Supported application messages

Purpose

Used to reject an application-level request that cannot be rejected by other means

Message Direction

From TT FIX to FIX client

Message Notes

The Business Message Reject (j) message is used by the TT FIX whenever it rejects an application-level message that fulfills session-level rules but cannot be rejected via any other means (i.e. Order Cancel Reject (9) message).

For example, suppose a FIX client sends an Order Cancel/Replace Request (G) message where Tag 11 (ClOrdID) matches an existing client order ID. When TT FIX receives the message, it verifies the validity of the message. However, business rules require that a client order ID remains unique for the trading session. Therefore, TT FIX responds with a Business Message Reject (j) message.

Related Information

Any application request message

Purpose

Used to send updated market data for an instrument

Message Direction

From TT FIX to FIX client

Message Notes

The Market Data Incremental Refresh (X) message is used to send updates
whenever the market data changes for an instrument to which a FIX client
subscribes for incremental updates.

Related Information

Market Data
Request (V)

Market Data
Snapshot (W)

Market
Data Request Reject (Y)

Purpose

Used to request or manage subscriptions for market data

Message Direction

From FIX client to TT FIX

Message Notes

The Market Data Request (V) message is used by a FIX client to request
market data information from TT FIX. You can request information like the
top of book (Bid, Ask, and session prices) and market depth data.

TT FIX responds to a Market Data Request (V) message with a
Market Data Snapshot Full Refresh (W)
message. Additionally:

• If the FIX Client sets Tag 263 (SubscriptionRequestType) to 0, TT FIX
  sends no further messages. It does not update the market data.

• If the FIX Client sets Tag 263 (SubscriptionRequestType) to 1, TT FIX
  updates market data according to the setting the FIX Client uses in
  Tag 265 (MDUpdateType):

  • 0: To update market data, TT FIX sends
    Market Data Snapshot Full Refresh (W)
    messages.
  • 1: To update market data, TT FIX sends
    Market Data Incremental Refresh (X)
    messages.

• If the FIX Client sets Tag 263 (SubscriptionRequestType) to 2, TT FIX
  stops sending updates.

If TT FIX cannot fulfill a request for market data because the request
contains an invalid instrument, it sends a
Market Data Request Reject (Y)
message.

Note: If you submit this request for an exchange whose
Price Server is down, TT FIX also responds with a
Market Data Request Reject (Y)
message.

Some exchanges disseminate implied prices as well as direct (Bid/Ask)
prices. Trying to merge these two separate price streams can result in
crossed markets for a brief moment. TT FIX forwards all market data
updates from exchanges, so FIX clients can encounter this scenario as
well. FIX clients that subscribe for direct and implied prices should be
written to account for this possibility.

Related Information

Market Data Snapshot Full Refresh (W)

Market Data Incremental Refresh (X)

Market Data Request Reject (Y)

Purpose

Used to send the reason for rejecting a market data request

Message Direction

From TT FIX to FIX client

Message Notes

The Market Data Request Reject (Y) message is used by TT FIX when it cannot fulfill a FIX client request for market data.

Purpose

Used to return a snapshot of market prices

Message Direction

From TT FIX to FIX client

Message Notes

The Market Data Snapshot Full Refresh (W) message is used by TT FIX to respond to a Market
Data Request (V) in the following cases:

• One time, immediately after an incremental subscription before getting the initial incremental updates.
• Tag 263 (SubscriptionRequestType) in the request is 0, indicating the client wants a single market
  snapshot.
• Tag 263 (SubscriptionRequestType) in the request is 1 and Tag 265 (MDUpdateType) is 0, indicating the
  client subscribed to full market updates.

Related Information

Market Data
Request (V)

Market
Data Incremental Refresh (X)

Market
Data Request Reject (Y)

Purpose

Used to request quotes from brokers prior to placing an order.

Note: When a FIX client sends a
Market Data Request (V)
for a given instrument with SubscriptionRequestType=1 to
create a market data subscription, that client is automatically subscribed
for RFQ messages for that instrument.

Message Direction

From TT FIX to FIX client only. FIX clients cannot submit Quote Requests
(RFQs) via the TT Security Data service.

Message Notes

The Quote Request (R) message is used to request quotes from brokers prior
to placement of an order. This message is commonly referred to as a
Request For Quote (RFQ).

Note: When a FIX client sends a
Market Data Request (V)
for a given instrument with SubscriptionRequestType=1 to
create a market data subscription, that client is automatically subscribed
for RFQ messages for that instrument.

Related Information

Market Data Request (V)

Market Data Snapshot (W)

Market Data Request Reject (Y)

Purpose

Used to send contract information in response to a security definition
request

Message Direction

From TT FIX to a FIX client

Message Notes

The Security Definition (d) message is used to send information about an
exchange-listed instrument. TT FIX sends zero or more of these messages to
a FIX client in response to a Security Definition Request (c). A security
definition contains all standing data at the markets that matches the
filter criteria sent in the Security Definition Request (c). After TT FIX
delivers standing data to the FIX client, TT FIX sends unsolicited updates
to that list of standing data (for instance, if a market lists a new
product at midday).

Working with spreads and strategies

When a FIX client requests a security definition for a spread or strategy,
TT FIX responds by sending:

• A Security Definition (d) for the spread itself. A leg repeating group
  exists for each leg of the spread. Tag 555 (NoLegs) is set to the total
  number of leg repeating groups (spread legs) associated with the spread.
• One Security Definition (d) for each leg of the spread.

Purpose

Used to request contract information

Message Direction

From a FIX client to the TT FIX

Message Notes

The Security Definition Request (c) message is used by FIX clients to request contract data.

You can filter your security definitions so that TT FIX supplies only those instruments that match the
specified values for one or more of the following tags:

• Tag 55 (Symbol)
• Tag 100 (ExDestination)
• Tag 167 (SecurityType)
• Tag 207 (SecurityExchange)
• Tag 48 (SecurityID)

  If Tag 48 (SecurityID) is provided, you must also provide Tag 207 (SecurityExchange).

Sending a Security Definition Request (c) message instructs TT FIX to subscribe for contracts that match the
filter criteria. TT FIX sends Security Definition (d) messages for all matching contracts and sends new Security
Definition (d) messages if any of the contract details, such as tick size, change. Additionally, if
a market adds a new contract that matches the filter criteria, TT FIX automatically sends a Security
Definition (d) message for the new contract.

TT FIX uses AND logic to build the query, so specifying multiple tags reduces the matched securities. If you
send none of the tags in the request, TT FIX returns all securities for all visible markets.

Note: If TT FIX finds no contracts that match the specified filter, it sends no response
back to the FIX client

Related Information

Security
Definition (d)

Purpose

Used to return the current trading status of a security

Message Direction

From TT FIX to FIX client

Message Notes

The Security Status (f) message is used by TT FIX Adapter to respond to a
Security Status Request (e) message. The message indicates the current
trading status of an instrument.

Related Information

Security Status Request (e)

Purpose

Used to request the status of a product

Message Direction

From FIX client to TT FIX

Message Notes

The Security Status Request (e) message is used by FIX clients to request
the current status of a particular product.

Related Information

Security Status (f)