Note: Users must subscribe to the FIX Compliance Feed to receive the Multileg Order Cancel/Replace (AC) [4.4] Message. The FIX Compliance Feed enables customers to receive a full Order Audit Trail in FIX format for all FIX, screen and algo order flow occurring in the TT system.
For additional information about this component group, consult the documentation.
35=AC (MsgType)
8
BeginString
STRING
Y
FIX protocol version
The tag indicates the beginning of a new message.
This tag must be the first tag in the message.
You must set the value to FIX.4.2 or FIX.4.4.
9
BodyLength
INT
Y
Message length (in characters)
The value represents number of characters in the message following
this tag up to, and including, the delimiter immediately preceding Tag
10 (CheckSum). This tag must be the second field in a message.
35
MsgType
STRING
Y
Type of message contained in the message body
This tag must appear third in the list of header tags.
Possible values:
0: Heartbeat
1: Test Request
2: Resend Request
3: Reject
4: Sequence Reset
5: Logout
8: Execution Report
9: Order Cancel Reject
A: Logon
B: News
c: Security Definition Request
D: Order Single
d: Security Definition
e: Security Status Request
f: Security Status
F: Order Cancel Request
G: Order Cancel Replace Request
H: Order Status Request
Q: Don’t Know Trade (Inbound Drop Copy only)
R: Quote Request
V: Market Data Request
W: Market Data Snapshot Full Refresh
X: Market Data Incremental Refresh
Y: Market Data Request Reject
AD: Trade Capture Report Request
AE: Trade Capture Report
AQ: Trade Capture Report Request Ack
49
SenderCompID
STRING
Y
ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup
56
TargetCompID
STRING
Y
TT session identity
TT FIX does not validate this field. To guarantee session persistence, the FIX client must maintain the same value of this field for the life of the session.
You can use any value in this tag to identify the TT session for the FIX client. TT FIX will return this value in tag 49 (SenderCompID) in its responses.
50
SenderSubID
STRING
N
Unique ID for the message sender
For order routing messages, this tag overrides the exchange Operator ID configured in Setup.
142
SenderLocationID
STRING
N
Specific message originator’s location (i.e. geographic location and/or
desk, trader)
116
OnBehalfOfSubID
STRING
C
Required when multiple users are associated with the account.
Unique Trader ID
The value maps to the Alias field configured for a user in Setup.
Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
207
SecurityExchange
EXCHANGE
C
Required only when price conversion based on symbol mappings is needed.
Name of the market where the instrument trades.
TT FIX uses this value to identify the exchange that offers the
security.
Possible values:
AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
Cboe
CboeFX_SW_NY
CBOT
CFE
CME
Coinbase
CoinFLEX
CurveGlobal
CZCE
DCE
DGCX
EEX
Eurex
Euronext
Fenics
FEX
HKEX
ICE
ICE_L
IDEM
INE
KCG
KRK
LME
LSE
MEFF
MEXDER
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM
100
ExDestination
EXCHANGE
C
Market Identifier Code (MIC) of the sub-market where the instrument trades.
Execution destination for the order as defined by the institution
Some traders use this tag in place of Tag 207 (SecurityExchange) to
identify the exchange.
ISO 10383 defines a comprehensive list of MIC codes.
167
SecurityType
STRING
C
Required only when price conversion based on symbol mappings is needed.
Asset class of the instrument.
Possible values:
CS: common stock
CUR: currency
FOR: Spot FX
FUT: future
MLEG: multi-leg
NDF: Non-Deliverable Forwards
NONE: No security type (Not valid for 35=c, e or V)
OPT: option
SPOT: EEX spot products
TBOND: treasury bond
INDEX: index
55
Symbol
STRING
C
Required only when price conversion based on symbol mappings is needed.
Exchange-provided product symbol for the tradable product.
18009
TradingStrategy
INT
C
Defines the type of trading strategy for the order.
Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.
Possible values:
1: ARBITRAGE
10: HEDGE
11: DIRECTIONAL
18010
ReverseSpreadOC
INT
C
Sets whether to reverse the spread on open/close.
Note: Only applies to products on Chinese markets that are traded through a certain 3rd-party execution gateway.
Possible values:
0: Do not reverse open close flag on far leg
1: Reverse spread open close flag on far leg
SecurityAltIDGrp
N
Instrument associated with this message. For additional information about this component group, consult the full documentation.
454
NoSecurityAltID
NUMINGROUP
C
Sent when there are one or more alternate security IDs
Number of alternate security IDs in this repeating group
455
SecurityAltID
STRING
Y
Alternate ID for an instrument or security, typically for display
purposes.
456
SecurityAltIDSource
STRING
C
Sent when tag 455 (SecurityAltId) is sent
Identifies class or source of the SecurityAltID (455) value.
Possible values:
1: CUSIP number (sent only when provided by the exchange)
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker Symbol
92: TT product family ID (sent only for Security Definition (d) messages)
93: TT product ID (sent only for Security Definition (d) messages)
94: Alt Symbol (For ICE, the value is the “Cleared Alias” for the contract.)
95: Clearport
97: Alias
98: Name
99: Other (Set to instrument symbol if both product symbol and an instrument symbol are present in PDS and they are not the same.)
100: Energy Identifier Code (EIC). Currently only used for the EPEX and Nord Pool exchanges.
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
16207
BloombergSecurityExchange
STRING
C
New tag for TT
Name of the market where the instrument of the SecurityAltID (455) value trades.
The leg instrument group component block uses the same structure as the instrument component block sent from TT FIX to FIX clients, except that all of its tags represent the legs of an exchange-traded strategy. For example, instead of Tag 55 (Symbol) this block contains Tag 600 (LegSymbol).
Note: This tag can be included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
555
NoLegs
STRING
Y
Number of legs in the repeating group
Can be zero (e.g. standardized multileg instrument such as an Option
strategy). The value must be provided even if zero.
616
LegSecurityExchange
EXCHANGE
C
Required when both of the following are true.
The leg instrument trades on a different exchange that the parent instrument.
Both Tag 18100 (LegExtDestination) and Tag 602 (LegSecurityId) are absent.
Condition: Required when Tag 167 (SecurityType)=MLEG.
See Symbol (55) field for description.
Note: Users can map the value of Tag 600 to a different symbology using the Symbol Mapping feature in User Setup. Refer to the Fix Rules and Symbol Mappings section in the User Setup Help for more information.
The side of this individual leg (multi-leg security).
Possible values:
1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
623
LegRatioQty
FLOAT
N
Ratio of quantity for this individual leg relative to the entire
multi-leg security
The value represents one of the following:
For a leg of a covered strategy (such as a volatility trade) on CME
or NYSE_Liffe markets, the value represents the delta (expressed as
an integer between 1 and 100).
In all other cases, the value represents the quantity of this leg in
the strategy.
1420
LegExerciseStyle
INT
N
Type of exercise for a derivatives security.
Possible values:
0: European style: may be exercised only on the expiration date.
1: American style: may be exercised on any business day until the expiration date.
2: Bermuda style: Not available.
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
654
LegRefID
STRING
N
Unique indicator for a specific leg.
Note: Sent only for FIX 4.4 sessions when the tag is
included the corresponding New Order
Multileg (AB)
request. FIX 4.4 Drop Copy sessions will not send this tag for orders
placed from the TT Trade application.
637
LegLastPx
PRICE
N
Execution price assigned to a leg of a multileg instrument.
18224
LegContractYearMonth
STRING
N
Contract term of the underlying instrument in the form, YYYYMMM
18212
LegDeliveryTerm
CHAR
C
Required when both of the following are true:
The Security Definition indicates it is required.
The delivery term is not monthly.
Term of delivery for the underlying instrument.
TT FIX uses this value to identify contracts that do not have a
monthly delivery term.
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
1366
LegAllocID
STRING
C
Sent when provided by the exchange.
Identifier assigned to a leg of a multi-leg trade for ASX clearing
purposes (clearing deal number).
16568
LegAvgPx
PRICE
C
The average (mean) price for the legs of a spread.
This value will be populated on Summary Spread Fill Execution Reports.
16615
LegTTRoutingAccount
STRING
N
TT Routing Account for the leg. Valid for routing synthetic spread orders only.
LegSecurityAltIDGrp
N
Repeating group of security alt IDs for legs in a multileg instrument. For
additional information about this group, consult the full documentation.
604
NoLegSecurityAltID
NUMINGROUP
C
Sent when there are one or more alternate leg security IDs
Number of alternate leg security IDs contained in this repeating group
605
LegSecurityAltID
STRING
Y
Alternate ID for an instrument or security, typically for display purposes.
606
LegSecurityAltIDSource
STRING
Y
New tag for TT
Class or source of the LegSecurityAltID (605) value.
Possible values:
1: CUSIP number (sent only when provided by the exchange)
4: ISIN number
5: RIC code
8: Exchange security ID
94: Alt Symbol (For ICE, the value is the “Cleared Alias” for the contract.)
95: Clearport
97: Alias
98: Name
99: Other
91: Exchange Ticker
A: Bloomberg Code
H: Clearing House
S: OpenFIGI ID
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
LegFillsGrp
C
Only used in Execution Report (8) messages when the FIX client is connected to a TT FIX 4.4 session.
Repeating group of fills for this leg instrument.
16120
LegNoFills
NUMINGROUP
C
Sent for each leg when a multileg order is filled through multiple price levels in a single match transaction, i.e. “sweeping the market”. Can be sent when LegNoFills = 1 for some markets, such as Eurex/EEX.
Number of partial leg fills included in an Execution Report
Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
16121
LegFillExecID
STRING
C
Sent when tag 16120 > 0
Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID).
16122
LegFillPx
PRICE
C
Sent when tag 16120 > 0
Price of this leg fill
16123
LegFillQty
QTY
C
Sent when tag 16120 > 0
Quantity of this leg fill
16124
LegFillTradingVenueRegulatoryTradeID
STRING
C
Sent if available when tag 16120 > 0
Trading Venue transaction identification code of this leg fill
16125
LegFillLastLiquidityIndicator
INT
N
Whether this leg fill was a result of a liquidity provider providing or a liquidity taker taking the liquidity in this LegFillsGrp repeating group.
Possible values:
1: Added liquidity
2: Removed liquidity
202
StrikePrice
PRICE
C
Required when Tag 167 (SecurityType) is OPT and when price conversion based on symbol mappings is needed.
Strike price for an option
18
ExecInst
MULTIPLESTRINGVALUE
C
Required when submitting a hold order
Order execution instructions
Note: If you submit multiple values that include an unsupported value, TT FIX will choose the appropriate supported value.
Possible values:
2: Work (default)
6: Participate don’t initiate
G: All or none
S: Suspend
o: Cancel on connection loss (valid only for New Order Single (D) and New Order Multileg (AB) messages)
q: Release from suspension
X: Test request
44
Price
PRICE
C
Required when Tag 40 (OrdType) is:
2: Limit
4: Stop Limit
Limit price for limit orders
99
StopPx
PRICE
C
Required when Tag 40 (OrdType) is:
3: Stop
4: Stop Limit
K: Market With Leftover as Limit
Trigger price for a stop order.
38
OrderQty
QTY
Y
Total order quantity
110
MinQty
QTY
C
Required for Minimum Volume (MV) orders
Minimum quantity for a Minimum Volume (MV) order
1138
DisplayQty
QTY
C
Sum of working quantities of child orders.
Sum of working quantities of child orders.
54
Side
CHAR
Y
Side of the order
Possible values:
1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
B: As Defined (FIX 4.4 only)
C: Opposite (FIX 4.4 only)
40
OrdType
CHAR
Y
Order type
Possible values include:
1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)
77
OpenClose
CHAR
N
Whether the resulting position after a trade should be an opening position or closing position
Possible values:
O: Open (default, if unspecified)
C: Close
F: FIFO – first in, first out (currently supported only for specific exchanges including INE,CZCE,DCE,SHFE,CHFFE.)
59
TimeInForce
CHAR
N
How long an order remains active
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Possible values:
0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus
432
ExpireDate
LOCALMKTDATE
C
Required when Tag 59 (TimeInForce) = 6 (Good Till Date)
Date a Good Till Date order expires
1028
ManualOrderIndicator
BOOLEAN
N
Whether the order is sent manually or through automated trading logic
Default value is N if the tag is omitted.
Possible values:
Y: Manual
N: Automated
1385
ContingencyType
INT
N
Type of contingency
Possible values:
1: One Cancels the Other (OCO)
2: One Triggers Other (OTO)
3: One Updates the Other (OUO) – Absolute Quantity Reduction
4: One Updates the Other (OUO) – Proportional Quantity Reduction
142
SenderLocationID
STRING
N
Specific message originator’s location (i.e. geographic location and/or
desk, trader)
21
HandlInst
CHAR
C
Required when submitting a staged order
Order handling instructions.
Possible values:
1: Automated execution order, private, no broker intervention
2: Automated execution order, public, broker intervention OK
3: Staged order, broker intervention required
1031
CustOrderHandlingInst
CHAR
C
If required by the exchange, this tag is also required. For more information, consult the exchange documentation.
Simplified Execution Source Code as defined by FIA. Identifies the execution method used for Exchange Traded Derivative trades at point of origin, allowing executing and clearing brokers to easily reference the appropriate brokerage rate for the execution method.
Note: This tag is also included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
Possible values:
C: Vendor-provided Platform billed by Executing Broker
G: Sponsored Access via Exchange API or FIX provided by Executing Broker
H: Premium Algorithmic Trading Provider billed by Executing Broker
D: Other, including Other-provided Screen
W: Desk
Y: Electronic (default)
16106
StagedOrderMsg
STRING
N
Message text associated with the staged order.
Typically used to provide additional information to the broker responsible for managing the order. Will appear on both parent and child staged orders.
Note: Sent only for staged orders (Tag 21 (HandlInst)=3)
58
Text
STRING
N
Additional information for the person who works the order
16999
ClearingAccountOverride
STRING
N
Overrides the clearing account defined in the Setup application for the user’s account named in Tag 1.
16556
TextA
STRING
N
Value corresponding to the Text A field in TT widgets
16557
TextB
STRING
N
Value corresponding to the Text B field in TT widgets
16558
TextTT
STRING
N
Value corresponding to the Text TT field in TT widgets
16559
TextC
STRING
N
Customer-defined text field not sent to exchange.
16903
ChildTIF
CHAR
Y
Time-in-Force for the algo child orders
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Possible values:
0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus
StrategyParametersGrp
Y
Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.
For additional information about this component group, consult the full documentation.
957
NoStrategyParameters
NUMINGROUP
N
Repeating group of parameters for the algo or the free-form text fields to attach to the order
958
StrategyParameterName
STRING
C
Required when tag 957 > 0
Name of the algo parameter or free-form text field
Note: In addition to names listed, TT uses the following reserved field names. These values must not be used when populating FIX Tag 958 (StrategyParameterName). TT strongly recommends clients use the individual tags as defined in the TT XML schema and shown below:
Type of data contained in tag 960 (StrategyParameterValue)
Possible values:
1: Int
6: Float
7: Qty
8: Price
13: Boolean
14: String
19: UTCTimestamp
960
StrategyParameterValue
STRING
C
Required when tag 957 > 0
Value of the parameter or additional order information
TargetStrategy
Y
Alternative to the <StrategyParametersGrp> repeating group for TT Order types, user-defined ADL algos, or third-party algos.
Note: For informational fields (TextA and TextB), you must use the <StrategyParametersGrp> repeating group.
Note: For drop copy order messages, with Tag 16566 (DropCopyOrder) = Y, this group is not sent; the information is returned in the <StrategyParametersGrp> instead.
For additional information about this component group, consult the full documentation.
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Possible values:
0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus
16903
ChildTIF
CHAR
Y
Time-in-Force for the algo child orders
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925
TriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
Optional for all TT Order types.
Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omit the tag to work the order until the market closes (GTC).
Optional for all TT Order types.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
40
OrdType
CHAR
C
Sets the order type for the parent order.
Only the following values are available for TT Premium Order /Types:
1: Market
2: Limit
3: Stop Market
4: Stop Limit
40
OrdType
CHAR
C
Sets the order type for the parent order.
Possible values include:
1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)
99
StopPx
PRICE
C
Only required when Tag 40 (OrdType) equals:
3: Stop Market
4: Stop Limit
Trigger price for a stop order.
9103
MaxParticipation
FLOAT
C
Maximum Participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9106
IWouldPrice
FLOAT
N
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic.
Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders.
9111
Aggression
INT
N
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+).
9112
TiltMode
INT
N
Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.
Possible values:
Model Driven: Uses the instrument’s liquidity and volatility profile to determine the strength of the tilt. This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.
Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.
9115
BriskLimitMode
INT
N
Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.
This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.
Possible values:
Default: off
Aggressive More At Limit: When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away.
Faster Near Limit: (Mild, Medium, Strong): In addition to the above behavior, the order will dynamically strengthen the tilt and trade faster as the market price approaches the limit price.
9117
BlockLimit
INT
N
When calculating participation limits, all trades above this limit will be ignored.
Supports values 5-1,000,000.
9145
Tracking
INT
N
Allows trader to select between trend following and reversionary behavior.
Possible values:
AP-Revert-Low
AP-Revert-Med
AP-Revert-High
AP-Trend-Low
AP-Trend-Med
AP-Trend-High
9147
MinParticipation
FLOAT
N
Minimum participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9190
IfTouchedPrice
FLOAT
N
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded
Price is less/greater than or equal to Trigger Price. Can be used in combination with Stop and
Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches
either a profit taking or stop loss price.
9191
PostTriggerDuration
INT
N
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price
or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes.
9200
SubStrategy
STRING
N
Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202
DurationRCM
INT
N
Order duration from Start Time that sets the time allotted, in minutes, for an order to work in
the market. This may be specified as an alternative to setting a value for EndTime.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
9203
EndTimeOverride
INT
N
Overrides End Time, Duration, or the default with one of several values related to product hours.
Possible values:
0: None
1: Last Session Close
2: Next Session Close
3: Settlement
9210
MaxShowRCM
INT
Y
Maximum open display size per price level for TT Prowler orders.
9211
MinShow
INT
Y
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show.
9212
PassivePriceLevel
INT
N
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest
passively priced child orders even if the limit price is marketable.
No Pegging: Send at full limit price
Primary Peg: Peg to the top quote.
Second Level Peg: Peg to second book level.
Third Level Peg: Peg to third book level.
Primary Plus 1: Primary (passive) quote price, but improve the quote at 1 tick increments
on the first posted order.
Primary Plus 2: Primary (passive) quote price, but improve the quote at 2 tick increments
on the first posted order.
Primary Plus 3: Primary (passive) quote price, but improve the quote at 3 tick increments
on the first posted order.
Note: Required when Num Post Levels is changed from the default value.
9213
NumPostLevels
INT
N
Specifies the number of price levels at which to post child orders when pegging.
When Passive Price Levels is set, additional resting orders may be set at subsequent price
levels in order to hold queue priority.
Note: Can be set to greater than 0 with Passive Price Level set to No
Pegging (0). For example, you can statically layer child orders across nNum Post Levels to
split up a parent order quantity starting from your limit price without dynamic repricing due to Passive Price
Level logic.
Note: Maximum value is 20.
9214
AverageDelay
FLOAT
N
Sets a random delay, in seconds, between sending new orders or
replacing existing child orders.
9215
IWouldQty
INT
N
When set to any value greater than 0, I Would Qty setting equals the minimum top of book
quantity required before the order will cross the
spread.
9216
IWouldQtyPct
FLOAT
N
Similar to I Would Qty, but set as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9217
WithATickQty
INT
N
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing
quote size falls to or below the set value.
The order will cross the spread when aggressive quote size falls to or below the value set by With A
Tick Qty.
9218
WithATickQtyPct
FLOAT
N
Similar to With A Tick Qty, but expressed as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9219
CleanupPct
FLOAT
N
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete
near the end time.
9220
PostTicksApart
INT
N
Specifies how many minimum price increments apart to space passive orders resting across Num Post
Levels.
9221
MaxSpreadCrossTicks
INT
N
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.
Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit,
and Cleanup % behaviors.
9222
TacticalPeg
BOOLEAN
N
If enabled with Passive Price Level not set to No Pegging (0), avoids posting a
passive order at the top of book price level if the order book dynamics are unfavorable.
9225
IWouldQtyVariancePct
FLOAT
N
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in
each direction.
Note: This field represents the number as a percent and should not be submitted
as a decimal. For example, a value of
10 equals 10%.
For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be
triggered based on available size being between 80-120, depending on randomized value selected within the variance
range.
9302
DynamicEndTime
BOOLEAN
N
Note: The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets
For TT Close orders
Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
For TT Brisk orders
Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
9991
LegRiskAversion
INT
N
Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992
HedgeDiscretionTicks
INT
N
Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg
order.
TargetStrategy
N
Alternative to the <StrategyParametersGrp> repeating group for TT Order types, user-defined ADL algos, or third-party algos.
Note: For informational fields (TextA and TextB), you must use the <StrategyParametersGrp> repeating group.
Note: For drop copy order messages, with Tag 16566 (DropCopyOrder) = Y, this group is not sent; the information is returned in the <StrategyParametersGrp> instead.
For additional information about this component group, consult the full documentation.
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Possible values:
0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus
16903
ChildTIF
CHAR
Y
Time-in-Force for the algo child orders
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925
TriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
Optional for all TT Order types.
Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omit the tag to work the order until the market closes (GTC).
Optional for all TT Order types.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
40
OrdType
CHAR
C
Sets the order type for the parent order.
Only the following values are available for TT Premium Order /Types:
1: Market
2: Limit
3: Stop Market
4: Stop Limit
40
OrdType
CHAR
C
Sets the order type for the parent order.
Possible values include:
1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)
99
StopPx
PRICE
C
Only required when Tag 40 (OrdType) equals:
3: Stop Market
4: Stop Limit
Trigger price for a stop order.
9103
MaxParticipation
FLOAT
C
Maximum Participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9106
IWouldPrice
FLOAT
N
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic.
Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders.
9111
Aggression
INT
N
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+).
9112
TiltMode
INT
N
Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.
Possible values:
Model Driven: Uses the instrument’s liquidity and volatility profile to determine the strength of the tilt. This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.
Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.
9115
BriskLimitMode
INT
N
Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.
This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.
Possible values:
Default: off
Aggressive More At Limit: When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away.
Faster Near Limit: (Mild, Medium, Strong): In addition to the above behavior, the order will dynamically strengthen the tilt and trade faster as the market price approaches the limit price.
9117
BlockLimit
INT
N
When calculating participation limits, all trades above this limit will be ignored.
Supports values 5-1,000,000.
9145
Tracking
INT
N
Allows trader to select between trend following and reversionary behavior.
Possible values:
AP-Revert-Low
AP-Revert-Med
AP-Revert-High
AP-Trend-Low
AP-Trend-Med
AP-Trend-High
9147
MinParticipation
FLOAT
N
Minimum participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9190
IfTouchedPrice
FLOAT
N
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded
Price is less/greater than or equal to Trigger Price. Can be used in combination with Stop and
Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches
either a profit taking or stop loss price.
9191
PostTriggerDuration
INT
N
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price
or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes.
9200
SubStrategy
STRING
N
Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202
DurationRCM
INT
N
Order duration from Start Time that sets the time allotted, in minutes, for an order to work in
the market. This may be specified as an alternative to setting a value for EndTime.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
9203
EndTimeOverride
INT
N
Overrides End Time, Duration, or the default with one of several values related to product hours.
Possible values:
0: None
1: Last Session Close
2: Next Session Close
3: Settlement
9210
MaxShowRCM
INT
Y
Maximum open display size per price level for TT Prowler orders.
9211
MinShow
INT
Y
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show.
9212
PassivePriceLevel
INT
N
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest
passively priced child orders even if the limit price is marketable.
No Pegging: Send at full limit price
Primary Peg: Peg to the top quote.
Second Level Peg: Peg to second book level.
Third Level Peg: Peg to third book level.
Primary Plus 1: Primary (passive) quote price, but improve the quote at 1 tick increments
on the first posted order.
Primary Plus 2: Primary (passive) quote price, but improve the quote at 2 tick increments
on the first posted order.
Primary Plus 3: Primary (passive) quote price, but improve the quote at 3 tick increments
on the first posted order.
Note: Required when Num Post Levels is changed from the default value.
9213
NumPostLevels
INT
N
Specifies the number of price levels at which to post child orders when pegging.
When Passive Price Levels is set, additional resting orders may be set at subsequent price
levels in order to hold queue priority.
Note: Can be set to greater than 0 with Passive Price Level set to No
Pegging (0). For example, you can statically layer child orders across nNum Post Levels to
split up a parent order quantity starting from your limit price without dynamic repricing due to Passive Price
Level logic.
Note: Maximum value is 20.
9214
AverageDelay
FLOAT
N
Sets a random delay, in seconds, between sending new orders or
replacing existing child orders.
9215
IWouldQty
INT
N
When set to any value greater than 0, I Would Qty setting equals the minimum top of book
quantity required before the order will cross the
spread.
9216
IWouldQtyPct
FLOAT
N
Similar to I Would Qty, but set as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9217
WithATickQty
INT
N
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing
quote size falls to or below the set value.
The order will cross the spread when aggressive quote size falls to or below the value set by With A
Tick Qty.
9218
WithATickQtyPct
FLOAT
N
Similar to With A Tick Qty, but expressed as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9219
CleanupPct
FLOAT
N
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete
near the end time.
9220
PostTicksApart
INT
N
Specifies how many minimum price increments apart to space passive orders resting across Num Post
Levels.
9221
MaxSpreadCrossTicks
INT
N
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.
Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit,
and Cleanup % behaviors.
9222
TacticalPeg
BOOLEAN
N
If enabled with Passive Price Level not set to No Pegging (0), avoids posting a
passive order at the top of book price level if the order book dynamics are unfavorable.
9225
IWouldQtyVariancePct
FLOAT
N
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in
each direction.
Note: This field represents the number as a percent and should not be submitted
as a decimal. For example, a value of
10 equals 10%.
For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be
triggered based on available size being between 80-120, depending on randomized value selected within the variance
range.
9302
DynamicEndTime
BOOLEAN
N
Note: The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets
For TT Close orders
Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
For TT Brisk orders
Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
9991
LegRiskAversion
INT
N
Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992
HedgeDiscretionTicks
INT
N
Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg
order.
TargetStrategy
N
Alternative to the <StrategyParametersGrp> repeating group for TT Order types, user-defined ADL algos, or third-party algos.
Note: For informational fields (TextA and TextB), you must use the <StrategyParametersGrp> repeating group.
Note: For drop copy order messages, with Tag 16566 (DropCopyOrder) = Y, this group is not sent; the information is returned in the <StrategyParametersGrp> instead.
For additional information about this component group, consult the full documentation.
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Possible values:
0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
S: Morning At the Close
T: Afternoon At the Close
U: Night At the Close
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus
16903
ChildTIF
CHAR
Y
Time-in-Force for the algo child orders
Note: CME supports Immediate or Cancel (IOC) and Fill Or Kill (FOK) using the same Time in Force value (Tag 59=3). If a TT FIX client submits a CME IOC (Tag 59=3) with a MinQty (Tag 110), the order will be treated by CME as a FOK. To send an IOC, the FIX client should omit tag 110 from TT FIX New Order message.
Note: Although the TT FIX schema includes the new ‘At the Close’ TIFs for OSE (59=S, 59=T, and 59=U), at this time these values can not be used through FIX Order Routing or Drop Copy services. However, these values will be fully integrated in a future release. Please monitor the TT Release Notes for announcements as to availability of these TIFs.
Note: The “Plus” enums indicate that the TIF is available for the after hours (ATH) T + 1 session.
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16925
TriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16926
TriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Possible values:
Y: Yes
N: No
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16927
TTStopLimitPriceType
INT
N
Type of price to use to the TT Stop child order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16928
TTStopWithATickType
INT
N
Type of quantity to use for the With A Tick type specified in tag 16929 (TTStopWithATick).
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16929
TTStopWithATick
INT
N
Threshold for the With A Tick behavior that reprices the order one tick toward the market when
available quantity at the opposite inside market is at or below the specified quantity threshold
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16930
Payup
INT
N
Number of ticks from the specified price to submit the Limit order
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16931
TTStopTriggerPriceType
INT
N
Type of trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Bid
2: Ask
3: LTP
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16932
TTStopIsTrlTrg
BOOLEAN
N
Whether the TT Stop order trigger price trails the trigger price type by some number of ticks.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16933
TTStopTriggerTicksAway
INT
N
Number of ticks away from the specified price to submit the child orders of the TT Stop order
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16934
TTStopTriggerQtyType
INT
N
Type of quantity trigger for the TT Stop order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Qty
2: Percent
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16935
TTStopTriggerQTyCompare
INT
N
Test to use when comparing TT Stop order trigger quantities.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
3: Less than or equal to
5: Greater than or equal to
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16936
TTStopTriggerQty
INT
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16937
TTStopTriggerLTPReset
BOOLEAN
N
Whether to reset the trade quantity counter back to zero, if the inside market backs away from the trigger price.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
Y: Yes
N: No
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16938
TTStopTriggeredOrderType
INT
N
Type of order to submit when triggered.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
Possible values:
1: Market
2: Limit
21: MLM
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16939
TTStopTriggeredOrderPrice
PRICE
N
price for the TT Stop child Limit order.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16941
TTStopPayup
INT
N
Number of ticks from the specified price to submit the Limit order. Positive values indicate towards the market and negative values indicate away from the market.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16942
RetryCount
INT
N
Number of times (0-32,000) to resend a rejected order.
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16943
RetryInterval
INT
N
Number of milliseconds (0-100,000) between retry attempts.
Note: Used only for TT Bracket and TT OCO orders that submit a TT Stop order for the stop-loss order, with tag 16916 (StopOrderType) = 3 (TT Stop).
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16944
Duration
INT
N
Number of time units (tag 16945) between each disclosed order portion of a TT Time Duration order.
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16945
DurationBaseUnit
INT
N
Time unit to use for the duration (tag 16944) of a TT Time Duration order.
Possible values:
1: Hour
2: Minute
3: Second
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16946
DurationSTime
UTCTIMESTAMP
N
Time to start submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16947
DurationETime
UTCTIMESTAMP
N
Time to stop submitting child orders of a TT Time Duration order.
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16948
LeftoverTimeAction
INT
N
When to execute the LeftoverAction (tag 16909) for an order interval.
Possible values:
0: At End
1: Halflife
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16949
AutoResubExpiredGTD
BOOLEAN
N
If any child orders are not completely filled by the session close, the exchange will expire the child orders; when the market reopens, the parent order will then resubmit the child orders with the same parameters as when they expired.
Possible values:
Y: Yes
N: No
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16950
ParentTIF
INT
N
Time-in-force of a parent synthetic order.
Note: If this value is omitted, the value of tag 59 (TimeInForce) will be assigned to this tag. If tag 59 is also missing, the order will be rejected. If both tags are present, their values must be identical.
Possible values:
1: Day
2: GTC
7: Time
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16951
TTStopSecondConditionIsOn
BOOLEAN
N
Whether to require a secondary condition before triggering an order. The order is triggered only when the initial and secondary conditions are both TRUE.
Possible values:
Y: Yes
N: No
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16952
TTStopSecondTriggerPriceType
INT
N
Type of trigger for the second contion of at TT Stop or TT If-Touched order.
Possible values:
1: Bid
2: Ask
3: LTP
6: Same side
7: Opposite side
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16953
TTStopSecondConditionIsTrlTrg
BOOLEAN
N
Type of trigger for the second condition of at TT Stop or TT If-Touched order.
Possible values:
Y: Yes
N: No
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16954
TTStopSecondTriggerTicksAway
INT
N
Number of ticks from the specified price to submit the child order, based on the specified Trigger price. Positive values indicate towards the market and negative values indicate away from the market.
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16955
TTStopSecondTriggerQtyType
INT
N
Type of quantity trigger for the secondary condition.
Possible values:
1: Qty
2: Percent
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16956
TTStopSecondTriggerQtyCompare
INT
N
Test to use when comparing trigger quantities. Possible values include:
Possible values:
3: Less than or equal to
5: Greater than or equal to
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16957
TTStopSecondTriggerQty
QTY
N
Quantity of the secondary trigger condition based on the executed quantity (if LTP) or the quantity on the Bid or the Ask.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16958
Variance
INT
N
Percentage (0-100) by which to vary the child order quantity.
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16960
ETAGoToMktTicks
INT
N
Number of ticks into the market to submit an order for the remaining quantity when the tag 16906 (ETimeAct) is 2 (Go to Market).
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
16961
WaitingOption
INT
N
When to start working the parent order.
Note: If this is 1, you must specify the start time in tag 168 (EffectiveTime).
Possible values:
0: Now
1: Time
2: PreOpen
3: Open
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17007
MaxDisp
INT
Y
The maximum size of a child order lot in relation to the total parent order quantity.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17008
TwapStyle
INT
Y
Defines how the algorithm lays out the slices and execution options.
Aggressive: Child orders are sent as market orders at the beginning of each slice. Child order quantities and time periods are uniform across each slice.
Passive: A Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
Default: Similar to the Passive style, a Limit Order is placed at the bid (for buys) / ask (for sells) at the beginning of each slice and then continuously repriced to follow the market.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17009
WouldIfPrc
PRICE
N
The desired price threshold that will trigger TWAP to temporarily abandon its current slicing plan and aggressively fill as much quantity as possible.
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
17010
LimitPrc
PRICE
N
The highest price at which the user is willing to buy (when buying), or the lowest to sell (when selling).
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
Optional for all TT Order types.
Some order types, such as TT Retry, support precision to the microsecond using a format YYYYMMDD-HH:MM:SS.sssmmm, where mmm represents the microseconds portion of the timestamp. When set, this precision is returned in the Execution Report.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
Note: Omit to start working the order when submitted.
168
EffectiveTime
UTCTIMESTAMP
N
Time to start working the order.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omit the tag to work the order until the market closes (GTC).
Optional for all TT Order types.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
126
ExpireTime
UTCTIMESTAMP
N
Time to stop working the order.
40
OrdType
CHAR
C
Sets the order type for the parent order.
Only the following values are available for TT Premium Order /Types:
1: Market
2: Limit
3: Stop Market
4: Stop Limit
40
OrdType
CHAR
C
Sets the order type for the parent order.
Possible values include:
1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)
99
StopPx
PRICE
C
Only required when Tag 40 (OrdType) equals:
3: Stop Market
4: Stop Limit
Trigger price for a stop order.
9103
MaxParticipation
FLOAT
C
Maximum Participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9106
IWouldPrice
FLOAT
N
Price at which you would like to aggressively attempt to fill your order, regardless of the algorithm logic.
Order aggressively tries to fill if the instrument reaches this price, irrespective of volume based tracking objectives. Should be lower than limit and arrival time ask prices for BUY orders, higher than limit and arrival time bid prices for SELL orders.
9111
Aggression
INT
N
Influences how strongly to tilt order trajectory (TT Close, TT Brisk), how tightly to track max participation (TT POV, TT Scale POV), or how tightly to follow an order schedule (TT TWAP+, TT VWAP+).
9112
TiltMode
INT
N
Determines the methodology used to tilt away from the a normal Volume-Weighted Average Price (VWAP)-based schedule for TT Brisk and TT Close algos.
Possible values:
Model Driven: Uses the instrument’s liquidity and volatility profile to determine the strength of the tilt. This setting results in the tilt, compared to a normal VWAP schedule, being more pronounced with higher Aggression setting, higher instrument liquidity, higher instrument volatility, and longer order duration.
Simple: The strength of the tilt is determined by the Aggression level and applied as a simple, linear shift vs a VWAP+ order trajectory. Higher Aggression levels will result in the order being shifted further away from VWAP+.
9115
BriskLimitMode
INT
N
Specifies whether the order should get more aggressive when opposite side quote price is at the limit price.
This setting can be used to manage fill rate risk, increasing the expected fill rate if the market is nearing the limit price, at the cost of higher expected slippage on executed quantity.
Possible values:
Default: off
Aggressive More At Limit: When the opposite side quote price is equal to the limit price, the order will monitor liquidity conditions tick by tick and send extra IOC (Immediate or Cancel) orders to opportunistically take additional liquidity before the market runs away.
Faster Near Limit: (Mild, Medium, Strong): In addition to the above behavior, the order will dynamically strengthen the tilt and trade faster as the market price approaches the limit price.
9117
BlockLimit
INT
N
When calculating participation limits, all trades above this limit will be ignored.
Supports values 5-1,000,000.
9145
Tracking
INT
N
Allows trader to select between trend following and reversionary behavior.
Possible values:
AP-Revert-Low
AP-Revert-Med
AP-Revert-High
AP-Trend-Low
AP-Trend-Med
AP-Trend-High
9147
MinParticipation
FLOAT
N
Minimum participation with relation to the eligible volume.
Note: Algo engine manages percent conversions, e.g. for 20% the field should be set to ’20’ rather than ‘0.20’
9190
IfTouchedPrice
FLOAT
N
Enables the flip side of Stop Price functionality: if present, a Buy/Sell order activates once the Last Traded
Price is less/greater than or equal to Trigger Price. Can be used in combination with Stop and
Stop Limit orders for One-Cancels-Other (OCO) type behavior, where an order activates when the market reaches
either a profit taking or stop loss price.
9191
PostTriggerDuration
INT
N
The Post Trigger Duration in minutes. If set greater than 0, will adjust EndTime once market reaches Stop Price
or Trigger Price to earlier of EndTime or current time plus PostTrigger Duration minutes.
9200
SubStrategy
STRING
N
Sets the underlying Premium Order Type behavior managing execution of the TT Splicer instrument.
9202
DurationRCM
INT
N
Order duration from Start Time that sets the time allotted, in minutes, for an order to work in
the market. This may be specified as an alternative to setting a value for EndTime.
Note: Omission of ExpireTime and DurationRCM will default to close of trading.
9203
EndTimeOverride
INT
N
Overrides End Time, Duration, or the default with one of several values related to product hours.
Possible values:
0: None
1: Last Session Close
2: Next Session Close
3: Settlement
9210
MaxShowRCM
INT
Y
Maximum open display size per price level for TT Prowler orders.
9211
MinShow
INT
Y
Minimum open display size per price level for TT Prowler orders. If Min Show remains blank or set equal to 0, the order always displays the amount of order quantity set by Max Show.
9212
PassivePriceLevel
INT
N
Allows optimal behavior to peg orders to passive price levels in the order book. If set to No Pegging, child orders are sent at the full limit price. For other settings, the order will rest
passively priced child orders even if the limit price is marketable.
No Pegging: Send at full limit price
Primary Peg: Peg to the top quote.
Second Level Peg: Peg to second book level.
Third Level Peg: Peg to third book level.
Primary Plus 1: Primary (passive) quote price, but improve the quote at 1 tick increments
on the first posted order.
Primary Plus 2: Primary (passive) quote price, but improve the quote at 2 tick increments
on the first posted order.
Primary Plus 3: Primary (passive) quote price, but improve the quote at 3 tick increments
on the first posted order.
Note: Required when Num Post Levels is changed from the default value.
9213
NumPostLevels
INT
N
Specifies the number of price levels at which to post child orders when pegging.
When Passive Price Levels is set, additional resting orders may be set at subsequent price
levels in order to hold queue priority.
Note: Can be set to greater than 0 with Passive Price Level set to No
Pegging (0). For example, you can statically layer child orders across nNum Post Levels to
split up a parent order quantity starting from your limit price without dynamic repricing due to Passive Price
Level logic.
Note: Maximum value is 20.
9214
AverageDelay
FLOAT
N
Sets a random delay, in seconds, between sending new orders or
replacing existing child orders.
9215
IWouldQty
INT
N
When set to any value greater than 0, I Would Qty setting equals the minimum top of book
quantity required before the order will cross the
spread.
9216
IWouldQtyPct
FLOAT
N
Similar to I Would Qty, but set as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9217
WithATickQty
INT
N
Sets the size threshold to initiate aggressing orders to cross the spread and take liquidity when the opposing
quote size falls to or below the set value.
The order will cross the spread when aggressive quote size falls to or below the value set by With A
Tick Qty.
9218
WithATickQtyPct
FLOAT
N
Similar to With A Tick Qty, but expressed as a percent of the order quantity.
Note : The field represents the number as a percent and should not be submitted as a decimal: a
value of 70 equals 70%.
9219
CleanupPct
FLOAT
N
Specifies maximum percent of parent order quantity to cross the market with if a parent order is not yet complete
near the end time.
9220
PostTicksApart
INT
N
Specifies how many minimum price increments apart to space passive orders resting across Num Post
Levels.
9221
MaxSpreadCrossTicks
INT
N
If greater than 0, an order will not cut or cross a bid-ask spread that is more than the specified amount wide.
Note: This constraint takes precedence over I Would, With A Tick, Brisk Limit,
and Cleanup % behaviors.
9222
TacticalPeg
BOOLEAN
N
If enabled with Passive Price Level not set to No Pegging (0), avoids posting a
passive order at the top of book price level if the order book dynamics are unfavorable.
9225
IWouldQtyVariancePct
FLOAT
N
Randomizes the I Would Qty and I Would Qty % thresholds by a specified percent in
each direction.
Note: This field represents the number as a percent and should not be submitted
as a decimal. For example, a value of
10 equals 10%.
For example, if I Would Qty equals 100 and I Would Qty Variance % equals 20, the I Would Qty behavior will be
triggered based on available size being between 80-120, depending on randomized value selected within the variance
range.
9302
DynamicEndTime
BOOLEAN
N
Note: The value from this tag displays in the Dynamic Duration field in the MD Trader and Order Ticket widgets
For TT Close orders
Allows the algo to target a shorter trading horizon respective to its End Time. If selected, orders submitted may not begin placing child orders until nearer to the End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
For TT Brisk orders
Allows the algo to target a shorter trading horizon respective to its Start Time. If selected, orders submitted may finish ahead of any defined End Time. If not selected, parent orders will seek to utilize the full trading window as defined by the Start and End Times.
9991
LegRiskAversion
INT
N
Influences how long the algorithm will leave the parent order partially hedged after a new fill on one of the legs.
9992
HedgeDiscretionTicks
INT
N
Non-negative integer to give hedge orders allowance beyond inferred limit price in order to complete a hedge leg
order.
528
OrderCapacity
CHAR
C
Required for exchanges subject to MiFID II regulations.
Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer Defaults in Setup.
Possible values:
A: Agency (maps to [AOTC])
G: Proprietary (maps to [AOTC])
I: Individual (maps to [AOTC])
P: Principal (maps to [DEAL])
R: Riskless Principal (maps to [MTCH])
W: Agent for Other Member (maps to [AOTC])
529
OrderRestriction
CHAR
C
Required for exchanges subject to MiFID II regulations.
Restrictions associated with an order. Sent when provided by the exchange. Currently, only the NASDAQ EU market supports this field.
Possible values:
1: Program Trade
2: Index Arbitrage
3: Non-Index Arbitrage
4: Competing Market Maker
5: Acting as Market Maker or Specialist in the security
6: Acting as Market Maker or Specialist in the underlying security of a derivative security
7: Foreign Entity (of foreign government or regulatory jurisdiction)
8: External Market Participant
9: External Inter-connected Market Linkage
A: Riskless Arbitrage
B: Issuer Holding
C: Issuer Price Stabilization
D: Non-Algorithmic
E: Algorithmic
18221
CompanyID
STRING
N
TT-defined name of the firm that sends messages to the exchange.
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18227
Organization
STRING
N
User-defined name of the trader’s organization.
2404
ComplianceText
STRING
C
ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.
ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.
If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).
Note: Orders will not be rejected by the exchange if this field is not populated.
Tag 2404 in the TT system behaves as follows:
ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, “Compliance Text”.
If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.
16566
DropCopyOrder
BOOLEAN
C
Sent only for Drop Copy FIX Adapter sessions with the Compliance Feed (Send original order/cancle/change messsages and pending execution reports) option is enabled in Setup. When sent, the value of this tag will always be Y.
Indicates the message is a drop copy order message. This tag is generated by TT FIX Adapter to provide a complete audit trail for the order.
Note: FIX clients should not send this tag for incoming messages.
Possible values:
Y: YES
Parties
N
Information about the entities involved in the financial transaction associated with this FIX message.
For additional information about this component group, consult the full documentation.
453
NoPartyIDs
NUMINGROUP
N
Number of parties in the PartiesGrp repeating group
448
PartyID
STRING
C
Required when NoPartyIds (453) is greater than 0.
Party identifier code
Reserved values when 452=3 (ClientID) and 447=P (Short code):
0: Own account; no client
1: PNAL (Pending allocation)
2: AGGR (Aggregated)
GU: CME give-up code (to override the Give-up code configured in Setup)
SX: SGX give-up code (to override the Give-up code configured in Setup)
Reserved when 452=12 (Executing trader) and 447=P (Short code):
3: NORE: Execution decision outside firm
452
PartyRole
INT
C
Required when NoPartyIds (453) is greater than 0.
Type or role of PartyID (tag 448)
Possible values:
1: Executing firm (formerly FIX 4.2 ExecBroker)
2: Broker of credit
3: Client id (formerly FIX 4.2 ClientID)
4: Clearing firm (formerly FIX 4.2 ClearingFirm)
5: Investor id
6: Introducing firm
7: Entering firm
8: Locate
9: Fund manager client id
10: Settlement location
11: Order origination trader
12: Executing trader (associated with Executing Firm – actually executes)
13: Order origination firm
14: Giveup clearing firm
15: Correspondant clearing firm
16: Executing system
17: Contra firm
18: Contra clearing firm
19: Sponsoring firm
20: Underlying contra firm
21: Clearing organization
22: Exchange
24: Customer account
25: Correspondent clearing organization
26: Correspondent broker
27: Buyer seller
28: Custodian
29: Intermediary
30: Agent
31: Sub custodian
32: Beneficiary
33: Interested party
34: Regulatory body
35: Liquidity provider
36: Entering trader
37: Contra trader
38: Position account
39: Contra investor id
40: Transfer to firm
41: Contra position account
42: Contra exchange
43: Internal carry account
44: Order entry operator id
45: Secondary account number
46: Foreign firm
47: Third party allocation firm
48: Claiming account
49: Asset manager
50: Pledgor account
51: Pledgee account
52: Large trader reportable account
53: Trader mnemonic
54: Sender location
55: Session id
56: Acceptable counterparty
57: Unacceptable counterparty
58: Entering unit
59: Executing unit
60: Introducing broker
61: Quote originator
62: Report originator
63: Systematic internaliser
64: Multilateral trading facility
65: Regulated market
66: Market maker
67: Investment firm
68: Host competent authority
69: Home competent authority
70: Competent authority of the most relevant market in terms of liquidity
71: Competent authority of the transaction
72: Reporting intermediary
73: Execution venue
74: Market data entry originator
75: Location id
76: Desk id
77: Market data market
78: Allocation entity
79: Prime broker providing general trade services
80: Step out firm
81: Brokerclearingid
82: Central registration depository
83: Clearing account
84: Acceptable settling counterparty
85: Unacceptable settling counterparty
118: Party role decision maker
119: Party role client ID house
122: Investment decision maker (IDM)
200: Account code
201: Takeup firm
202: Clearing instruction
203: Customer info
204: Allocation entity ID
205: Account type
206: Giveup firm
207: MIFID ID
208: Composite MIFID ID (ICE only)
209: CTI code
210: LMA clearing account
211: Authorized trader ID (ICE only)
212: Frequent trader ID (CFE only)
213: User (TFEX only)
214: Member (TFEX only)
215: Trading member (TFEX only)
216: Clearing member (TFEX only)
217: Acting user (TFEX only)
218: Trader ID
219: Owner type (TFEX only)
220: Routing Member ID (ICE only)
221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to “SX” when mutually offsetting to SGX. Set 448 to “GU” for all other Give-ups on CME.)
222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup.
223: Secondary Client ID
224: Secondary executing trader
300: Investment Decision in Firm
301: Execution Decision in Firm
302: Investment Decision Country
303: Execution Decision Country
304: Party Role Country Code
2376
PartyRoleQualifier
INT
N
Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448).
Default values are set for this tag when PartyRole (tag 452) is one of the following:
When 452=3 (Client ID), the default is 2376=23 (Firm).
When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person).
When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person).
Condition: Required when NoPartyIds (453) is greater than 0.
Possible values:
22: Algorithm
23: Firm or legal entity
24: Natural person
447
PartyIDSource
CHAR
C
Required when NoPartyIds (453) is greater than 0.
Identifies class or source of the PartyID (448) value.
I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document
P: Short code
OrderAttributesGrp
Y
Attributes associated with the order
Condition: Sent when available
For additional information about this component group, consult the full documentation.
2593
NoOrderAttributes
INT
N
Number of order attributes in the repeating group
2594
OrderAttributeType
INT
C
Required when OrderAttributeGrp (2593) is greater than 0.
Type of order attribute
Possible values:
2: Liquidity provision activity order
3: Commodity Derivative Indicator (risk reduction) order
4: Algorithmic order
2595
OrderAttributeValue
STRING
C
Required when OrderAttributeGrp (2593) is greater than 0.
Value of order attribute
Possible values:
Y: True/Yes
N: False/No
16117
OrderSource
INT
N
TT component that most recently acted on an active order.
Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.
Possible values:
0: ASE
2: TTW
3: Invalid
4: TT Trader
6: Mobile
7: ROE
9: External
10: TT FIX
11: Aggregator
12: Bouncer
13: Lambda Liquidator
14: External FIX Adapter
15: Prime ASE
16: Nimbus
17: ADL
18: TTSDK
19: TT Algo
20: ADL Prime
21: TTSDK Prime
22: TT Algo Prime
23: Chart
24: TTD
25: TTD Chart
26: TTINT
27: TT Admin
28: TT .NET API client
29: TT .NET API server
30: C++ API
31: TT Options Risk
32: External upload
33: Stager
34: TT Score
35: FIX Adapter Child Router
36: POT Child Router
37: Terminator
7928
SelfMatchPreventionID
STRING
N
Exchange-registered identifier that enables customers to prevent the matching of orders for accounts with common ownership, even across different executing firms.
8000
SMPInstruction
CHAR
N
Instruction provided to the exchange as to whether to cancel the resting or incoming
(aggressing) order in the
event of a self-match.
Notes:
This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.
As per ASX ‘s Unintentional Crossing Prevention (UCP) rules, the exchange does not reject trades when a UCP match is detected.
On ASX orders, Tag 8000 (SMPInstruction) is implicitly set to M, Match when a UCP ID value is provided in Tag 7928 (SelfMatchPreventionID).
On ASX trades for such orders, the value in Tag 8000 (SMPInstruction) reflects whether a UCP match was detected or not by the ASX exchange.
Possible values:
B: SMP Instruction type cancel both
d: SMP Instruction type decrement Leaves quantity only. Do not restate Order quantity (CBOE)
D: SMP Instruction type decrement Order quantity and Leaves quantity of the larger order/Cancel smaller order (CBOE)
e: SMP Instruction type market-wide
f: SMP Instruction type market-wide cancel aggressor
g: SMP Instruction type market-wide cancel resting
h: SMP Instruction type market-wide decrement leaves quantity
m: SMP Instruction type Not Match (ASX)
M: SMP Instruction type match (ASX)
N: SMP Instruction type cancel aggressor
O: SMP Instruction type cancel resting
S: SMP Instruction type cancel smallest order (CBOE)
16112
NoLinks
INT
C
Sent only for FIX Drop Copy OUT sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled for the session in TT Setup. The tag is ignored if sent on FIX Order Routing sessions.
Number of links contained in this repeating group
16113
LinkID
STRING
C
Used to identify relationships between entities (accounts or orders).
Example: Distinguish that this is a child order or fill that came from a synthetic parent order. Child orders and fills that came from the same parent order will have the same LinkID.
Note: If the Send Staged / Synthetic Child order / fill message setting is enabled for the FIX session in the Setup application, this tag will contain a shortened ID.
16114
LinkType
CHAR
C
Sent when tag 16112 > 0
The kind of link.
Note: When LinkType (Tag 16114) equals R, LinkID (Tag 16113) will contain the TT Order ID of the topmost parent order in the chain (e.g., parent/child/grandchild/etc.) of algo orders.
Possible values:
7: Staged child order ID
P: Parent order ID
X: Position transfer ID
8: Staged bulked child order ID
9: Staged stitched child order ID
A: Staged split child order ID
E: Unique execution ID allocated from (FX only)
R: Root algo order ID
F: Parent Account ID
16601
EchoDC_01
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16602
EchoDC_02
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16603
EchoDC_03
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16604
EchoDC_04
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16605
EchoDC_05
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16606
EchoDC_06
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16607
EchoDC_07
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16608
EchoDC_08
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16609
EchoDC_09
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16610
EchoDC_10
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16631
EchoDC_11
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16632
EchoDC_12
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16633
EchoDC_13
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16634
EchoDC_14
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16635
EchoDC_15
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16636
EchoDC_16
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16637
EchoDC_17
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16638
EchoDC_18
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16639
EchoDC_19
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16640
EchoDC_20
STRING
N
Customer-defined text field visible only to FIX client applications. The value is not sent to the exchange.
16852
ParentVendorOrderID
STRING
N
For internal TT use only
16853
ParentVendorUserID
STRING
N
For internal TT use only
16854
ParentVendorAccountID
STRING
N
For internal TT use only
16855
ParentVendorBrokerID
STRING
N
For internal TT use only
16856
ParentVendorProfileID
STRING
N
For internal TT use only
16130
IntentToCross
BOOLEAN
N
Required tag for compliance purposes that indicates whether or not the order is for a pre-arranged transaction. Applicable when Intent To Cross is enabled on the TT account.
Note: Only applicable for the MX exchange.
Note: Consult the MX exchange for information on how to properly implement this tag.
18001
MockOrderFlag
INT
N
This optional tag is available in all order and execution report messages. In addition, these tags will not appear in any current messages in production and are reserved for future use.
Possible values:
0: Not a mock order
1: A mock order
864
NoEvents
NUMINGROUP
N
Number of entries in the event types repeating group
865
EventType
INT
N
Type of event
Possible values:
5: Expiry date
6: Last trading date
: The following values are only available for EPEX and Nord Pool:
13: First delivery date
14: Last delivery date
101: First trading date
102: SDAT first trading date
866
EventDate
LOCALMKTDATE
N
Date the event occurred
1145
EventTime
UTCTIMESTAMP
N
Note: This tag is only available for EPEX and Nord Pool.
Specific time of event. Use in combination with EventDate <866>.
Trailer
Y
For additional information about this component group, consult the full documentation.
10
CheckSum
STRING
Y
Unencrypted three-character checksum
This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).
Message Notes
The Multileg Order Cancel Replace (AC) message is used by FIX clients to make changes to a
previously submitted multileg order.
