Supported application messages

Purpose

Used to send order information to a FIX client, such as confirmations, fills, and unsolicited changes

Message Direction

From TT FIX to FIX client

Message Notes

The Execution Report (8) message is used to respond to a successful order request, a fill, or an unsolicited
order
change.

Aggregated fill groups behavior

TT FIX normally sends aggregated fills in a single Execution Report message in FillsGrp
fand LegFillsGrp
repeating groups. If you prefer to receive aggregated fills as
individual fills, you can enable the Send FillsGrp as Individual Execution Reports setting
for the
FIX
session in Setup. When this setting is
enabled and tag 1362 (NoFills) >=1, TT FIX sends synthetic Execution Report for each entry in the fills
group.

This setting applies to outright, leg and summary spread fills for both FIX 4.2 and 4.4 versions.

Related Information

New Order
Single (D)

Order
Cancel/Replace Request (G)

New Order
Multileg (AB)

Multileg
Order Cancel/Replace (AC)

Order
Cancel Request (F)

Order
Cancel Reject (9)

Purpose

Used to establish a connection between a FIX client and TT FIX

Note: Can also be used to submit a FIX
Recovery
request

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

FIX Logon Message Version Validation

FIX tags in Logon messages are validated such that any tags not valid for the FIX version of the Logon message will be rejected. For example, if a customer FIX 4.2 Logon message contains a FIX tag that is valid for FIX 4.4 but not FIX 4.2, that logon will be rejected.

Message Notes

The Logon (A) message is used by a FIX client to begin a new or continue
an existing session with TT FIX.

Note: When logging in to a Security Definition FIX
session, a FIX client must always set 141=Y and 34=1; otherwise, TT FIX
sends a Logout (5) message with the message: “MsgSeqNum must be set to 1
if ResetSeqNumFlag is set to Y” in tag 58 (Text).

The following data flow illustrates a typical logon sequence between TT
FIX and a FIX client for an order session:

1. FIX client initiates a socket connection.
2. FIX client sends a Logon (A) message to TT FIX.
3. TT FIX receives the FIX client logon message and verifies the following
   tags in the Logon (A) message against the corresponding parameter
   values:
   • Tag 56 (TargetCompID) to LocalCompId (in TT User
     Setup)
   • Tag 96 (RawData) to Password (in TT User Setup)
4. If any of the following errors occur, TT FIX stops processing the logon
   attempt, sends the FIX Client a Logout (5) message with the reason for
   rejection in Tag 58 (Text), and closes the socket connection.
   • These tags do not match for the adapter and the client.
   • TT User Setup does not respond.
   • The TT universal login credentials (tags 49 and 96) are invalid.
5. Examine the value of Tag 141 (ResetSeqNumFlag).

If Tag 141 (ResetSeqNumFlag) is set to N, TT FIX compares the value of
Tag 34 (MsgSeqNum) in the Logon (A) message against its current sequence
number.

• If MsgSeqNum is less than the expected sequence
  number, TT FIX stops processing the logon attempt, sends a Logout (5)
  message as its response, and closes the socket connection.
• If MsgSeqNum is greater than sequence number TT FIX
  expected, the logon process continues normally. However, after the
  logon process completes, TT FIX sends a Resend Request (2) message.

If Tag 141 (ResetSeqNumFlag) is set to Y, TT FIX expects the value of
Tag 34 (MsgSeqNum) in the Logon (A) message to be 1.

• If Tag 34 is not 1, TT FIX stops processing the logon attempt, sends a
  Logout (5) message, and closes the connection.
• Otherwise, the logon process continues normally.

Related Information

Logout (5)

Resend Request
(2)

Sequence Reset (4)

Purpose

Used to reject an order cancel or cancel/replace request

Message Direction

From FIX client to TT FIX

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 submit a FIX
Recovery Service request for all order and fill activity during a specific period of time or only
missed messages
from the beginning of the session (last session reset time).

Message Direction

From FIX client to TT FIX

Message Notes

The Recovery Request (U2) message is used to request all order acknowledgements and fills that occurred
during a specific time range for either a single market or for all markets. FIX Drop Copy clients typically
use this message to download missing data after some technical issue has caused the FIX client to miss
significant gaps.

Note This message can be sent only for a FIX Recovery
session. Also, when logging in to the session, the Logon (A) message
must set tag 34 (MsgSeqNum) to 1 and omit tag 43 (PossDupFlag).

You can request data for a single market by specifying either tag 207 (SecurityExchange) or tag 100
(ExDestination). When specifying a specific market using either of these tags, both the native exchange
orders and TT synthetic activity will be included in the recovery.

You can request data for all accessible markets by omitting both tags. In repsonse to this request, TT FIX
sends a series of Execution
Report (8) and Order
Cancel Reject (9) messages.

Related Information

Execution Report
(8)

Order
Cancel Reject (9)

Logon (A)