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 change an existing multileg order

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

Message Notes

The Multileg Order Cancel Replace (AC) message is used by FIX clients to make changes to a
previously submitted multileg order.

Related Information

Execution Report (8)

New Order
Multileg (AB)

Order
Cancel Request (F)

Order
Cancel Reject (9)

Purpose

Note New Order List (35=E) messages are supported in TT only by the EPEX and Nord Pool exchanges.

Defines a basket of multiple contracts and submits multiple individual orders in a single message.

For each New Order List (35=E) submitted, the exchange will either accept or reject all component orders in the list. Partial accepts or rejects will not be processed. No ack or reject is sent for the New Order List (35=E) message itself.

If the New Order List (35=E) message is accepted, then the FIX client will receive individual new order acknowledgment Execution Reports (39=0; 150=0) for each order in the list. The working component orders must then be managed individually as separate orders.

If the New Order List (35=E) message is rejected, then the FIX client will receive individual new order reject Execution Reports (39=8; 150=8) for each order in the list.

Note Time-in-force for the individual orders must be either IOC or FOK. No other TIFs are supported for component orders at this time.

Message Direction

From FIX client to TT FIX

Purpose

Submits a new order for securities that are made up of multiple securities, known as legs, from a FIX client
to TT FIX

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

Message Notes

The New Order Multileg (AB) message is used by FIX clients to submit an order for a contract that
comprise multiple securities, known as legs.

Related Information

Execution Report (8)

Multileg
Order Cancel/Replace (AC)

Order
Cancel Request (F)

Order
Cancel Reject (9)

Purpose

Used to reject an order cancel or cancel/replace request

Message Direction

From TT FIX to FIX client

Message Notes

The Order Cancel Reject (9) message is used by TT FIX to reject an Order Cancel Request (F) or
Order Cancel Replace Request (G) message.

Related Information

Order
Cancel Request (F)

Order
Cancel/Replace Request (G)

Purpose

Used to cancel an order

Message Direction

From FIX client to TT FIX

Message Notes

The Order Cancel Request (F) message is used by FIX clients to cancel an
existing order in the market.

Related Information

Order Cancel
Reject (9)

Order
Cancel/Replace Request (G)

Purpose

Used to change an existing order

Message Direction

From FIX client to TT FIX

Message Notes

The Order Cancel Replace Request (G) message is used by FIX clients to make changes to a previously
submitted order.

Related Information

Execution Report (8)

New Order
Single (D)

Order
Cancel Request (F)

Order
Cancel Reject (9)

Purpose

Used to request status of orders

Message Direction

From FIX client to TT FIX

Message Notes

The Order Status Request (H) message is used by FIX clients to query the status of an order. TT FIX responds with
an Execution Report (8) message with Tag 20 (ExecTransType) set to 3
(Status) and Tag 150 (ExecType) set to D (Restated).

Downloading order books

If you omit Tag 11 and Tag 37 from an Order Status Request (H), TT FIX treats the message as a request for all
open orders. TT FIX responds with an Execution Report (8) for each working order. Each execution report in
response to an order book download request contains Tag 20 (ExecTransType) equal to 3 (Status) and Tag 16728
(TotalNumOrders) equal to the number of orders sent in the response. For example, when sending 10 orders, TT FIX
sets Tag 16728 (TotalNumOrders) to 10 for all 10 responses. When no open orders are available, TT FIX sends an
Execution Report (8) Reject (39=8, 150=8).

Related Information

Execution Report (8)

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 FIX client to TT FIX.

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 receive quotes confirmation prior to placing an order.

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.

Related Information

Security
Definition Request (c)

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 FIXreturns 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 report trades between counterparties

Message Direction

From FIX client to TT FIX

Message Notes

The Trade Capture Report (AE) message can be used to:

• Report trades between counterparties
• Report trades to a trade matching system
• Peport unmatched and matched trades

Note An order
routing FIX session must enable the Send unsolicited order and fill messages option
in the Setup application to
receive these
messages.

Related Information

Execution Report (8) Message

FIX Sessions in
the
Setup application

Purpose

Used to acknowledge the receipt of a trade capture report from a
counterparty

Message Direction

From TT FIX to FIX client

Message Notes

The Trade Capture Report Ack (AR) message can be:

• Used to acknowledge trade capture reports received from a counterparty
• Used to reject a trade capture report received from a counterparty

Related Information

Trade Capture
Report Ack (AR) Message