TT FIX message conversations

Eurex EnLight Quoting and Response Messages

Contents

Preparation Notes
Sample Flow with Messages
Eurex Trader Admin GUI – EnLight Responder Interface
FAQs

Preparation Notes

Ensure that the counterparty is correctly populated in TT Setup under the Counterparties section.
Download the latest version of the TT FIX schema.
Refer to the schema for the tags related to the quoting and response messages.
Specify tag 537 (QuoteType) to indicate whether the RFQ type is Firm or Indicative.

Sample Flow with Messages

Below is an example of the FIX order routing flow when sending RFQ and receiving quotes; subsequently sending the quote responses and receiving the confirmation. These messages are from the requester’s point of view.

Note The Eurex Trader Admin GUI – EnLight Responder Interface section provides the respondent’s point of view in the Eurex Admin GUI.

Requester sends a Quote Request (35=R) message:

Tags:

537 (QuoteType) — Must come before tags 1, 1461 and 1462.
1462 (TargetPartyExchangeTraderID)
18605 (SRFQTransType) — Must be set to ‘1’ in 35=R messages for EnLight; otherwise, it will be treated as a regular quote message. ‘1’ is currently the only supported value for this tag.

Send:

8=FIX.4.2|9=190|35=R|49=Session123|56=TT_OR|34=3440|52=20241009-07:25:57|131=1352684283|146=1|55=FESX|167=FUT|200=202503|207=Eurex|54=1|38=5000|18605=1|537=1|1=Account123|116=SubID123|1461=1|1462=TTGXVZZZ003|10=193|

If successful, requester receives a Quote Status Report (35=AI) message with 297=0 (Accepted).

Tags:

276 (QuoteCondition)
297 (QuoteStatus)
18605 (SRFQTransType)
18606 (NegotiationID)
18607 (SecondaryNegotiationID)

Recv:

8=FIX.4.2|9=00699|35=AI|49=TT_OR|56=Session123|34=4997|50=5498|142=SG|52=20241009-07:25:57.181|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:25:57.144312|18605=1|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=2|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=138|

Respondent responds and requester receives Market Quote (35=S) message:

Tags:

132 (BidPx)
133 (OfferPx)
134 (BidSize)
135 (OfferSize)
18606 (NegotiationID)
18607 (SecondaryNegotiationID)
18608 (MkQuoteID)
18609 (SecondaryQuoteID)
18610 (QuotingStatus)

Recv:

8=FIX.4.2|9=00700|35=S|49=TT_OR|56=Session123|34=4999|52=20241009-07:26:50.786|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom
|1028=Y|132=5150|133=5160|134=5000|135=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18610=1|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|16963=1|131=1352684283|18609=2|60=20241009-07:26:50.747148|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=003|

Requester submits Quote Response (35=AJ) (decision):

Note If the intention is to buy, submit the price and quantity in tags 132 (BidPx) and 134 (BidSize). If the intention is to sell, use tags 133 (OfferPx) and 135 (OfferSize). In this example, since the respondent gave a quote with an OfferPx at 5160, the requester puts that in his BidPx so they can lift that offer.

Send:

8=FIX.4.2|9=300|35=AJ|49=Session123|56=TT_OR|34=3454|52=20241009-07:31:40|1=Account123|18610=1|132=5160|134=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|55=FESX|460=12|167=FUT|200=202503|207=Eurex|30=XEUR|461=FFICSX|15=EUR|131=1352684283|10=127|

Requester receives Trade Capture Ack (35=AR) followed by Trade Capture Report (35=AE) and then a quote status report:

Recv:
8=FIX.4.2|9=00960|35=AR|49=TT_OR|56=Session123|34=5009|50=5498|52=20241009-07:31:40.951|129=SubID123|571=81931164-19e5-4407-8001-4022c09fba12|818=1728404726178|487=0|856=2|939=0|60=20241009-07:31:40.913826|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|31=5160|32=5000|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|1152=0|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18218=|16963=2|18221=DTS_ID|18220=DTS|10553=traderemail@dotcom|828=1082|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=043|

Recv:
8=FIX.4.2|9=01034|35=AE|49=TT_OR|56=Session123|34=5010|50=5498|52=20241009-07:31:40.951|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=0|856=0|1123=3|828=1082|31=5160|32=5000|60=20241009-07:31:40.913826|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=1|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=076|

Recv:
8=FIX.4.2|9=00705|35=AI|49=TT_OR|56=Session123|34=5011|50=5498|142=SG|52=20241009-07:31:40.951|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:31:40.911495|151=0|18605=4|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=3|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=110|

Respondent confirms requester’s OTC order.

Requester receives messages (in this order):

Trade Capture Report (35=AE) with Trade Confirmation (1123=0).
Quote Status Reports (35=AI) indicating the status transitioning to close (276=B).
A Quote (35=S) Response confirming that the original quote is now closed.

Recv:
8=FIX.4.2|9=01036|35=AE|49=TT_OR|56=Session123|34=5013|50=5498|52=20241009-07:32:21.225|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=103|856=2|1123=0|828=1082|31=5160|32=5000|60=20241009-07:32:21.186304|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=2|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=168|

Recv:
8=FIX.4.2|9=00721|35=AI|49=TT_OR|56=Session123|34=5014|50=5498|142=SG|52=20241009-07:32:21.225|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:32:21.186304|31=5160|32=5000|151=0|18605=4|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=0|16963=4|276=A|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=057|

Recv:
8=FIX.4.2|9=00750|35=AI|49=TT_OR|56=Session123|34=5015|50=5498|142=SG|52=20241009-07:32:21.225|129=SubID123|131=1352684283|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:32:21.186304|168=20241009-07:34:31.186304|31=5160|32=5000|151=0|18605=3|1461=1|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|297=00|16963=5|276=B|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=227|

Recv:
8=FIX.4.2|9=00801|35=S|49=TT_OR|56=Session123|34=5016|52=20241009-07:32:21.225|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|1028=Y|132=5150|133=5160|134=5000|135=5000|1462=TTGXVZZZ003|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18610=3|18607=2|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|16963=2|18609=2|60=20241009-07:32:21.187923|58=Purging EnLight / SRFQ market quotes for closed/expired SRFQ negotiation_id=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=180|

After several minutes, Eurex exchange sends out the actual fill and it is received as another Trade Capture Report. This has the Trade Match ID in tag 1003.

Recv:
8=FIX.4.2|9=01117|35=AE|49=TT_OR|56=Session123|34=5021|50=5498|52=20241009-07:34:31.229|129=SubID123|571=23647e1a-b405-4544-9141-8a6904fb08f0|487=0|856=2|1123=0|828=1082|31=5160|32=5000|442=1|60=20241009-07:34:31.186304|572=81931164-19e5-4407-8001-4022c09fba12|818=1728404726180|1003=1|75=20241009|483=20241009-07:31:40.000000|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|8016=1000000000000025190590172845927118630406710000000001|552=1|54=1|453=5|448=A1|452=200|447=D|448=755857|452=3|447=D|448=797463|452=122|2376=24|447=D|448=786521|452=12|2376=24|447=D|448=TTGXVZZZ003|452=37|447=D|1=Account123|80=5000|1047=O|18218=|16849=TEXT A|18608=d4cc4a65-b183-4818-9e6b-9d902009205e|18609=2|18228=rtgacct123|18221=DTS_ID|18220=DTS|18218=|16963=3|10553=traderemail@dotcom|18606=f72d89ba-114f-4bd5-9c87-9719a3a9b5a9|18607=2|10=006|

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Eurex Trader Admin GUI – EnLight Responder Interface

This section illustrates the flow of events from the Eurex Trader Admin GUI – EnLight Responder interface from the respondent’s point of view. It briefly describes the steps needed to enter, submit and confirm the quote.

When the requester submits the RFQ, the request is displayed in the Eurex EnLight Responder pane. Select the request and then click Enter Quote.

Fill in the BidQty, Bid, Ask and AskQty fields. Also populate the O/C, Act, ClientID, ExeID, ExeQual, RateID and any other necessary fields
Click Submit Quote and this will deliver the quote back to the requester.

When the requester replies with the quote response (decision), it will be listed in the EnLight Deals pane.

Select the quote response, check the details and click Confirm to finalize the deal.

The requester will receive the confirmation messages.

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FAQs

Can you submit multiple members on an RFQ?

Yes, on the Quote Request (35=R), use the NoTargetPartyIDs group to specify multiple members. E.g. |1461=2|1462=TTGXVZZZ003|1462=TTTXVDDE001|

Can you fill a worse bid or ask, when receiving multiple quotes?

Yes, you can respond to worse bid/ask quotes.

Can you provide an RFQ with no counterparty?

No, public RFQs are not allowed. A counterparty needs to be provided on each RFQ.

Will the quotes from RFQs show on the market data feed?

No. RFQs with counterparties are not publicly disseminated.

What happens when the quote expires?

The requester will receive a Quote Status Report (35=AI) with 297 (QuoteStatus)=7 to indicate that the quote has expired, followed by a quote with 18610 (QuotingStatus)=3 indicating that the status of the quote is closed and inactive.

Example:

Recv:
8=FIX.4.2|9=00699|35=AI|49=TT_OR|56=Session123|34=4939|50=5498|142=SG|52=20241009-07:12:45.799|129=SubID123|131=1352684282|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|16117=10|38=5000|54=1|60=20241009-07:12:45.760478|18605=5|1461=1|1462=TTGXVZZZ003|18606=bf4cf083-642f-4528-8571-bd8803f4cd9e|18607=1|297=7|16963=3|276=B|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|453=1|448=TRAXVSIM003|452=218|447=D|10=111|

Recv:
8=FIX.4.2|9=00801|35=S|49=TT_OR|56=Session123|34=4940|52=20241009-07:12:45.799|129=SubID123|1=Account123|18221=DTS|18220=DTS|10553=traderemail@dotcom|1028=Y|132=5150|133=5155|134=5000|135=5000|1462=TTGXVZZZ003|18606=bf4cf083-642f-4528-8571-bd8803f4cd9e|18610=3|18607=1|18608=e3064549-3f8b-4b07-a4c2-96d0fd514010|16963=2|18609=1|60=20241009-07:12:45.762545|58=Purging EnLight / SRFQ market quotes for closed/expired SRFQ negotiation_id=bf4cf083-642f-4528-8571-bd8803f4cd9e|55=FESX|48=3188186039303792532|22=96|454=7|455=2519059|456=98|455=FESX Mar25|456=97|455=XF00000N8054|456=4|455=STXEH5|456=5|455=2519059|456=8|455=VGH5 Index|456=A|16207=EUX|455=BBG017Q95K87|456=S|16207=EUX|460=5|461=FFICSX|167=FUT|200=202503|541=20250320|205=20|18223=202503|18211=M|207=Eurex|100=XEUR|107=EURO STOXX 50 Index|15=EUR|10=092|

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FIX Request for Quote

Request for Quote Request & Successful Response

RFQ request

8=FIX.4.2 | 9=222 | 35=R | 34=11 | 49=MehulOR1 | 52=20230321-12:56:30 | 56=TT_ORDER | 1=mshaha_acc | 116=MShaha | 131=12908 | 146=1 | 167=MLEG | 207=CME | 55=ES | 555=2 | 600=ES | 602=635020 | 603=8 | 623=1 | 624=1 | 600=ES | 602=418320 | 603=8 | 623=10 | 624=2 | 566=401150 | 38=1190 | 54=1 | 10=212 |

RFQ request response

8=FIX.4.2 | 9=00244 | 35=b | 49=TT_ORDER | 56=MehulOR1 | 34=12 | 50=123 | 142=IN | 52=20230321-12:56:30.585 | 131=12908 | 1=mshaha_acc | 16859=0 | 18101=179424 | 18102=90866 | 16117=10 | 1028=N | 37=9eea7e19-2d80-462b-9084-3b43eda39860 | 38=1190 | 198=1679359083793 | 107=UD:1V:CFO 803011 | 54=1 | 582=1 | 10=109 |

Request for Quote Request & Failure Responses

RFQ request

8=FIX.4.2 | 9=184 | 35=R | 49=MehulOR1 | 56=TT_ORDER | 34=2 | 116=MShaha | 52=20230306-17:24:07 | 11=76113544 | 60=20081223-20:10:33.145 | 1=mshaha_acc | 131=JS_RFQ_002 | 146=1 | 55=GE | 207=CME | 167=MLEG | 48=18361316052539033076 | 10=109 |

RFQ rejected response

8=FIX.4.2 | 9=00288 | 35=b | 49=TT_ORDER | 56=MehulOR1 | 34=3 | 50=123 | 142=IN | 52=20230306-17:24:07.706 | 131=JS_RFQ_002 | 1=mshaha_acc | 16859=5 | 18101=179424 | 18102=90866 | 16117=10 | 1028=N | 37=c54ffc2a-0885-45fc-bbbe-cfe4af35bd91 | 38=999999999999 | 198=1678084696241 | 107=GEZ7-GEZ0 | 58=Order qty exceeds the max value allowed. | 582=1 | 10=156 |

FIX Strategy Creation

Strategy Creation Request & Successful “as-is” and “with changes” Responses

Security definition 35=c creation request

8=FIX.4.2 | 9=205 | 35=c | 34=3 | 49=MehulOR1 | 52=20230109-09:35:48 | 56=TT_ORDER | 167=MLEG | 320=2 | 207=CME | 55=GE | 1=mshaha_acc | 116=MShaha | 555=2 | 600=GE | 602=249651 | 603=96 | 623=1 | 624=1 | 600=GE | 602=21064 | 603=96 | 623=1 | 624=1 | 566=9618 | 811=0.22 | 10=213 |

Security definition 35=d response

8=FIX.4.2 | 9=01060 | 35=d | 49=TT_ORDER | 56=MehulOR1 | 34=4 | 52=20230109-09:35:58.579 | 320=2 | 322=2 | 323=4 | 393=1 | 15=USD | 167=MLEG | 762=Covered | 55=GE | 107=Eurodollar Futures | 460=6 | 200=202309 | 541=20230901 | 205=1 | 9787=1 | 48=8610690892906721483 | 207=CME | 100=XCME | 461=M | 16552=0.5 | 16554=25 | 454=6 | 455=U$ | 456=99 | 455=UD:U$:CFO 0109807395 | 456=98 | 455=1xGE Sep23 10125 0.22xGE Sep24@9618 C Covered | 456=97 | 455=807395 | 456=8 | 455=13463009530246646819 | 456=93 | 455=11169539431571269395 | 456=92 | 864=2 | 865=5 | 866=20230109 | 865=6 | 866=20230109 | 555=2 | 600=GE | 602=8841739006101959054 | 620=Eurodollar Futures | 607=6 | 603=96 | 609=OPT | 610=202309 | 611=20230918 | 18314=18 | 612=10125 | 1358=1 | 616=CME | 18100=XCME | 608=OC | 624=1 | 623=1 | 556=USD | 18212=M | 18224=202309 | 604=5 | 605=ZE | 606=99 | 605=GEU3 C0125 | 606=98 | 605=GE Sep23 C10125 | 606=97 | 605=1ED10125I3 | 606=5 | 605=249651 | 606=8 | 600=GE | 602=6936802686862801409 | 620=Eurodollar Futures | 607=6 | 603=96 | 609=FUT | 610=202409 | 611=20240916 | 18314=16 | 616=CME | 18100=XCME | 608=FFDXSX | 624=1 | 623=0.22 | 556=USD | 566=9618 | 18212=M | 18224=202409 | 604=4 | 605=GEU4 | 606=98 | 605=GE Sep24 | 606=97 | 605=EDU24 | 606=5 | 605=21064 | 606=8 | 16451=0 | 10=217 |

Strategy Creation Request & Failure Responses

Security definition 35=c creation request

8=FIX.4.2 | 9=217 | 35=c | 34=197 | 49=FIX_DEV |
52=20221118-16:51:06 | 56=TT_ORDER | 167=MLEG | 320=1425 |
207=CME | 55=GE | 1=LG-EUREX | 116=LGandhi |
555=2 | 600=GE | 602=317719 | 603=96 | 623=1 |
624=1 | 600=GE | 609=FUT | 602=94636 | 603=96
| 623=1 | 624=2 | 566=9780.00 | 1017=1 |
10=237 |

Security definition 35=d response

8=FIX.4.2 | 9=00244 | 35=d | 49=TT_ORDER |

56=FIX_DEV | 34=201 | 50=OP123 | 142=IN |
52=20221118-16:51:07.026 | 320=1425 | 322=1425 |
323=5 |
58=FIX field incorrect ‘Covering contract without delta: ‘GEM3” | 555=2 |
602=16758494451134490642 | 624=1 | 623=1 |
602=8518679889488484758 | 624=2 | 623=1 | 10=018 |

Identifying instruments in order-routing messages

This page outlines the various message tags used by FIX order routing sessions to identify instruments.

FIX Tag Descriptions

Tag	Field Name	Description
48	SecurityID	TT security ID that uniquely identifies the instrument in the TT platform.
22	SecurityIDSource	Source for the value of tag 48 (SecurityID).
207	SecurityExchange	Name of the market where the instrument trades.
100	ExDestination	Name of the sub-market where the instrument trades.
55	Symbol	Exchange-provided product symbol for the tradable product.
167	SecurityType	Asset class of the instrument.
461	CFICode	Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.
200	MaturityMonthYear	Month and year the instrument reaches maturity in the format YYYYMM.
205	MaturityDay	Day of expiration for the instrument.
202	StrikePrice	Strike price for an option.
201	PutorCall	Whether the option represents a put or call.
541	MaturityDate	Maturity date in format YYYYMMDD.
1194	ExerciseStyle	Type of exercise for a derivatives security.
454	NoSecurityAltID	Number of alternate security IDs contained in this repeating group.
>455	SecurityAltID	Alternate ID for an instrument or security, typically for display purposes.
>456	SecurityAltIDSource	Identifies class or source of the SecurityAltID (455) value.
>16207	BloombergSecurityExchange	Name of the market where the instrument of the SecurityAltID (Tag 455) value trades.
555	NoLegs	Number of legs in the repeating group.
>616	LegSecurityExchange	Multi-leg instrument’s individual security’s SecurityExchange.
>18100	LegExDestination	Execution destination for the leg order as defined by the institution.
>602	LegSecurityId	TT security ID that uniquely identifies the instrument in the TT platform.
>603	LegIDSource	Multileg instrument’s individual security’s SecurityIDSource.
>600	LegSymbol	Multi-leg instrument’s individual security’s Symbol.
>608	LegCFICode	Multileg instrument’s individual security’s CFICode (tag 461).
>609	LegSecurityType	Multi-leg instrument’s individual security’s SecurityType.
>764	LegSecuritySubType	SecuritySubType of the leg instrument.
>624	LegSide	The side of this individual leg (multi-leg security).
>610	LegMaturityMonthYear	Multi-leg instrument’s individual security’s MaturityMonthYear
>611	LegMaturityDate	Multi-leg instrument’s individual security’s MaturityDate.
>18314	LegMaturityDay	Multi-leg instrument’s individual security’s MaturityDay.
>612	LegStrikePrice	Multi-leg instrument’s individual security’s StrikePrice.
>1358	LegPutOrCall	Whether the option represents a put or call.

Order Routing Session Tag Usage

SecurityID (Tag 48) and SecurityIDSource (Tag 22)

SecurityIDSource (Tag 22) values supported by TT	Usage
96: TT security ID 5: RIC code 4: ISIN number X: Series key	Unique identifier of an instrument and can be used on its own.
A: Bloomberg code S: OpenFIGI ID	Identifies instrument along with tag 207.
8: Exchange symbol 97: Alias 98: Name	Unique within a specific market; therefore, to avoid ambiguity either tag 207 (SecurityExchange) or 100 (ExDestination) is also required to identify the instrument.
H: Clearing House (Inbound Drop Copy only) 91: Ticker symbol	Not applicable for order routing.

Example 1 – ICE – BRN (Fut) by SecurityID using RIC

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 207=ICE | 21=1 | 55=BRN | 22=5 | 48=LCOQ6 | 10=178 |

Example 2 – CME – ES (MLEG) by SecurityID using TT Security ID

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 21=1 | 55=ES | 22=96 | 48=13575348896651708455 | 10=251 |

Example 3 – ICE – BRN (Fut) by SecurityID using Bloomberg Code

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 207=ICE | 21=1 | 55=BRN | 22=A | 48=COQ6 Comdty | 10=178 |

Example 4 – ICE – BRN (Fut) by SecurityID using Exchange Symbol

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 207=ICE | 21=1 | 55=BRN | 22=8 | 48=6018418 | 10=178 |

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 100=IFEU | 21=1 | 55=BRN | 22=8 | 48=6018418 | 10=178 |

SecurityAltID (Tag 455) and SecurityAltIDSource (Tag 456)

SecurityAltIDSource (Tag 456) values supported by TT	Usage
5: RIC code 4: ISIN number	Unique identifier of an instrument and can be used on its own.
A: Bloomberg code S: OpenFIGI ID	Identifies instrument along with tag 16207.
8: Exchange symbol 97: Alias98: Name	Unique within a specific market; therefore, to avoid ambiguity either tag 207 (SecurityExchange) or 100 (ExDestination) is also required to identify the instrument.
1: CUSIP H: Clearing House (Inbound Drop Copy only) 92: TT product family ID 93: TT product ID 99: Other 94: Alt Symbol 95: Clearport 91: Ticker symbol	Not applicable for order routing.

Example 5 – CME – ES (Fut) by SecurityAltID using RIC

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 207=CME | 21=1 | 55=ES | 454=1 | 455=ESU26 | 456=5 | 10=178 |

Example 6 – CME – ES (Fut) by SecurityAltID using Bloomberg Code

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 100=XCME | 21=1 | 55=ES | 454=1 | 455=ESZ6 Index | 456=A | 16207=CME | 10=178 |

Symbol (Tag 55)

If the security ID is not defined in the FIX message, the system uses the Symbol (Tag 55), along with SecurityType (Tag 167) or CFICode (Tag 461), MaturityMonthYear (Tag 200) and MaturityDay (Tag 205) or MaturityDate (Tag 541).

Notes

Example 7 – ICE – BRN (Fut) by Symbol

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 207=ICE | 21=1 | 55=BRN | 167=FUT | 200=202608| 10=178 |

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 100=IFEU | 21=1 | 55=BRN | 167=FUT | 200=202608| 10=178 |

8=FIX.4.4 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 100=IFEU | 21=1 | 55=BRN | 461=FXXXXX | 200=202608| 10=178 |

Example 8 – CME – ES (Opt) by Symbol

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 21=1 | 207=CME | 55=ES | 167=OPT | 201=0 | 202=150000 | 541=20260320 | 10=027 |

8=FIX.4.4 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 21=1 | 100=XCME | 55=ES | 461=OPXXXX | 201=0 | 202=150000 | 200=202603 | 205=20 | 10=143 |

Example 9 – MEFF – ENC(Opt) by Symbol

8=FIX.4.2 | 9=164 | 35=D | 49=USERABC_OR | 56=TT | 34=40 | 52=20251030-20:39:52 | 11=1892337812 | 54=1 | 40=1 | 38=10 | 1=Abraxas_P | 116=USERABC | 21=1 | 207=MEFF | 55=ENC | 167=OPT | 201=1 | 202=2.5 | 200=202510 | 205=17 | 1194=0 | 10=143 |

LegInstrumentGrp (Tag 555)

For multi-leg instruments (SecurityType=MLEG), the individual leg instruments can serve as an alternative means of identification.

The tags within LegInstrumentGrp (Tag 555) correspond to tags found in the security ID and symbol sections. Either the security ID or symbol, along with the corresponding tags, need to be defined for each leg to identify the leg instruments.

Example 10 – CME – ES (Spread) by Repeating Group Tag 555

8=FIX.4.2 | 9=230 | 35=D | 49=USERABC_OR | 56=TT | 34=549 | 52=20251031-15:04:55 | 11=1314667219 | 54=2 | 40=2 | 44=120000 | 38=2 | 1=Abraxas_P | 116=USERABC | 55=ES | 207=CME | 167=MLEG | 762=Calendar | 555=2 | 600=ES | 602=ESU26 | 603=5 | 624=2 | 600=ES | 609=FUT | 610=202706 | 616=CME | 10=052 |

Best Practices for Instrument Identification

Order-routing message flows

A FIX client starts an order-routing FIX session by sending a Logon (A) message to TT FIX and ends the session by calling the Logout (5) message. While connected to a FIX Order Routing session, a FIX client engages in a series of message conversations (requests and responses) with TT FIX to enter and manage orders. Typically, order-routing message conversations involve the following request and response messages.

Requests	Responses
New Order Single (D) Order Cancel/Replace Request (G) Order Cancel Request (F)	Execution Report (8) Order Cancel Reject (9)

Common message conversation flows

Flows for exchange-listed instruments
Flows for multi-leg instruments
Flows for synthetic orders

Flows for exchange-listed instruments

The following illustration shows how a new order for an exchange-listed instrument is typically entered into the market and how the subsequent responses and requests track the order’s progress.

The order-routing message flow begins with a FIX client submitting a New Order Single (D) message that enters an order in the market.
When the exchange receives the New Order Single (D) request, it either:
- Sends an Execution Report (8) message with tag 150=0 to acknowledge the order is working in the market.
- Sends an Execution Report (8) message with tag 150=8 to indicate the exchange rejected the order request.
While the order is working in the market, the following messages flows can occur:
- (3A) As the working order receives fills, the exchange sends either:
  - Sends an Execution Report (8) message with tag 150=1 to indicate a fill occured for less than the total order quantity; the order continues to work in the market.
  - Sends an Execution Report (8) message with tag 150=2 to indicate that a fill occurred for the total order quantity; the order flow is complete.
- (3B) At any point while the order is working, you can cancel it by submitting an Order Cancel Request (F) message.
  - (4B) If the cancel request is accepted, the exchange sends an Execution Report (8) message with tag 150=4 to indicate the order was canceled; the order flow is complete.
  - (4B) If the change request is rejected, the exchange sends an Order Cancel Reject (9) message; the existing order continues working in the market.
- (3C) At any point while the order is working, you can change it by submitting an Order Cancel/Replace Request (G) message.
  - (4C) If the change request is accepted, the exchange sends an Execution Report (8) message with tag 150=5 to indicate the existing order was replaced.
  - (4C) If the change request is rejected, the exchange sends an Order Cancel Reject (9) message; the existing order continues working in the market.

Flows for synthetic orders

The following illustration shows how a new order for a synthetic is typically entered into the market and how the subsequent responses and requests track the order’s progress.

Add Image

The order-routing message flow begins with a FIX client submitting a New Order Single (D) message that enters an order in the market.
When the exchange receives the New Order Single (D) request, it either:
- Sends an Execution Report (8) message with tag 150=0 to acknowledge the order is working in the market.
- Sends an Execution Report (8) message with tag 150=8 to indicate the exchange rejected the order request.

Routing DMA orders to various exchanges

Routing DMA orders using the TT FIX Order Routing Service involves a fix
client submitting a
New Order Single (D)
message. TT FIX will respond with one of the following:

An
Execution Report (8)
message acknowledging the order
An Execution Report (8) message rejecting the order

Note: A
Business Message Reject (j)
message can also be sent for business reasons, such as missing a field that is
conditionally required.

Routing DMA Orders

Users may leverage TT FIX to submit Direct Market Access (DMA) orders.

Examples of Routing Market, Limit, and Stop Orders

CME GE using tag 55

Sample Message

8=FIX.4.2 | 9=175 | 35=D | 49=jerome | 56=ORDER | 34=14 | 52=20200624-15:15:37 | 11=1066820586 | 21=1 | 55=GE | 54=1 | 40=2 | 44=9824.00 | 38=4 | 1=jeromedc | 207=CME | 167=FUT | 200=202009 | 116=jhayes3 | 582=4 | 21=1 | 1031=W | 10=186 |

8=FIX.4.2 | 9=00860 | 35=8 | 49=ORDER | 56=jerome | 34=582 | 50=JHAYES | 142=US,IL | 52=20200624-15:15:37.119 | 129=jhayes3 | 37=974918ca-3e73-46a2-8735-09bb0ee7249f | 198=821113537019 | 526=1592762431875 | 527=82681:2380900 | 11=1066820586 | 10011=3 | 453=3 | 448=1 | 452=200 | 447=D | 448=omnibus | 452=1 | 2376=22 | 447=D | 448=JEROMEDC | 452=83 | 447=D | 17=97hMpN997iyDncV1SJQw8w | 20=0 | 150=0 | 18=2 | 39=0 | 1=jeromedc | 55=GE | 107=Eurodollar Futures | 460=6 | 48=14856497881718443706 | 167=FUT | 200=202009 | 541=20200914 | 205=14 | 207=CME | 100=XCME | 461=FFDXSX | 15=USD | 18211=M | 54=1 | 38=4 | 40=2 | 44=9824 | 59=0 | 151=4 | 14=0 | 6=0 | 60=20200624-15:15:37.095000 | 442=1 | 1028=N | 18216=L18004 | 582=4 | [email protected] | 18220=DTS | 18221=DTS | 21=1 | 18223=202009 | 454=4 | 455=GEU0 | 456=98 | 455=GE Sep20 | 456=97 | 455=1EDU0 | 456=5 | 455=843520 | 456=8 | 16999=JEROMEDC | 16561=20200624-15:15:37.110834 | 16117=10 | 16612=97hMpN997iyDncV1SJQw8w | 18218= | 18226=0 | 1031=W | 10=189 |

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
200	Maturity Date	Indicated the year and month the instrument reaches maturity
167	SecurityType	Indicates the Security Definition for each leg (FUT)
55	Symbol	Sets the instrument as the CME Eurodollar contract

CME (FUT) Stop Limit using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=190 | 35=D | 34=25 | 49=WTEODTSOR | 52=20200731-02:36:55 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=559968237 | 167=FUT | 207=CME | 55=GE | 200=202012 | 38=10 | 40=4 | 44=9969.5 | 99=9970.0 | 54=2 | 59=0 | 60=20051205-09:11:59 | 10=006 |

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
40	Order Type	Sets the order type to Stop Limit
59	Time in Force	Set the time in force restriction to Day
99	Stop Price	Sets the value of the stop price

OSE Market IOC using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=171 | 35=D | 34=12 | 49=WTEODTSOR | 52=20200731-02:25:29 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=29907610 | 200=202009 | 167=FUT | 207=OSE | 55=NK225 | 38=1 | 40=1 | 54=1 | 59=3 | 60=20051205-09:11:59 | 10=120 |

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
40	Order Type	Sets the order type to Market Order
59	Time in Force	Set the time in force restriction to Immediate or Cancel (IOC)

SGX Limit Order using OrdType tag 40

Sample Message

8=FIX.4.2 | 9=202 | 35=D | 34=33 | 49=WTEODTSOR | 52=20200709-02:21:50 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=50246697 | 48=16919685603007881189 | 55=NK | 167=FUT | 207=SGX | 200=202112 | 44=23000 | 54=1 | 38=10 | 40=2 | 59=1 | 60=20051205-09:11:59 | 10=119 |

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
40	Order Type	Sets the order type to Limit Order
59	Time in Force	Set the time in force restriction to Good Till Cancel (GTC)

Tag #	Field Name	Comments
762	Security Sub Type	Sets the security sub type to Calendar
555	Number of Legs	Set the number of legs for the spread.

Routing Option Orders

Eurex Outright Options using tag 167

Sample Message

8=FIX.4.2 | 9=211 | 35=D | 34=74 | 49=WTEODTSOR | 52=20200731-03:25:49 | 56=TT_ORDER | 1=WTEO_DTS01 | 116=WTeoDTS | 11=496906635 | 207=Eurex | 167=OPT | 55=ODAX | 200=202008 | 201=1 | 202=10500 | 38=80 | 40=2 | 44=8461 | 54=1 | 59=6 | 432=20200830 | 60=20051205-09:11:59 | 10=191 |

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
201	Put or Call	Indicated order is a call option
202	Strike Price	Set the value of the strike price

Routing Option Orders

Routing option orders using the TT FIX Order Routing Service involves a fix client submitting a New Order Single (D) message. TT FIX will respond with one of the following:

An Execution Report (8) message acknowledging the order
An Execution Report (8) message rejecting the order

Note: A Business Message Reject (j) message can also be sent for business reasons, such as missing a field that is conditionally required.

Routing Option Orders

Eurex Outright Options using tag 167

Sample Message

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
201	Put or Call	Indicated order is a call option
202	Strike Price	Set the value of the strike price

Routing Option Orders

Eurex Outright Options using tag 167

Sample Message

Tag Descriptions

Use the following tags to help with order routing:

Tag #	Field Name	Comments
201	Put or Call	Indicated order is a call option
202	Strike Price	Set the value of the strike price

テーマ

言語

文字サイズ

行間

読みやすさ

文字間隔

画像ズーム

TT FIX message conversations

Eurex EnLight Quoting and Response Messages

Preparation Notes

Sample Flow with Messages

Eurex Trader Admin GUI – EnLight Responder Interface

FAQs

FIX Request for Quote

Request for Quote Request & Successful Response

RFQ request

RFQ request response

Request for Quote Request & Failure Responses

RFQ request

RFQ rejected response

FIX Strategy Creation

Strategy Creation Request & Successful “as-is” and “with changes” Responses

Security definition 35=c creation request

Security definition 35=d response

Strategy Creation Request & Failure Responses

Security definition 35=c creation request

Security definition 35=d response

Identifying instruments in order-routing messages

FIX Tag Descriptions

Order Routing Session Tag Usage

SecurityID (Tag 48) and SecurityIDSource (Tag 22)

Example 1 – ICE – BRN (Fut) by SecurityID using RIC

Example 2 – CME – ES (MLEG) by SecurityID using TT Security ID

Example 3 – ICE – BRN (Fut) by SecurityID using Bloomberg Code

Example 4 – ICE – BRN (Fut) by SecurityID using Exchange Symbol

SecurityAltID (Tag 455) and SecurityAltIDSource (Tag 456)

Example 5 – CME – ES (Fut) by SecurityAltID using RIC

Example 6 – CME – ES (Fut) by SecurityAltID using Bloomberg Code

Symbol (Tag 55)

Example 7 – ICE – BRN (Fut) by Symbol

Example 8 – CME – ES (Opt) by Symbol

Example 9 – MEFF – ENC(Opt) by Symbol

LegInstrumentGrp (Tag 555)

Example 10 – CME – ES (Spread) by Repeating Group Tag 555

Best Practices for Instrument Identification

Order-routing message flows

Common message conversation flows

Flows for exchange-listed instruments

Flows for synthetic orders

Routing DMA orders to various exchanges

Routing DMA Orders

Examples of Routing Market, Limit, and Stop Orders

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Routing Muti-Leg Instruments

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Sample Message

Tag Descriptions

Routing Option Orders

Sample Message

Tag Descriptions

Routing Option Orders

Routing Option Orders

Sample Message

Tag Descriptions

Routing Option Orders

Sample Message