ListSeqNo

Sequence of individual order within list (i.e. ListSeqNo of ListNoOrds, 2 of 25, 3 of 25, . . . )

Type: int

Used in groups: ListOrdGrp

ListStatusText

Free format text string related to List Status.

Type: String

Used in messages: ListStatus

ListStatusType

Code to represent the price type.

Type: int

Used in messages: ListStatus

LocateReqd

Indicates whether the broker is to locate the stock in conjunction with a short sell order.

Type: Boolean

Allowed values in LocateReqdCodeSet:

Code | Name | Description
N | No | Indicates the broker is not required to locate
Y | Yes | Indicates the broker is responsible for locating the stock

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

LocationID

Identification of a Market Maker’s location

Type: String

Used in groups: MDFullGrp, MDIncGrp

LowPx

Represents an indication of the low end of the price range for a security prior to the open or reopen

Type: Price

Used in messages: SecurityStatus

MarketDepth

Depth of market for Book Snapshot

Type: int

Used in messages: MarketDataRequest

MaturityDay

Day of month used in conjunction with MaturityMonthYear to specify the maturity date for SecurityType=FUT or SecurityType=OPT.

Type: DayOfMonth

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

MaturityMonthYear

Month and Year of the maturity for SecurityType=FUT or SecurityType=OPT. Required if MaturityDay is specified. Format: YYYYMM (i.e. 199903)

Type: MonthYear

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

MaxFloor

Maximum number of shares within an order to be shown on the exchange floor at any given time. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

MaxMessageSize

Maximum number of bytes supported for a single message.

Type: int

Used in messages: Logon

MaxShow

Maximum number of shares within an order to be shown to other customers (i.e. sent via an IOI). (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

MDEntryBuyer

Buying party in a trade

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntryDate

Date of Market Data Entry.

Type: UTCDate

Used in groups: MDFullGrp, MDIncGrp

MDEntryID

Unique Market Data Entry identifier.

Type: String

Used in groups: MDIncGrp

MDEntryOriginator

Originator of a Market Data Entry

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntryPositionNo

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1.

Type: int

Used in groups: MDFullGrp, MDIncGrp

MDEntryPx

Price of the Market Data Entry.

Type: Price

Used in groups: MDFullGrp, MDIncGrp

MDEntryRefID

Refers to a previous MDEntryID.

Type: String

Used in groups: MDIncGrp

MDEntrySeller

Selling party in a trade

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntrySize

Number of shares represented by the Market Data Entry.

Type: Qty

Used in groups: MDFullGrp, MDIncGrp

MDEntryTime

Time of Market Data Entry.

Type: UTCTimeOnly

Used in groups: MDFullGrp, MDIncGrp

MDEntryType

Type Market Data entry.

Type: char

Allowed values in MDEntryTypeCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Offer | Offer
2 | Trade | Trade
3 | IndexValue | Index Value
4 | OpeningPrice | Opening Price
5 | ClosingPrice | Closing Price
6 | SettlementPrice | Settlement Price
7 | TradingSessionHighPrice | Trading Session High Price
8 | TradingSessionLowPrice | Trading Session Low Price
9 | TradingSessionVWAPPrice | Trading Session VWAP Price

Used in groups: MDFullGrp, MDIncGrp, MDReqGrp

MDFullGrp

No component usage documentation for MDFullGrp

Name | Mult. | Type | Description
NoMDEntries | [1..1] | int |
MDEntryType | [1..1] | CodeSet | Must be the first field in this repeating group.
MDEntryPx | [1..1] | Price |
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.
MDEntrySize | [0..1] | Qty | Conditionally required if MDEntryType = Bid(0), Offer(1), or Trade(2)
MDEntryDate | [0..1] | UTCDate |
MDEntryTime | [0..1] | UTCTimeOnly |
TickDirection | [0..1] | CodeSet |
MDMkt | [0..1] | Exchange | Market posting quote / trade. Valid values: See Appendix C
TradingSessionID | [0..1] | String |
QuoteCondition | [0..1] | CodeSet | Space-delimited list of conditions describing a quote.
TradeCondition | [0..1] | CodeSet | Space-delimited list of conditions describing a trade
MDEntryOriginator | [0..1] | String |
LocationID | [0..1] | String |
DeskID | [0..1] | String |
OpenCloseSettleFlag | [0..1] | CodeSet | Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
TimeInForce | [0..1] | CodeSet | For optional use when this Bid or Offer represents an order
ExpireDate | [0..1] | LocalMktDate | For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
ExpireTime | [0..1] | UTCTimestamp | For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
MinQty | [0..1] | Qty | For optional use when this Bid or Offer represents an order
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited.
SellerDays | [0..1] | int |
OrderID | [0..1] | String | For optional use when this Bid, Offer, or Trade represents an order
QuoteEntryID | [0..1] | String | For optional use when this Bid, Offer, or Trade represents a quote
MDEntryBuyer | [0..1] | String | For optional use in reporting Trades
MDEntrySeller | [0..1] | String | For optional use in reporting Trades
NumberOfOrders | [0..1] | int | In an Aggregated Book, used to show how many individual orders make up an MDEntry
MDEntryPositionNo | [0..1] | int | Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
Text | [0..1] | String | Text to describe the Market Data Entry. Part of repeating group.
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: MarketDataSnapshotFullRefresh

MDIncGrp

No component usage documentation for MDIncGrp

Name
Mult.
Type
Description

NoMDEntries
[1..1]
int

MDUpdateAction
[1..1]
CodeSet
Must be first field in this repeating group.

DeleteReason
[0..1]
CodeSet
If MDUpdateAction = Delete(2), can be used to specify a reason for the deletion.

MDEntryType
[0..1]
CodeSet
Conditionally required if MDUpdateAction = New(0). Cannot be changed.

MDEntryID
[0..1]
String
If specified, must be unique among currently active entries if MDUpdateAction = New (0), must be the same as a previous MDEntryID if MDUpdateAction = Delete (2), and must be the same as a previous MDEntryID if MDUpdateAction = Change (1) and MDEntryRefID is not specified, or must be unique among currently active entries if MDUpdateAction = Change(1) and MDEntryRefID is specified.

MDEntryRefID
[0..1]
String
If MDUpdateAction = New(0), for the first Market Data Entry in a message, either this field or a Symbol must be specified. If MDUpdateAction = Change(1), this must refer to a previous MDEntryID.

Symbol
[0..1]
String
Either Symbol or MDEntryRefID must be specified if MDUpdateAction = New(0) for the first Market Data Entry in a message. For subsequent Market Data Entries where MDUpdateAction = New(0), the default is the instrument used in the previous Market Data Entry if neither Symbol nor MDEntryRefID are specified, or in the case of options and futures, the previous instrument with changes specified in MaturityMonthYear, MaturityDay, PutOrCall, StrikePrice, OptAttribute, and SecurityExchange. May not be changed.

SymbolSfx
[0..1]
String
May not be changed.

SecurityID
[0..1]
String
May not be changed.

IDSource
[0..1]
CodeSet
May not be changed.

SecurityType
[0..1]
CodeSet
Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required. May not be changed.

MaturityMonthYear
[0..1]
MonthYear
Specifies the month and year of maturity. Required if MaturityDay is specified. May not be changed.

MaturityDay
[0..1]
DayOfMonth
Can be used in conjunction with MaturityMonthYear to specify a particular maturity date. May not be changed.

PutOrCall
[0..1]
CodeSet
For Options. May not be changed.

StrikePrice
[0..1]
Price
For Options. May not be changed.

OptAttribute
[0..1]
char
For Options. May not be changed.

ContractMultiplier
[0..1]
float
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

CouponRate
[0..1]
float
For Fixed Income.

SecurityExchange
[0..1]
Exchange
Can be used to identify the security. May not be changed.

Issuer
[0..1]
String
May not be changed.

EncodedIssuerLen
[0..1]
int
Must be set if EncodedIssuer field is specified and must immediately precede it.

EncodedIssuer
[0..1]
data
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.

SecurityDesc
[0..1]
String
May not be changed.

EncodedSecurityDescLen
[0..1]
int
Must be set if EncodedSecurityDesc field is specified and must immediately precede it.

EncodedSecurityDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.

FinancialStatus
[0..1]
CodeSet

CorporateAction
[0..1]
CodeSet

MDEntryPx
[0..1]
Price
Conditionally required when MDUpdateAction = New(0).

Currency
[0..1]
Currency
Can be used to specify the currency of the quoted price.

MDEntrySize
[0..1]
Qty
Conditionally required when MDUpdateAction = New(0) andMDEntryType = Bid(0), Offer(1), or Trade(2).

MDEntryDate
[0..1]
UTCDate

MDEntryTime
[0..1]
UTCTimeOnly

TickDirection
[0..1]
CodeSet

MDMkt
[0..1]
Exchange
Market posting quote / trade. Valid values: See Appendix C

TradingSessionID
[0..1]
String

QuoteCondition
[0..1]
CodeSet
Space-delimited list of conditions describing a quote.

TradeCondition
[0..1]
CodeSet
Space-delimited list of conditions describing a trade

MDEntryOriginator
[0..1]
String

LocationID
[0..1]
String

DeskID
[0..1]
String

OpenCloseSettleFlag
[0..1]
CodeSet
Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).

TimeInForce
[0..1]
CodeSet
For optional use when this Bid or Offer represents an order

ExpireDate
[0..1]
LocalMktDate
For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.

ExpireTime
[0..1]
UTCTimestamp
For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.

MinQty
[0..1]
Qty
For optional use when this Bid or Offer represents an order

ExecInst
[0..1]
CodeSet
Can contain multiple instructions, space delimited.

SellerDays
[0..1]
int

OrderID
[0..1]
String
For optional use when this Bid, Offer, or Trade represents an order

QuoteEntryID
[0..1]
String
For optional use when this Bid, Offer, or Trade represents a quote

MDEntryBuyer
[0..1]
String
For optional use in reporting Trades

MDEntrySeller
[0..1]
String
For optional use in reporting Trades

NumberOfOrders
[0..1]
int
In an Aggregated Book, used to show how many individual orders make up an MDEntry

MDEntryPositionNo
[0..1]
int
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1

TotalVolumeTraded
[0..1]
Qty
Total volume traded in this trading session for this security.

Text
[0..1]
String
Text to describe the Market Data Entry. Part of repeating group.

EncodedTextLen
[0..1]
int
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: MarketDataIncrementalRefresh

MDMkt

Market posting quote / trade. Valid values: See Appendix C

Type: Exchange

Used in groups: MDFullGrp, MDIncGrp

MDReqGrp

No component usage documentation for MDReqGrp

Name | Mult. | Type | Description
NoMDEntryTypes | [1..1] | int |
MDEntryType | [1..1] | CodeSet | Must be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.

Used in messages: MarketDataRequest

MDReqID

Unique identifier for Market Data Request

Type: String

Used in messages: MarketDataIncrementalRefresh, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh

MDReqRejReason

Reason for the rejection of a Market Data request.

Type: char

Allowed values in MDReqRejReasonCodeSet:

Code | Name | Description
0 | UnknownSymbol | Unknown symbol
1 | DuplicateMDReqID | Duplicate MDReqID
2 | InsufficientBandwidth | Insufficient Bandwidth
3 | InsufficientPermissions | Insufficient Permissions
4 | UnsupportedSubscriptionRequestType | Unsupported SubscriptionRequestType
5 | UnsupportedMarketDepth | Unsupported MarketDepth
6 | UnsupportedMDUpdateType | Unsupported MDUpdateType
7 | UnsupportedAggregatedBook | Unsupported AggregatedBook
8 | UnsupportedMDEntryType | Unsupported MDEntryType

Used in messages: MarketDataRequestReject

MDUpdateAction

Type of Market Data update action.

Type: char

Allowed values in MDUpdateActionCodeSet:

Code | Name | Description
0 | New | New
1 | Change | Change
2 | Delete | Delete

Used in groups: MDIncGrp

MDUpdateType

Specifies the type of Market Data update.

Type: int

Allowed values in MDUpdateTypeCodeSet:

Code | Name | Description
0 | FullRefresh | Full Refresh
1 | IncrementalRefresh | Incremental Refresh

Used in messages: MarketDataRequest

MessageEncoding

Type of message encoding (non-ASCII (non-English) characters) used in a message’s "Encoded" fields.

Type: String

Allowed values in MessageEncodingCodeSet:

Code | Name | Description
EUC-JP | EUCJP | (for using EUC)
ISO-2022-JP | ISO2022JP | (for using JIS)
Shift_JIS | ShiftJIS | (for using SJIS)
UTF-8 | UTF8 | (for using Unicode)

Used in components: StandardHeader

MinQty

Minimum quantity of an order to be executed. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

MiscFeeAmt

Miscellaneous fee value

Type: Amt

Used in groups: MiscFeesGrp

MiscFeeCurr

Currency of miscellaneous fee

Type: Currency

Used in groups: MiscFeesGrp

MiscFeesGrp

No component usage documentation for MiscFeesGrp

Name | Mult. | Type | Description
NoMiscFees | [1..1] | int |
MiscFeeAmt | [0..1] | Amt | Required if NoMiscFees > 0
MiscFeeCurr | [0..1] | Currency | Required if NoMiscFees > 0
MiscFeeType | [0..1] | CodeSet | Required if NoMiscFees > 0

Used in groups: AllocGrp

MiscFeeType

Indicates type of miscellaneous fee.

Type: char

Allowed values in MiscFeeTypeCodeSet:

Code | Name | Description
1 | Regulatory | Regulatory (e.g. SEC)
2 | Tax | Tax
3 | LocalCommission | Local Commission
4 | ExchangeFees | Exchange Fees
5 | Stamp | Stamp
6 | Levy | Levy
7 | Other | Other
8 | Markup | Markup
9 | ConsumptionTax | Consumption Tax

Used in groups: MiscFeesGrp

MsgDirection

Specifies the direction of the message.

Type: char

Allowed values in MsgDirectionCodeSet:

Code | Name | Description
R | Receive | Receive
S | Send | Send

Used in groups: MsgTypeGrp

MsgSeqNum

Integer message sequence number.

Type: int

Used in components: StandardHeader

MsgType

Defines message type. ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted) Note: A "U" as the first character in the MsgType field (i.e. U1, U2, etc) indicates that the message format is privately defined between the sender and receiver.

Type: String

Allowed values in MsgTypeCodeSet:

Code | Name | Description
0 | Heartbeat | Heartbeat
1 | TestRequest | Test Request
2 | ResendRequest | Resend Request
3 | Reject | Reject
4 | SequenceReset | Sequence Reset
5 | Logout | Logout
6 | IOI | Indication of Interest
7 | Advertisement | Advertisement
8 | ExecutionReport | Execution Report
9 | OrderCancelReject | Order Cancel Reject
A | Logon | Logon
B | News | News
C | Email | Email
D | NewOrderSingle | Order Single
E | NewOrderList | Order List
F | OrderCancelRequest | Order Cancel Request
G | OrderCancelReplaceRequest | Order Cancel/Replace Request
H | OrderStatusRequest | Order Status Request
J | Allocation | Allocation
K | ListCancelRequest | List Cancel Request
L | ListExecute | List Execute
M | ListStatusRequest | List Status Request
N | ListStatus | List Status
P | AllocationAck | Allocation ACK
Q | DontKnowTrade | Dont Know Trade (DK)
R | QuoteRequest | Quote Request
S | Quote | Quote
T | SettlementInstructions | Settlement Instructions
V | MarketDataRequest | Market Data Request
W | MarketDataSnapshotFullRefresh | Market Data-Snapshot/Full Refresh
X | MarketDataIncrementalRefresh | Market Data-Incremental Refresh
Y | MarketDataRequestReject | Market Data Request Reject
Z | QuoteCancel | Quote Cancel
a | QuoteStatusRequest | Quote Status Request
b | MassQuoteAcknowledgement | Quote Acknowledgement
c | SecurityDefinitionRequest | Security Definition Request
d | SecurityDefinition | Security Definition
e | SecurityStatusRequest | Security Status Request
f | SecurityStatus | Security Status
g | TradingSessionStatusRequest | Trading Session Status Request
h | TradingSessionStatus | Trading Session Status
i | MassQuote | Mass Quote
j | BusinessMessageReject | Business Message Reject
k | BidRequest | Bid Request
l | BidResponse | Bid Response (lowercase L)
m | ListStrikePrice | List Strike Price

Used in components: StandardHeader

MsgTypeGrp

No component usage documentation for MsgTypeGrp

Name | Mult. | Type | Description
NoMsgTypes | [1..1] | int |
RefMsgType | [0..1] | String | Specifies a specific, supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message
MsgDirection | [0..1] | CodeSet | Indicates direction (send vs. receive) of a supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message

Used in messages: Logon

MultiLegReportingType

Used to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).

Type: char

Allowed values in MultiLegReportingTypeCodeSet:

Code | Name | Description
1 | SingleSecurity | Single Security (default if not specified)
2 | IndividualLegOfAMultiLegSecurity | Individual leg of a multi-leg security
3 | MultiLegSecurity | Multi-leg security

Used in messages: ExecutionReport

NetGrossInd

Code to represent whether value is net (inclusive of tax) or gross.

Type: int

Allowed values in NetGrossIndCodeSet:

Code | Name | Description
1 | Net | Net
2 | Gross | Gross

Used in groups: BidCompReqGrp, BidCompRspGrp

NetMoney

Total amount due as the result of the transaction (e.g. for Buy order - principal + commission + fees) reported in currency of execution.

Type: Amt

Used in messages: Allocation

NewSeqNo

New sequence number

Type: int

Used in messages: SequenceReset

NoAllocs

Number of repeating AllocAccount/AllocPrice entries.

Type: int

Used in groups: AllocGrp, PreAllocGrp

NoBidComponents

Indicates the number of list entries.

Type: int

Used in groups: BidCompReqGrp, BidCompRspGrp

NoBidDescriptors

Number of BidDescriptor entries.

Type: int

Used in groups: BidDescReqGrp

NoContraBrokers

The number of ContraBroker entries.

Type: int

Used in groups: ContraGrp

NoExecs

No of execution repeating group entries to follow.

Type: int

Used in groups: ExecAllocGrp

NoIOIQualifiers

Number of repeating groups of IOIQualifiers.

Type: int

Used in groups: IOIQualGrp

NoMDEntries

Number of entries in Market Data message.

Type: int

Used in groups: MDFullGrp, MDIncGrp

NoMDEntryTypes

Number of MDEntryType fields requested.

Type: int

Used in groups: MDReqGrp

NoMiscFees

Number of repeating groups of miscellaneous fees

Type: int

Used in groups: MiscFeesGrp

NoMsgTypes

Number of MsgTypes in repeating group.

Type: int

Used in groups: MsgTypeGrp

NoOrders

Indicates number of orders to be combined for average pricing and allocation.

Type: int

Used in groups: ListOrdGrp, OrdAllocGrp, OrdListStatGrp

NoQuoteEntries

The number of quote entries for a QuoteSet.

Type: int

Used in groups: QuotCxlEntriesGrp, QuoteEntryAckGrp, QuoteEntryGrp

NoQuoteSets

The number of sets of quotes in the message.

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp

NoRelatedSym

Specifies the number of repeating symbols specified.

Type: int

Used in groups: InstrmtGrp, InstrmtMDReqGrp, QuotReqGrp, UndInstrmtGrp

NoRoutingIDs

Number of repeating groups of RoutingID and RoutingType values. See Appendix L – Pre-Trade Message Targeting/Routing

Type: int

Used in groups: RoutingGrp

NoRpts

Total number of reports within series.

Type: int

Used in messages: ListStatus

NoStrikes

Number of list strike price entries.

Type: int

Used in groups: InstrmtStrkPxGrp

NotifyBrokerOfCredit

Indicates whether or not details should be communicated to BrokerOfCredit (i.e. step-in broker).

Type: Boolean

Allowed values in NotifyBrokerOfCreditCodeSet:

Code | Name | Description
N | DetailsShouldNotBeCommunicated | Details should not be communicated
Y | DetailsShouldBeCommunicated | Details should be communicated

Used in groups: AllocGrp

NoTradingSessions

Number of TradingSessionIDs in repeating group.

Type: int

Used in groups: TrdgSesGrp

NumberOfOrders

Number of orders in the market.

Type: int

Used in groups: MDFullGrp, MDIncGrp

NumBidders

Indicates the total number of bidders on the list

Type: int

Used in messages: BidRequest

NumDaysInterest

Number of Days of Interest for convertible bonds and fixed income

Type: int

Used in messages: Allocation

NumTickets

Total number of tickets.

Type: int

Used in messages: BidRequest

OfferForwardPoints

Offer F/X forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuoteEntryGrp

Used in messages: Quote

OfferPx

Offer price/rate

Type: Price

Used in groups: QuoteEntryGrp

Used in messages: Quote

OfferSize

Quantity of offer (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: QuoteEntryGrp

Used in messages: Quote

OfferSpotRate

Offer F/X spot rate.

Type: Price

Used in groups: QuoteEntryGrp

Used in messages: Quote

OnBehalfOfCompID

Assigned value used to identify firm originating message if the message was delivered by a third party i.e. the third party firm identifier would be delivered in the SenderCompID field and the firm originating the message in this field.

Type: String

Used in components: StandardHeader

OnBehalfOfLocationID

Assigned value used to identify specific message originator’s location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

OnBehalfOfSendingTime

Used when a message is sent via a "hub" or "service bureau". If A sends to Q (the hub) who then sends to B via a separate FIX session, then when Q sends to B the value of this field should represent the SendingTime on the message A sent to Q. (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in components: StandardHeader

OnBehalfOfSubID

Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

OpenClose

Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.

Type: char

Allowed values in OpenCloseCodeSet:

Code | Name | Description
C | Close | Close
O | Open | Open

Used in groups: ListOrdGrp

Used in messages: Allocation, ExecutionReport, OrderCancelReplaceRequest, OrderSingle

OpenCloseSettleFlag

Flag that identifies a price.

Type: char

Allowed values in OpenCloseSettleFlagCodeSet:

Code | Name | Description
0 | DailyOpen | Daily Open / Close / Settlement price
1 | SessionOpen | Session Open / Close / Settlement price
2 | DeliverySettlementEntry | Delivery Settlement price

Used in groups: MDFullGrp, MDIncGrp

OptAttribute

Can be used for SecurityType=OPT to identify a particular security.

Type: char

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

OrdAllocGrp

No component usage documentation for OrdAllocGrp

Name | Mult. | Type | Description
NoOrders | [1..1] | int |
ClOrdID | [0..1] | String | Order ID assigned by client if order(s) were electronically delivered and executed. If order(s) were manually delivered this field should contain string "MANUAL".
OrderID | [0..1] | String |
SecondaryOrderID | [0..1] | String | Can be used to provide order id used by exchange or executing system.
ListID | [0..1] | String | Required for List Orders.
WaveNo | [0..1] | String |

Used in messages: Allocation

OrderID

Unique identifier for Order as assigned by broker. Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.

Type: String

Used in groups: MDFullGrp, MDIncGrp, OrdAllocGrp

Used in messages: DontKnowTrade, Email, ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderStatusRequest

OrderQty

Number of shares ordered. This represents the number of shares for equities or based on normal convention the number of contracts for options, futures, convertible bonds, etc. (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp, QuotReqGrp

Used in messages: DontKnowTrade, ExecutionReport, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle

OrderQty2

OrderQty of the future part of an F/X swap order.

Type: Qty

Used in groups: ListOrdGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle, Quote

OrdListStatGrp

No component usage documentation for OrdListStatGrp

Name | Mult. | Type | Description
NoOrders | [1..1] | int |
ClOrdID | [1..1] | String |
CumQty | [1..1] | Qty |
OrdStatus | [1..1] | CodeSet |
LeavesQty | [1..1] | Qty | Amount of shares open for further execution. LeavesQty = OrderQty - CumQty.
CxlQty | [1..1] | Qty |
AvgPx | [1..1] | Price |
OrdRejReason | [0..1] | CodeSet | Used if the order is rejected
Text | [0..1] | String |
EncodedTextLen | [0..1] | int | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: ListStatus

OrdRejReason

Code to identify reason for order rejection.

Type: int

Allowed values in OrdRejReasonCodeSet:

Code | Name | Description
0 | BrokerCredit | Broker option
1 | UnknownSymbol | Unknown symbol
2 | ExchangeClosed | Exchange closed
3 | OrderExceedsLimit | Order exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownOrder | Unknown Order
6 | DuplicateOrder | Duplicate Order (e.g. dupe ClOrdID)
7 | DuplicateOfAVerballyCommunicatedOrder | Duplicate of a verbally communicated order
8 | StaleOrder | Stale Order

Used in groups: OrdListStatGrp

Used in messages: ExecutionReport

OrdStatus

Identifies current status of order.

Type: char

Allowed values in OrdStatusCodeSet:

Code | Name | Description
0 | New | New
1 | PartiallyFilled | Partially filled
2 | Filled | Filled
3 | DoneForDay | Done for day
4 | Canceled | Canceled
5 | Replaced | Replaced
6 | PendingCancel | Pending Cancel (e.g. result of Order Cancel Request)
7 | Stopped | Stopped
8 | Rejected | Rejected
9 | Suspended | Suspended
A | PendingNew | Pending New
B | Calculated | Calculated
C | Expired | Expired
D | AcceptedForBidding | Accepted for bidding
E | PendingReplace | Pending Replace (e.g. result of Order Cancel/Replace Request)

Used in groups: OrdListStatGrp

Used in messages: ExecutionReport, OrderCancelReject

OrdType

Order type.

Type: char

Allowed values in OrdTypeCodeSet:

Code | Name | Description
1 | Market | Market
2 | Limit | Limit
3 | Stop | Stop
4 | StopLimit | Stop limit
5 | MarketOnClose | Market on close
6 | WithOrWithout | With or without
7 | LimitOrBetter | Limit or better
8 | LimitWithOrWithout | Limit with or without
9 | OnBasis | On basis
A | OnClose | On close
B | LimitOnClose | Limit on close
C | ForexMarket | Forex - Market
D | PreviouslyQuoted | Previously quoted
E | PreviouslyIndicated | Previously indicated
F | ForexLimit | Forex - Limit
G | ForexSwap | Forex - Swap
H | ForexPreviouslyQuoted | Forex - Previously Quoted
I | Funari | Funari (Limit Day Order with unexecuted portion handled as Market On Close. e.g. Japan)
P | Pegged | Pegged

Used in groups: ListOrdGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle, Quote

OrigClOrdID

ClOrdID of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.

Type: String

Used in messages: ExecutionReport, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest

OrigSendingTime

Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT") when transmitting orders as the result of a resend request.

Type: UTCTimestamp

Used in components: StandardHeader

OrigTime

Time of message origination (always expressed in UTC (Universal Time Coordinated, also known as "GMT"))

Type: UTCTimestamp

Used in messages: Email, News

OutMainCntryUIndex

Value of stocks in Currency

Type: Amt

Used in messages: BidRequest

OutsideIndexPct

Used in EFP trades. Represented as a percentage.

Type: float

Used in groups: BidDescReqGrp

PegDifference

Amount (signed) added to the price of the peg for a pegged order.

Type: PriceOffset

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

PossDupFlag

Indicates possible retransmission of message with this sequence number

Type: Boolean

Allowed values in PossDupFlagCodeSet:

Code | Name | Description
N | OriginalTransmission | Original transmission
Y | PossibleDuplicate | Possible duplicate

Used in components: StandardHeader

PossResend

Indicates that message may contain information that has been sent under another sequence number.

Type: Boolean

Allowed values in PossResendCodeSet:

Code | Name | Description
N | OriginalTransmission | Original transmission
Y | PossibleResend | Possible resend

Used in components: StandardHeader

PreAllocGrp

No component usage documentation for PreAllocGrp

Name | Mult. | Type | Description
NoAllocs | [1..1] | int |
AllocAccount | [0..1] | String | Required if NoAllocs > 0. Must be first field in repeating group.
AllocShares | [0..1] | Qty |

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

PrevClosePx

Previous closing price of security.

Type: Price

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, QuotReqGrp

Used in messages: OrderSingle

Price

Price per share

Type: Price

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, ListOrdGrp

Used in messages: Advertisement, ExecutionReport, IOI, OrderCancelReplaceRequest, OrderSingle

PriceType

Code to represent the price type.

Type: int

Allowed values in PriceTypeCodeSet:

Code | Name | Description
1 | Percentage | Percentage
2 | PerUnit | per share (e.g. cents per share)
3 | FixedAmount | Fixed Amount (absolute value)

Used in groups: BidCompRspGrp

ProcessCode

Processing code for sub-account. Absence of this field in AllocAccount / AllocPrice/AllocShares / ProcessCode instance indicates regular trade.

Type: char

Allowed values in ProcessCodeCodeSet:

Code | Name | Description
0 | Regular | regular
1 | SoftDollar | soft dollar
2 | StepIn | step-in
3 | StepOut | step-out
4 | SoftDollarStepIn | soft-dollar step-in
5 | SoftDollarStepOut | soft-dollar step-out
6 | PlanSponsor | plan sponsor

Used in groups: AllocGrp, ListOrdGrp

Used in messages: OrderSingle

ProgPeriodInterval

Time in minutes between each ListStatus report sent by SellSide. Zero means don’t send status.

Type: int

Used in messages: BidRequest, OrderList

ProgRptReqs

Code to identify the desired frequency of progress reports.

Type: int

Allowed values in ProgRptReqsCodeSet:

Code | Name | Description
1 | BuySideRequests | BuySide explicitly requests status using StatusRequest (Default) The sell-side firm can however, send a DONE status List Status Response in an unsolicited fashion
2 | SellSideSends | SellSide periodically sends status using ListStatus. Period optionally specified in ProgressPeriod
3 | RealTimeExecutionReports | Real-time execution reports (to be discouraged)

Used in messages: BidRequest, OrderList

PutOrCall

Indicates whether an Option is for a put or call.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put
1 | Call | Call

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

QuotCxlEntriesGrp

No component usage documentation for QuotCxlEntriesGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | int |
Symbol | [1..1] | String | Must be the first field in the repeating group.
SymbolSfx | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SecurityID | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
IDSource | [0..1] | CodeSet | Can be repeated multiple times if message is related to multiple symbols.
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future:Symbol, SecurityType, and MaturityMonthYear are required. If an Option:Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
UnderlyingSymbol | [0..1] | String | The symbol of the underlying security of options that should be canceled.

Used in messages: QuoteCancel

QuoteAckStatus

Identifies the status of the quote acknowledgement.

Type: int

Allowed values in QuoteAckStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | CancelForSymbol | Canceled for Symbol(s)
2 | CanceledForSecurityType | Canceled for Security Type(s)
3 | CanceledForUnderlying | Canceled for Underlying
4 | CanceledAll | Canceled All
5 | Rejected | Rejected

Used in messages: QuoteAcknowledgement

QuoteCancelType

Identifies the type of quote cancel.

Type: int

Allowed values in QuoteCancelTypeCodeSet:

Code | Name | Description
1 | CancelForOneOrMoreSecurities | Cancel for Symbol(s)
2 | CancelForSecurityType | Cancel for Security Type(s)
3 | CancelForUnderlyingSecurity | Cancel for Underlying Symbol
4 | CancelAllQuotes | Cancel for All Quotes

Used in messages: QuoteCancel

QuoteCondition

Space-delimited list of conditions describing a quote.

Type: MultipleValueString

Allowed values in QuoteConditionCodeSet:

Code | Name | Description
A | Open | Open / Active
B | Closed | Closed / Inactive
C | ExchangeBest | Exchange Best
D | ConsolidatedBest | Consolidated Best
E | Locked | Locked
F | Crossed | Crossed
G | Depth | Depth
H | FastTrading | Fast Trading
I | NonFirm | Non-Firm

Used in groups: MDFullGrp, MDIncGrp

QuoteEntryAckGrp

No component usage documentation for QuoteEntryAckGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | int |
QuoteEntryID | [0..1] | String | Uniquely identifies the quote as part of a QuoteSet. First field in repeating group. Required if NoQuoteEntries > 0.
Symbol | [0..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
QuoteEntryRejectReason | [0..1] | CodeSet | Reason Quote Entry was rejected.

Used in groups: QuotSetAckGrp

QuoteEntryGrp

No component usage documentation for QuoteEntryGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | int |
QuoteEntryID | [0..1] | String | Uniquely identifies the quote as part of a QuoteSet. First field in repeating group. Required if NoQuoteEntries > 0.
Symbol | [0..1] | String |
SymbolSfx | [0..1] | String |
SecurityID | [0..1] | String |
IDSource | [0..1] | CodeSet |
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String |
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String |
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
BidSize | [0..1] | Qty |
OfferSize | [0..1] | Qty |
ValidUntilTime | [0..1] | UTCTimestamp |
BidSpotRate | [0..1] | Price | May be applicable for F/X quotes
OfferSpotRate | [0..1] | Price | May be applicable for F/X quotes
BidForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
OfferForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
TransactTime | [0..1] | UTCTimestamp |
TradingSessionID | [0..1] | String |
FutSettDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.

Used in groups: QuotSetGrp

QuoteEntryID

Uniquely identifies the quote as part of a QuoteSet.

Type: String

Used in groups: MDFullGrp, MDIncGrp, QuoteEntryAckGrp, QuoteEntryGrp

QuoteEntryRejectReason

Reason Quote Entry was rejected:

Type: int

Allowed values in QuoteEntryRejectReasonCodeSet:

Code | Name | Description
1 | UnknownSymbol | Unknown symbol (Security)
2 | Exchange | Exchange (Security) closed
3 | QuoteExceedsLimit | Quote exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownQuote | Unknown Quote
6 | DuplicateQuote | Duplicate Quote
7 | InvalidBidAskSpread | Invalid bid/ask spread
8 | InvalidPrice | Invalid price
9 | NotAuthorizedToQuoteSecurity | Not authorized to quote security

Used in groups: QuoteEntryAckGrp

QuoteID

Unique identifier for quote

Type: String

Used in groups: ListOrdGrp

Used in messages: MassQuote, OrderSingle, Quote, QuoteAcknowledgement, QuoteCancel, QuoteStatusRequest

QuoteRejectReason

Reason Quote was rejected:

Type: int

Allowed values in QuoteRejectReasonCodeSet:

Code | Name | Description
1 | UnknownSymbol | Unknown symbol (Security)
2 | Exchange | Exchange (Security) closed
3 | QuoteRequestExceedsLimit | Quote Request exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownQuote | Unknown Quote
6 | DuplicateQuote | Duplicate Quote
7 | InvalidBid | Invalid bid/ask spread
8 | InvalidPrice | Invalid price
9 | NotAuthorizedToQuoteSecurity | Not authorized to quote security

Used in messages: QuoteAcknowledgement

QuoteReqID

Unique identifier for quote request

Type: String

Used in messages: MassQuote, Quote, QuoteAcknowledgement, QuoteCancel, QuoteRequest

QuoteRequestType

Indicates the type of Quote Request being generated

Type: int

Allowed values in QuoteRequestTypeCodeSet:

Code | Name | Description
1 | Manual | Manual
2 | Automatic | Automatic

Used in groups: QuotReqGrp

QuoteResponseLevel

Level of Response requested from receiver of quote messages.

Type: int

Allowed values in QuoteResponseLevelCodeSet:

Code | Name | Description
0 | NoAcknowledgement | No Acknowledgement (Default)
1 | AcknowledgeOnlyNegativeOrErroneousQuotes | Acknowledge only negative or erroneous quotes
2 | AcknowledgeEachQuoteMessage | Acknowledge each quote messages

Used in messages: MassQuote, Quote, QuoteAcknowledgement, QuoteCancel

QuoteSetID

Unique id for the Quote Set.

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp

QuoteSetValidUntilTime

Indicates expiration time of this particular QuoteSet (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: QuotSetGrp

QuotReqGrp

No component usage documentation for QuotReqGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | int |
Symbol | [1..1] | String | Must be the first field in the repeating group.
SymbolSfx | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
SecurityID | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
IDSource | [0..1] | CodeSet | Can be repeated multiple times if message is related to multiple symbols.
SecurityType | [0..1] | CodeSet | Must be specified if a Future or Option. If a Future:Symbol, SecurityType, and MaturityMonthYear are required. If an Option:Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required.
MaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified.
MaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date.
PutOrCall | [0..1] | CodeSet | For Options.
StrikePrice | [0..1] | Price | For Options.
OptAttribute | [0..1] | char | For Options.
ContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.
CouponRate | [0..1] | float | For Fixed Income.
SecurityExchange | [0..1] | Exchange | Can be used to identify the security.
Issuer | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedIssuerLen | [0..1] | int | Must be set if EncodedIssuer field is specified and must immediately precede it.
EncodedIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field.
SecurityDesc | [0..1] | String | Can be repeated multiple times if message is related to multiple symbols.
EncodedSecurityDescLen | [0..1] | int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it.
EncodedSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
QuoteRequestType | [0..1] | CodeSet | Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
TradingSessionID | [0..1] | String |
Side | [0..1] | CodeSet | If OrdType = "Forex - Swap", should be the side of the future portion of an F/X swap
OrderQty | [0..1] | Qty |
FutSettDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify the desired "value date"
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote request is for
FutSettDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap.
ExpireTime | [0..1] | UTCTimestamp | The time when Quote Request will expire.
TransactTime | [0..1] | UTCTimestamp | Time transaction was entered
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.

Used in messages: QuoteRequest

QuotSetAckGrp

No component usage documentation for QuotSetAckGrp

Name | Mult. | Type | Description
NoQuoteSets | [1..1] | int |
QuoteSetID | [0..1] | String | First field in repeating group. Required if NoQuoteSets > 0
UnderlyingSymbol | [0..1] | String | Required if NoQuoteSets > 0
UnderlyingSymbolSfx | [0..1] | String |
UnderlyingSecurityID | [0..1] | String |
UnderlyingIDSource | [0..1] | String |
UnderlyingSecurityType | [0..1] | String |
UnderlyingMaturityMonthYear | [0..1] | MonthYear | Required if UnderlyingMaturityDay is specified.
UnderlyingMaturityDay | [0..1] | DayOfMonth |
UnderlyingPutOrCall | [0..1] | int |
UnderlyingStrikePrice | [0..1] | Price |
UnderlyingOptAttribute | [0..1] | char |
UnderlyingContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc.
UnderlyingCouponRate | [0..1] | float | For Fixed Income.
UnderlyingSecurityExchange | [0..1] | Exchange |
UnderlyingIssuer | [0..1] | String |
EncodedUnderlyingIssuerLen | [0..1] | int | Must be set if EncodedUnderlyingIssuer field is specified and must immediately precede it.
EncodedUnderlyingIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingIssuer field in the encoded format specified via the MessageEncoding field.
UnderlyingSecurityDesc | [0..1] | String |
EncodedUnderlyingSecurityDescLen | [0..1] | int | Must be set if EncodedUnderlyingSecurityDesc field is specified and must immediately precede it.
EncodedUnderlyingSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc field in the encoded format specified via the MessageEncoding field.
TotQuoteEntries | [0..1] | int | Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set. Required if NoQuoteEntries > 0
QuoteEntryAckGrp | [0..*] | Group | The number of quotes for this Symbol (QuoteSet) that follow in this message.

Used in messages: QuoteAcknowledgement

QuotSetGrp

No component usage documentation for QuotSetGrp

Name | Mult. | Type | Description
NoQuoteSets | [1..1] | int |
QuoteSetID | [1..1] | String | Sequential number for the Quote Set. For a given QuoteID – assumed to start at 1. Must be the first field in the repeating group.
UnderlyingSymbol | [1..1] | String |
UnderlyingSymbolSfx | [0..1] | String |
UnderlyingSecurityID | [0..1] | String |
UnderlyingIDSource | [0..1] | String |
UnderlyingSecurityType | [0..1] | String |
UnderlyingMaturityMonthYear | [0..1] | MonthYear | Required if UnderlyingMaturityDay is specified.
UnderlyingMaturityDay | [0..1] | DayOfMonth |
UnderlyingPutOrCall | [0..1] | int |
UnderlyingStrikePrice | [0..1] | Price |
UnderlyingOptAttribute | [0..1] | char |
UnderlyingContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc.
UnderlyingCouponRate | [0..1] | float | For Fixed Income.
UnderlyingSecurityExchange | [0..1] | Exchange |
UnderlyingIssuer | [0..1] | String |
EncodedUnderlyingIssuerLen | [0..1] | int | Must be set if EncodedUnderlyingIssuer field is specified and must immediately precede it.
EncodedUnderlyingIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingIssuer field in the encoded format specified via the MessageEncoding field.
UnderlyingSecurityDesc | [0..1] | String |
EncodedUnderlyingSecurityDescLen | [0..1] | int | Must be set if EncodedUnderlyingSecurityDesc field is specified and must immediately precede it.
EncodedUnderlyingSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc field in the encoded format specified via the MessageEncoding field.
QuoteSetValidUntilTime | [0..1] | UTCTimestamp |
TotQuoteEntries | [1..1] | int | Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
QuoteEntryGrp | [1..*] | Group | The number of quotes for this Symbol (QuoteSet) that follow in this message. ** Nested Repeating Group follows **

Used in messages: MassQuote

RatioQty

Quantity of a particular leg in the security.

Type: Qty

Used in groups: UndInstrmtGrp

RawData

Unformatted raw data, can include bitmaps, word processor documents, etc.

Type: data

Used in messages: Email, Logon, News

RawDataLength

Number of bytes in raw data field.

Type: int

Used in messages: Email, Logon, News

RefAllocID

Reference identifier to be used with Replace, Cancel, and Calculated AllocTransType messages. (Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Allocation

RefMsgType

The MsgType of the FIX message being referenced.

Type: String

Used in groups: MsgTypeGrp

Used in messages: BusinessMessageReject, Reject

RefSeqNum

Reference message sequence number

Type: int

Used in messages: BusinessMessageReject, Reject

RefTagID

The tag number of the FIX field being referenced.

Type: int

Used in messages: Reject

RelatdSym

Symbol of issue related to story. Can be repeated within message to identify multiple companies.

Type: String

Used in groups: InstrmtGrp

ReportToExch

Identifies party of trade responsible for exchange reporting.

Type: Boolean

Allowed values in ReportToExchCodeSet:

Code | Name | Description
N | SenderReports | Indicates that party sending message will report trade
Y | ReceiverReports | Indicates that party receiving message must report trade

Used in messages: ExecutionReport

ResetSeqNumFlag

Indicates that the both sides of the FIX session should reset sequence numbers.

Type: Boolean

Allowed values in ResetSeqNumFlagCodeSet:

Code | Name | Description
N | No | No
Y | Yes | Yes, reset sequence numbers

Used in messages: Logon

RoutingGrp

No component usage documentation for RoutingGrp

Name | Mult. | Type | Description
NoRoutingIDs | [1..1] | int |
RoutingType | [0..1] | CodeSet | Indicates type of RoutingID. Required if NoRoutingIDs is > 0.
RoutingID | [0..1] | String | Identifies routing destination. Required if NoRoutingIDs is > 0.

Used in messages: Email, IOI, News

RoutingID

Assigned value used to identify a specific routing destination.

Type: String

Used in groups: RoutingGrp

RoutingType

Indicates the type of RoutingID specified.

Type: int

Allowed values in RoutingTypeCodeSet:

Code | Name | Description
1 | TargetFirm | Target Firm
2 | TargetList | Target List
3 | BlockFirm | Block Firm
4 | BlockList | Block List

Used in groups: RoutingGrp

RptSeq

Sequence number of message within report series.

Type: int

Used in messages: ListStatus

Rule80A

Note that the name of this field is changing to "OrderCapacity" as Rule80A is a very US market-specific term. Other world markets need to convey similar information, however, often a subset of the US values. . See the "Rule80A (aka OrderCapacity) Usage by Market" appendix for market-specific usage of this field.

Type: char

Allowed values in Rule80ACodeSet:

Code | Name | Description
A | AgencySingleOrder | Agency single order
B | ShortExemptTransactionAType | Short exempt transaction (refer to A type)
C | ProprietaryNonAlgo | Program Order, non-index arb, for Member firm/org
D | ProgramOrderMember | Program Order, index arb, for Member firm/org
E | ShortExemptTransactionForPrincipal | Registered Equity Market Maker trades
F | ShortExemptTransactionWType | Short exempt transaction (refer to W type)
H | ShortExemptTransactionIType | Short exempt transaction (refer to I type)
I | IndividualInvestor | Individual Investor, single order
J | ProprietaryAlgo | Program Order, index arb, for individual customer
K | AgencyAlgo | Program Order, non-index arb, for individual customer
L | ShortExemptTransactionMemberAffliated | Short exempt transaction for member competing market-maker affiliated with the firm clearing the trade (refer to P and O types)
M | ProgramOrderOtherMember | Program Order, index arb, for other member
N | AgentForOtherMember | Program Order, non-index arb, for other member
O | ProprietaryTransactionAffiliated | Competing dealer trades
P | Principal | Principal
R | TransactionNonMember | Competing dealer trades
S | SpecialistTrades | Specialist trades
T | TransactionUnaffiliatedMember | Competing dealer trades
U | AgencyIndexArb | Program Order, index arb, for other agency
W | AllOtherOrdersAsAgentForOtherMember | All other orders as agent for other member
X | ShortExemptTransactionMemberNotAffliated | Short exempt transaction for member competing market-maker not affiliated with the firm clearing the trade (refer to W and T types)
Y | AgencyNonAlgo | Program Order, non-index arb, for other agency
Z | ShortExemptTransactionNonMember | Short exempt transaction for non-member competing market-maker (refer to A and R types)

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

SecondaryOrderID

Assigned by the party which accepts the order. Can be used to provide the OrderID used by an exchange or executing system.

Type: String

Used in groups: OrdAllocGrp

Used in messages: ExecutionReport, OrderCancelReject

SecureData

Actual encrypted data stream

Type: data

Used in components: StandardHeader

SecureDataLen

Length of encrypted message

Type: int

Used in components: StandardHeader

SecurityDesc

Security description.

Type: String

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

SecurityExchange

Market used to help identify a security.

Type: Exchange

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

SecurityID

CUSIP or other alternate security identifier

Type: String

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

SecurityReqID

Unique ID of a Security Definition Request.

Type: String

Used in messages: SecurityDefinition, SecurityDefinitionRequest

SecurityRequestType

Type of Security Definition Request.

Type: int

Allowed values in SecurityRequestTypeCodeSet:

Code | Name | Description
0 | RequestSecurityIdentityAndSpecifications | Request Security identity and specifications
1 | RequestSecurityIdentityForSpecifications | Request Security identity for the specifications provided (Name of the security is not supplied)
2 | RequestListSecurityTypes | Request List Security Types
3 | RequestListSecurities | Request List Securities (Can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange is provided then only list Securities for the specific type)

Used in messages: SecurityDefinitionRequest

SecurityResponseID

Unique ID of a Security Definition message.

Type: String

Used in messages: SecurityDefinition

SecurityResponseType

Type of Security Definition message response.

Type: int

Allowed values in SecurityResponseTypeCodeSet:

Code | Name | Description
1 | AcceptAsIs | Accept security proposal as is
2 | AcceptWithRevisions | Accept security proposal with revisions as indicated in the message
3 | ListOfSecurityTypesReturnedPerRequest | List of security types returned per request
4 | ListOfSecuritiesReturnedPerRequest | List of securities returned per request
5 | RejectSecurityProposal | Reject security proposal
6 | CannotMatchSelectionCriteria | Can not match selection criteria

Used in messages: SecurityDefinition

SecuritySettlAgentAcctName

Name of SettlInstSource's account at local agent bank if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecuritySettlAgentAcctNum

SettlInstSource's account number at local agent bank if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecuritySettlAgentCode

BIC (Bank Identification Code–Swift managed) code of the SettlInstSource's local agent bank if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecuritySettlAgentContactName

Name of contact at local agent bank for SettlInstSource's account if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecuritySettlAgentContactPhone

Phone number for contact at local agent bank if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecuritySettlAgentName

Name of SettlInstSource's local agent bank if SettlLocation is not a depository

Type: String

Used in messages: SettlementInstructions

SecurityStatusReqID

Unique ID of a Security Status Request message.

Type: String

Used in messages: SecurityStatus, SecurityStatusRequest

SecurityTradingStatus

Identifies the trading status applicable to the transaction.

Type: int

Allowed values in SecurityTradingStatusCodeSet:

Code | Name | Description
1 | OpeningDelay | Opening Delay
10 | MarketOnCloseImbalanceSell | Market On Close Imbalance Sell
12 | NoMarketImbalance | No Market Imbalance
13 | NoMarketOnCloseImbalance | No Market On Close Imbalance
14 | ITSPreOpening | ITS Pre-Opening
15 | NewPriceIndication | New Price Indication
16 | TradeDisseminationTime | Trade Dissemination Time
17 | ReadyToTrade | Ready to trade (start of session)
18 | NotAvailableForTrading | Not Available for trading (end of session)
19 | NotTradedOnThisMarket | Not Traded on this Market
2 | TradingHalt | Trading Halt
20 | UnknownOrInvalid | Unknown or Invalid
3 | Resume | Resume
4 | NoOpen | No Open/No Resume
5 | PriceIndication | Price Indication
6 | TradingRangeIndication | Trading Range Indication
7 | MarketImbalanceBuy | Market Imbalance Buy
8 | MarketImbalanceSell | Market Imbalance Sell
9 | MarketOnCloseImbalanceBuy | Market On Close Imbalance Buy

Used in messages: SecurityStatus

SecurityType

Indicates type of security (ISITC spec)

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
? | Wildcard | Wildcard entry (used on Security Definition Request message)
BA | BankersAcceptance | Bankers Acceptance
CB | ConvertibleBond | Convertible Bond (Note not part of ISITC spec)
CD | CertificateOfDeposit | Certificate Of Deposit
CMO | CollateralizedMortgageObligation | Collateralize Mortgage Obligation
CORP | CorporateBond | Corporate Bond
CP | CommercialPaper | Commercial Paper
CPP | CorporatePrivatePlacement | Corporate Private Placement
CS | CommonStock | Common Stock
FHA | FederalHousingAuthority | Federal Housing Authority
FHL | FederalHomeLoan | Federal Home Loan
FN | FederalNationalMortgageAssociation | Federal National Mortgage Association
FOR | ForeignExchangeContract | Foreign Exchange Contract
FUT | Future | Future
GN | GovernmentNationalMortgageAssociation | Government National Mortgage Association
GOVT | TreasuriesAgencyDebenture | Treasuries + Agency Debenture
IET | IOETTEMortgage | Mortgage IOETTE
MF | MutualFund | Mutual Fund
MIO | MortgageInterestOnly | Mortgage Interest Only
MPO | MortgagePrincipalOnly | Mortgage Principal Only
MPP | MortgagePrivatePlacement | Mortgage Private Placement
MPT | MiscellaneousPassThrough | Miscellaneous Pass-Thru
MUNI | MunicipalBond | Municipal Bond
NONE | NoSecurityType | No ISITC Security Type
OPT | Option | Option
PS | PreferredStock | Preferred Stock
RP | RepurchaseAgreement | Repurchase Agreement
RVRP | ReverseRepurchaseAgreement | Reverse Repurchase Agreement
SL | StudentLoanMarketingAssociation | Student Loan Marketing Association
TD | TimeDeposit | Time Deposit
USTB | USTreasuryBillOld | US Treasury Bill
WAR | Warrant | Warrant
ZOO | CatsTigersAndLions | Cats, Tigers & Lions (a real code: US Treasury Receipts)

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest, SettlementInstructions

SellerDays

Specifies the number of days that may elapse before delivery of the security

Type: int

Used in groups: MDFullGrp, MDIncGrp

SellVolume

Number of shares sold.

Type: Qty

Used in messages: SecurityStatus

SenderCompID

Assigned value used to identify firm sending message.

Type: String

Used in components: StandardHeader

SenderLocationID

Assigned value used to identify specific message originator’s location (i.e. geographic location and/or desk, trader)

Type: String

Used in components: StandardHeader

SenderSubID

Assigned value used to identify specific message originator (desk, trader, etc.)

Type: String

Used in components: StandardHeader

SendingTime

Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in components: StandardHeader

SessionRejectReason

Code to identify reason for a session-level Reject message.

Type: int

Allowed values in SessionRejectReasonCodeSet:

Code | Name | Description
0 | InvalidTagNumber | Invalid tag number
1 | RequiredTagMissing | Required tag missing
10 | SendingTimeAccuracyProblem | SendingTime accuracy problem
11 | InvalidMsgType | Invalid MsgType
2 | TagNotDefinedForThisMessageType | Tag not defined for this message type
3 | UndefinedTag | Undefined Tag
4 | TagSpecifiedWithoutAValue | Tag specified without a value
5 | ValueIsIncorrect | Value is incorrect (out of range) for this tag
6 | IncorrectDataFormatForValue | Incorrect data format for value
7 | DecryptionProblem | Decryption problem
8 | SignatureProblem | Signature problem
9 | CompIDProblem | CompID problem

Used in messages: Reject

SettlBrkrCode

BIC (Bank Identification Code—Swift managed) code of the broker involved (i.e. for multi-company brokerage firms)

Type: String

Used in messages: SettlementInstructions

SettlCurrAmt

Total amount due expressed in settlement currency (includes the effect of the forex transaction)

Type: Amt

Used in groups: AllocGrp

Used in messages: ExecutionReport

SettlCurrency

Currency code of settlement denomination.

Type: Currency

Used in groups: AllocGrp, ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

SettlCurrFxRate

Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency

Type: float

Used in groups: AllocGrp

Used in messages: ExecutionReport

SettlCurrFxRateCalc

Specifies whether or not SettlCurrFxRate should be multiplied or divided.

Type: char

Used in groups: AllocGrp

Used in messages: ExecutionReport

SettlDeliveryType

Identifies type of settlement

Type: int

Used in messages: SettlementInstructions

SettlDepositoryCode

Broker’s account code at the depository (i.e. CEDEL ID for CEDEL, FINS for DTC, or Euroclear ID for Euroclear) if SettlLocation is a depository

Type: String

Used in messages: SettlementInstructions

SettlInstCode

BIC (Bank Identification Code—Swift managed) code of the institution involved (i.e. for multi-company institution firms)

Type: String

Used in messages: SettlementInstructions

SettlInstID

Unique identifier for Settlement Instructions message.

Type: String

Used in messages: SettlementInstructions

SettlInstMode

Indicates mode used for Settlement Instructions

Type: char

Allowed values in SettlInstModeCodeSet:

Code | Name | Description
0 | Default | Default
1 | StandingInstructionsProvided | Standing Instructions Provided
2 | SpecificAllocationAccountOverriding | Specific Allocation Account Overriding
3 | SpecificAllocationAccountStanding | Specific Allocation Account Standing

Used in groups: AllocGrp, ListOrdGrp

Used in messages: SettlementInstructions

SettlInstRefID

Reference identifier for the SettlInstID with Cancel and Replace SettlInstTransType transaction types.

Type: String

Used in messages: SettlementInstructions

SettlInstSource

Indicates source of Settlement Instructions

Type: char

Allowed values in SettlInstSourceCodeSet:

Code | Name | Description
1 | BrokerCredit | Brokers Instructions
2 | Institution | Institutions Instructions

Used in messages: SettlementInstructions

SettlInstTransType

Settlement Instructions message transaction type

Type: char

Allowed values in SettlInstTransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New
R | Replace | Replace

Used in messages: SettlementInstructions

SettlLocation

Identifies Settlement Depository or Country Code (ISITC spec) using ISO 3166 (2 character) representing the country of settlement.

Type: String

Allowed values in SettlLocationCodeSet:

Code | Name | Description
CED | CEDEL | CEDEL
DTC | DepositoryTrustCompany | Depository Trust Company
EUR | EuroClear | Euroclear
FED | FederalBookEntry | Federal Book Entry
ISO Country Code | LocalMarketSettleLocation | Local Market Settle Location
PNY | Physical | Physical
PTC | ParticipantTrustCompany | Participant Trust Company

Used in messages: SettlementInstructions

SettlmntTyp

Indicates order settlement period. Absence of this field is interpreted as Regular. Regular is defined as the default settlement period for the particular security on the exchange of execution.

Type: char

Allowed values in SettlmntTypCodeSet:

Code | Name | Description
0 | Regular | Regular
1 | Cash | Cash
2 | NextDay | Next Day
3 | TPlus2 | T+2
4 | TPlus3 | T+3
5 | TPlus4 | T+4
6 | Future | Future
7 | WhenAndIfIssued | When Issued
8 | SellersOption | Sellers Option
9 | TPlus5 | T+ 5

Used in groups: BidCompReqGrp, BidCompRspGrp, ListOrdGrp

Used in messages: Allocation, ExecutionReport, OrderCancelReplaceRequest, OrderSingle

Shares

Number of shares (Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in messages: Advertisement, Allocation

Side

Side of order

Type: char

Allowed values in SideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell
3 | BuyMinus | Buy minus
4 | SellPlus | Sell plus
5 | SellShort | Sell short
6 | SellShortExempt | Sell short exempt
7 | Undisclosed | Undisclosed (valid for IOI and List Order messages only)
8 | Cross | Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
9 | CrossShort | Cross short

Used in groups: BidCompReqGrp, BidCompRspGrp, InstrmtStrkPxGrp, ListOrdGrp, QuotReqGrp, UndInstrmtGrp

Used in messages: Allocation, DontKnowTrade, ExecutionReport, IOI, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, QuoteStatusRequest, SettlementInstructions

SideValue1

Amounts in currency

Type: Amt

Used in messages: BidRequest

SideValue2

Amounts in currency

Type: Amt

Used in messages: BidRequest

SideValueInd

Code to identify which "SideValue" the value refers to. SideValue1 and SideValue2 are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.

Type: int

Used in groups: BidDescReqGrp, ListOrdGrp

Signature

Electronic signature

Type: data

Used in components: StandardTrailer

SignatureLength

Number of bytes in signature field.

Type: int

Used in components: StandardTrailer

SolicitedFlag

Indicates whether or not the order was solicited.

Type: Boolean

Allowed values in SolicitedFlagCodeSet:

Code | Name | Description
N | WasNotSolicited | Was not solicited
Y | WasSolicited | Was solicited

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle

SpreadToBenchmark

For Fixed Income. Basis points relative to a benchmark. To be expressed as "count of basis points" (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the Benchmark field). Note: Basis points can be negative.

Type: PriceOffset

Used in messages: IOI

StandardHeader

The standard FIX message header

Name
Mult.
Type
Description

BeginString
[1..1]
String
FIX.4.2 (Always unencrypted, must be first field in message)

BodyLength
[1..1]
int
(Always unencrypted, must be second field in message)

MsgType
[1..1]
CodeSet
(Always unencrypted, must be third field in message)

SenderCompID
[1..1]
String
(Always unencrypted)

TargetCompID
[1..1]
String
(Always unencrypted)

OnBehalfOfCompID
[0..1]
String
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)

DeliverToCompID
[0..1]
String
Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)

SecureDataLen
[0..1]
int
Required to identify length of encrypted section of message. (Always unencrypted)

SecureData
[0..1]
data
Required when message body is encrypted. Always immediately follows SecureDataLen field.

MsgSeqNum
[1..1]
int
(Can be embedded within encrypted data section.)

SenderSubID
[0..1]
String
(Can be embedded within encrypted data section.)

SenderLocationID
[0..1]
String
Sender's LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)

TargetSubID
[0..1]
String
"ADMIN" reserved for administrative messages not intended for a specific user. (Can be embedded within encrypted data section.)

TargetLocationID
[0..1]
String
Trading partner LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)

OnBehalfOfSubID
[0..1]
String
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)

OnBehalfOfLocationID
[0..1]
String
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)

DeliverToSubID
[0..1]
String
Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)

DeliverToLocationID
[0..1]
String
Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)

PossDupFlag
[0..1]
CodeSet
Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. (Can be embedded within encrypted data section.)

PossResend
[0..1]
CodeSet
Required when message may be duplicate of another message sent under a different sequence number. (Can be embedded within encrypted data section.)

SendingTime
[1..1]
UTCTimestamp
(Can be embedded within encrypted data section.)

OrigSendingTime
[0..1]
UTCTimestamp
Required for message resent as a result of a ResendRequest. If data is not available set to same value as SendingTime (Can be embedded within encrypted data section.)

XmlDataLen
[0..1]
int
Required when specifying XmlData to identify the length of a XmlData message block. (Can be embedded within encrypted data section.)

XmlData
[0..1]
data
Can contain an XML-formatted message block (e.g. FIXML). Always immediately follows XmlDataLen field. (Can be embedded within encrypted data section.) See Appendix M – FIXML Support

MessageEncoding
[0..1]
CodeSet
Type of message encoding (non-ASCII characters) used in a message’s "Encoded" fields. Required if any "Encoding" fields are used.

LastMsgSeqNumProcessed
[0..1]
int
The last MsgSeqNum value received and processed. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.

OnBehalfOfSendingTime
[0..1]
UTCTimestamp
Used when a message is sent via a "hub" or "service bureau". If A sends to Q (the hub) who then sends to B via a separate FIX session, then when Q sends to B the value of this field should represent the SendingTime on the message A sent to Q. (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, BidResponse, BusinessMessageReject, DontKnowTrade, Email, ExecutionReport, Heartbeat, IOI, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, Logon, Logout, MarketDataIncrementalRefresh, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh, MassQuote, News, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderList, OrderSingle, OrderStatusRequest, Quote, QuoteAcknowledgement, QuoteCancel, QuoteRequest, QuoteStatusRequest, Reject, ResendRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest, SequenceReset, SettlementInstructions, TestRequest, TradingSessionStatus, TradingSessionStatusRequest

StandardTrailer

The standard FIX message trailer

Name | Mult. | Type | Description
SignatureLength | [0..1] | int | Required when trailer contains signature. Note: Not to be included within SecureData field
Signature | [0..1] | data | Note: Not to be included within SecureData field
CheckSum | [1..1] | String | (Always unencrypted, always last field in message)

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, BidResponse, BusinessMessageReject, DontKnowTrade, Email, ExecutionReport, Heartbeat, IOI, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, Logon, Logout, MarketDataIncrementalRefresh, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh, MassQuote, News, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderList, OrderSingle, OrderStatusRequest, Quote, QuoteAcknowledgement, QuoteCancel, QuoteRequest, QuoteStatusRequest, Reject, ResendRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest, SequenceReset, SettlementInstructions, TestRequest, TradingSessionStatus, TradingSessionStatusRequest

StandInstDbID

Unique identifier used on the Standing Instructions database for the Standing Instructions to be referenced.

Type: String

Used in messages: SettlementInstructions

StandInstDbName

Name of the Standing Instruction database represented with StandInstDbType (i.e. the Global Custodian’s name).

Type: String

Used in messages: SettlementInstructions

StandInstDbType

Identifies the Standing Instruction database used

Type: int

Allowed values in StandInstDbTypeCodeSet:

Code | Name | Description
0 | Other | Other
1 | DTCSID | DTC SID
2 | ThomsonALERT | Thomson ALERT
3 | AGlobalCustodian | A Global Custodian (StandInstDbName must be provided)

Used in messages: SettlementInstructions

StopPx

Price per share

Type: Price

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

StrikePrice

Strike Price for an Option.

Type: Price

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

StrikeTime

The time at which current market prices are used to determine the value of a basket.

Type: UTCTimestamp

Used in messages: BidRequest

Subject

The subject of an Email message

Type: String

Used in messages: Email

SubscriptionRequestType

Subscription Request Type

Type: char

Allowed values in SubscriptionRequestTypeCodeSet:

Code | Name | Description
0 | Snapshot | Snapshot
1 | SnapshotAndUpdates | Snapshot + Updates (Subscribe)
2 | DisablePreviousSnapshot | Disable previous Snapshot + Update Request (Unsubscribe)

Used in messages: MarketDataRequest, SecurityStatusRequest, TradingSessionStatusRequest

Symbol

Ticker symbol

Type: String

Used in groups: InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

SymbolSfx

Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType. Valid values: As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory

Type: String

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuoteEntryAckGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, DontKnowTrade, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, OrderStatusRequest, Quote, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest

TargetCompID

Assigned value used to identify receiving firm.

Type: String

Used in components: StandardHeader

TargetLocationID

Assigned value used to identify specific message destination’s location (i.e. geographic location and/or desk, trader)

Type: String

Used in components: StandardHeader

TargetSubID

Assigned value used to identify specific individual or unit intended to receive message. "ADMIN" reserved for administrative messages not intended for a specific user.

Type: String

Used in components: StandardHeader

TestReqID

Identifier included in Test Request message to be returned in resulting Heartbeat

Type: String

Used in messages: Heartbeat, TestRequest

Text

Free format text string (Note: this field does not have a specified maximum length)

Type: String

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, BusinessMessageReject, DontKnowTrade, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logout, MarketDataRequestReject, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, QuoteAcknowledgement, Reject, SecurityDefinition, SecurityDefinitionRequest, TradingSessionStatus

TickDirection

Direction of the "tick".

Type: char

Allowed values in TickDirectionCodeSet:

Code | Name | Description
0 | PlusTick | Plus Tick
1 | ZeroPlusTick | Zero-Plus Tick
2 | MinusTick | Minus Tick
3 | ZeroMinusTick | Zero-Minus Tick

Used in groups: MDFullGrp, MDIncGrp

TimeInForce

Specifies how long the order remains in effect. Absence of this field is interpreted as DAY.

Type: char

Allowed values in TimeInForceCodeSet:

Code | Name | Description
0 | Day | Day
1 | GoodTillCancel | Good Till Cancel (GTC)
2 | AtTheOpening | At the Opening (OPG)
3 | ImmediateOrCancel | Immediate or Cancel (IOC)
4 | FillOrKill | Fill or Kill (FOK)
5 | GoodTillCrossing | Good Till Crossing (GTX)
6 | GoodTillDate | Good Till Date

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, OrderCancelReplaceRequest, OrderSingle

TotalNumSecurities

Total number of securities.

Type: int

Used in messages: BidRequest, SecurityDefinition

TotalVolumeTraded

Total volume (quantity) traded.

Type: Qty

Used in groups: MDIncGrp

Used in messages: MarketDataSnapshotFullRefresh, TradingSessionStatus

TotNoOrders

Total number of list order entries across all messages. Should be the sum of all NoOrders in each message that has repeating list order entries related to the same ListID. Used to support fragmentation. (Prior to FIX 4.2 this field was named "ListNoOrds")

Type: int

Used in messages: ListStatus, OrderList

TotNoStrikes

Total number of strike price entries across all messages. Should be the sum of all NoStrikes in each message that has repeating strike price entries related to the same ListID. Used to support fragmentation.

Type: int

Used in messages: ListStrikePrice

TotQuoteEntries

Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp

TradeCondition

Space-delimited list of conditions describing a trade

Type: MultipleValueString

Allowed values in TradeConditionCodeSet:

Code | Name | Description
A | Cash | Cash (only) Market
B | AveragePriceTrade | Average Price Trade
C | CashTrade | Cash Trade (same day clearing)
D | NextDay | Next Day (only) Market
E | Opening | Opening / Reopening Trade Detail
F | IntradayTradeDetail | Intraday Trade Detail
G | Rule127Trade | Rule 127 Trade (NYSE)
H | Rule155Trade | Rule 155 Trade (Amex)
I | SoldLast | Sold Last (late reporting)
J | NextDayTrade | Next Day Trade (next day clearing)
K | Opened | Opened (late report of opened trade)
L | Seller | Seller
M | Sold | Sold (out of sequence)
N | StoppedStock | Stopped Stock (guarantee of price but does not execute the order)

Used in groups: MDFullGrp, MDIncGrp

TradeDate

Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

Type: LocalMktDate

Used in messages: Advertisement, Allocation, AllocationAck, BidRequest, ExecutionReport, SettlementInstructions

TradeType

Code to represent the type of trade.

Type: char

Allowed values in TradeTypeCodeSet:

Code | Name | Description
A | Agency | Agency
G | VWAPGuarantee | VWAP Guarantee
J | GuaranteedClose | Guaranteed Close
R | RiskTrade | Risk Trade

Used in messages: BidRequest

TradingSessionID

Identifier for Trading Session Can be used to represent a specific market trading session (e.g. "PRE-OPEN", "CROSS_2", "AFTER-HOURS", "TOSTNET1", "TOSTNET2", etc). Values should be bi-laterally agreed to between counterparties.

Type: String

Used in groups: BidCompReqGrp, BidCompRspGrp, InstrmtMDReqGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuoteEntryGrp, TrdgSesGrp

Used in messages: Advertisement, Allocation, ExecutionReport, Quote, QuoteAcknowledgement, QuoteCancel, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityStatus, SecurityStatusRequest, SettlementInstructions, TradingSessionStatus, TradingSessionStatusRequest

TradSesCloseTime

Closing time of the trading session

Type: UTCTimestamp

Used in messages: TradingSessionStatus

TradSesEndTime

End time of the trading session

Type: UTCTimestamp

Used in messages: TradingSessionStatus

TradSesMethod

Method of trading

Type: int

Allowed values in TradSesMethodCodeSet:

Code | Name | Description
1 | Electronic | Electronic
2 | OpenOutcry | Open Outcry
3 | TwoParty | Two Party

Used in messages: TradingSessionStatus, TradingSessionStatusRequest

TradSesMode

Trading Session Mode

Type: int

Allowed values in TradSesModeCodeSet:

Code | Name | Description
1 | Testing | Testing
2 | Simulated | Simulated
3 | Production | Production

Used in messages: TradingSessionStatus, TradingSessionStatusRequest

TradSesOpenTime

Time of the opening of the trading session

Type: UTCTimestamp

Used in messages: TradingSessionStatus

TradSesPreCloseTime

Time of the pre-closed of the trading session

Type: UTCTimestamp

Used in messages: TradingSessionStatus

TradSesReqID

Unique ID of a Trading Session Status message.

Type: String

Used in messages: TradingSessionStatus, TradingSessionStatusRequest

TradSesStartTime

Starting time of the trading session

Type: UTCTimestamp

Used in messages: TradingSessionStatus

TradSesStatus

State of the trading session.

Type: int

Allowed values in TradSesStatusCodeSet:

Code | Name | Description
1 | Halted | Halted
2 | Open | Open
3 | Closed | Closed
4 | PreOpen | Pre-Open
5 | PreClose | Pre-Close

Used in messages: TradingSessionStatus

TransactTime

Time of execution/order creation (expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ListOrdGrp, QuotReqGrp, QuoteEntryGrp

Used in messages: Advertisement, Allocation, AllocationAck, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatus, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderSingle, Quote, SecurityStatus, SettlementInstructions

TrdgSesGrp

No component usage documentation for TrdgSesGrp

Name | Mult. | Type | Description
NoTradingSessions | [1..1] | int |
TradingSessionID | [0..1] | String | Required if NoTradingSessions is > 0.

Used in groups: ListOrdGrp

Used in messages: OrderCancelReplaceRequest, OrderSingle

UnderlyingContractMultiplier

Underlying security’s ContractMultiplier. See ContractMultiplier field for description

Type: float

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingCouponRate

Underlying security’s CouponRate. See CouponRate field for description

Type: float

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingCurrency

Underlying security’s Currency. See Currency field for description and valid values

Type: Currency

Used in groups: UndInstrmtGrp

UnderlyingIDSource

Underlying security’s IDSource.

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingIssuer

Underlying security’s Issuer. See Issuer field for description

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingMaturityDay

Underlying security’s MaturityDay. See MaturityDay field for description

Type: DayOfMonth

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingMaturityMonthYear

Underlying security’s MaturityMonthYear. Required if UnderlyingMaturityDay is specified. See MaturityMonthYear field for description

Type: MonthYear

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingOptAttribute

Underlying security’s OptAttribute. See OptAttribute field for description

Type: char

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingPutOrCall

Underlying security’s PutOrCall. See PutOrCall field for description

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSecurityDesc

Underlying security’s SecurityDesc. See SecurityDesc field for description

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSecurityExchange

Underlying security’s SecurityExchange. Can be used to identify the underlying security.

Type: Exchange

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSecurityID

Underlying security’s SecurityID. See SecurityID field for description

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSecurityType

Underlying security’s SecurityType.

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingStrikePrice

Underlying security’s StrikePrice. See StrikePrice field for description

Type: Price

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSymbol

Underlying security’s Symbol. See Symbol field for description

Type: String

Used in groups: QuotCxlEntriesGrp, QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UnderlyingSymbolSfx

Underlying security’s SymbolSfx. See SymbolSfx field for description

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp, UndInstrmtGrp

UndInstrmtGrp

No component usage documentation for UndInstrmtGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | int |
UnderlyingSymbol | [0..1] | String | Must be specified as the first field in the repeating group. Required if NoRelatedSym > 0.
UnderlyingSymbolSfx | [0..1] | String |
UnderlyingSecurityID | [0..1] | String |
UnderlyingIDSource | [0..1] | String |
UnderlyingSecurityType | [0..1] | String | Must be specified if a Future or Option. If a Future: UnderlyingSymbol, UnderlyingSecurityType, and UnderlyingMaturityMonthYear are required. If an Option: UnderlyingSymbol, UnderlyingSecurityType, UnderlyingMaturityMonthYear, PutOrCall, and UnderlyingStrikePrice are required.
UnderlyingMaturityMonthYear | [0..1] | MonthYear | Specifies the month and year of maturity. Required if UnderlyingMaturityDay is specified.
UnderlyingMaturityDay | [0..1] | DayOfMonth | Can be used in conjunction with UnderlyingMaturityMonthYear to specify a particular maturity date.
UnderlyingPutOrCall | [0..1] | int | For Options.
UnderlyingStrikePrice | [0..1] | Price | For Options.
UnderlyingOptAttribute | [0..1] | char | For Options.
UnderlyingContractMultiplier | [0..1] | float | For Fixed Income, Convertible Bonds, Derivatives, etc.
UnderlyingCouponRate | [0..1] | float | For Fixed Income.
UnderlyingSecurityExchange | [0..1] | Exchange | Can be used to identify the security.
UnderlyingIssuer | [0..1] | String |
EncodedUnderlyingIssuerLen | [0..1] | int | Must be set if EncodedUnderlyingIssuer field is specified and must immediately precede it.
EncodedUnderlyingIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingIssuer field in the encoded format specified via the MessageEncoding field.
UnderlyingSecurityDesc | [0..1] | String |
EncodedUnderlyingSecurityDescLen | [0..1] | int | Must be set if EncodedUnderlyingSecurityDesc field is specified and must immediately precede it.
EncodedUnderlyingSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc field in the encoded format specified via the MessageEncoding field.
RatioQty | [0..1] | Qty | Quantity of particular leg in the Security
Side | [0..1] | CodeSet | Indicates if this leg of the security is to be Bought or Sold as part of this complex security.
UnderlyingCurrency | [0..1] | Currency |

Used in messages: SecurityDefinition, SecurityDefinitionRequest

UnsolicitedIndicator

Indicates whether or not message is being sent as a result of a subscription request or not.

Type: Boolean

Allowed values in UnsolicitedIndicatorCodeSet:

Code | Name | Description
N | MessageIsBeingSentAsAResultOfAPriorRequest | Message is being sent as a result of a prior request
Y | MessageIsBeingSentUnsolicited | Message is being sent unsolicited

Used in messages: SecurityStatus, TradingSessionStatus

Urgency

Urgency flag

Type: char

Allowed values in UrgencyCodeSet:

Code | Name | Description
0 | Normal | Normal
1 | Flash | Flash
2 | Background | Background

Used in messages: News

URLLink

A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)

Type: String

Used in messages: Advertisement, IOI, News

ValidUntilTime

Indicates expiration time of indication message (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: QuoteEntryGrp

Used in messages: IOI, Quote

ValueOfFutures

Used in EFP trades

Type: Amt

Used in groups: BidDescReqGrp

WaveNo

Identifier to aid in the management of multiple lists derived from a single, master list.

Type: String

Used in groups: OrdAllocGrp

WtAverageLiquidity

Overall weighted average liquidity expressed as a % of average daily volume. Represented as a percentage.

Type: float

Used in messages: BidRequest

XmlData

Actual XML data stream (e.g. FIXML). See appropriate XML reference (e.g. FIXML). Note: may contain embedded SOH characters.

Type: data

Used in components: StandardHeader

XmlDataLen

Length of the XmlData data block.

Type: int

Used in components: StandardHeader