For additional information about this component group, consult the documentation.
35=8 (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
Assigned value used to identify the counterparty
56
TargetCompID
STRING
Y
Assigned value used to identify TT
34
MsgSeqNum
SEQNUM
Y
Message sequence number
43
PossDupFlag
BOOLEAN
C
Must be sent when a third-party FIX acceptor resends messages
Whether the sequence number for this message is already used
Possible values:
N: NO: Original transmission
Y: YES: Possible duplicate
97
PossResend
BOOLEAN
C
Must be sent if the message may contain information that has been sent under another sequence number.
Whether the message might contain information that has been sent under another sequence number
Possible values:
N: NO: Original transmission
Y: YES: Possible resend
122
OrigSendingTime
UTCTIMESTAMP
C
Sent when a third-party FIX acceptor resends a message
Original time of message transmission, when transmitting orders as the result of a resend request
Always expressed in UTC.
52
SendingTime
UTCTIMESTAMP
Y
Time, in UTC, the message was sent.
17
ExecID
STRING
Y
Unique identifier for this execution report
20
ExecTransType
CHAR
Y
Type of execution report
Third-party FIX acceptors should always send 0 (New)
Possible values:
0: New
1: Cancel
2: Correct
3: Status (in response to an Order Status Request (H) message)
37
OrderID
STRING
Y
Order ID assigned by the third-party FIX acceptor
11
ClOrdID
STRING
Y
Unique identifier for an Order as assigned by TT. Uniqueness is guaranteed within a single FIX trading session. Tag 11 values may be reused after the daily or weekly FIX session reset. Maximum length of the tag 11 is (20) characters.
41
OrigClOrdID
STRING
C
Not required when 150=0 (New) or when this Execution Report (8) is not in response to a direct change change (such as a fill)
Previous order identifier. Equal to Tag 11 (ClOrdID) of the original request message
150
ExecType
CHAR
Y
Indicates the reason for sending this Execution Report
Possible values:
0: New
1: Partially filled
2: Filled
3: Done for day
4: Canceled
5: Replaced
6: Pending cancel
7: Stopped
8: Rejected
9: Suspended (Held)
A: Pending new
B: Calculated
C: Expired
D: Restated
E: Pending replace
F: Trade
G: Trade correction (same as 20=2 in FIX 4.2)
H: Trade cancel (same as 20=1 in FIX 4.2)
I: Order status (same as 20=3 in FIX 4.2)
J: Trade in a clearing hold
K: Trade has been released to clearing
L: Triggered or activated by system
103
OrdRejReason
INT
C
Send when Tag 150 (ExecType) is 8 (Reject)
Reason for rejecting the incoming request
Possible values:
0: Broker option
1: Unknown symbol
2: Exchange closed
3: Order exceeds limit
4: Too late to enter
5: Unknown order
6: Duplicate order
7: Duplicate of a verbally-communicated order
8: Stale order
9: Trade along required
10: Invalid Investor ID
11: Unsupported order characteristic
12: Surveillance option
13: Incorrect quantity
14: Incorrect allocated quantity
15: Unknown account
16: Price exceeds current price band
18: Invalid price increment
19: Message pending
20: Routing error
99: Other
1003: Market closed
1007: FIX field missing or incorrect
1010: Required field missing
1011: FIX field incorrect
1012: Price must be greater than zero
1013: Invalid order qualifier
1014: User not authorized
2013: Market hours not suported by opposite
2019: Invalid expire date
2044: Order not in book
2045: Order not in book 2
2046: Disclosed qty cannot be greater
2047: Unknown contract
2048: Cancel with different sender comp id
2049: ClOrdId different than correleation ClOrdId
2050: ClOrdId different than original ClOrdId
2051: Different side
2052: Different group
2053: Different security type
2054: Different account
2055: Different qty
2056: Cancel with different trader id
2058: Stop price must be greater
2059: Stop price must be smaller
2060: Sell stop price must be below ltp
2061: Buy stop price must be above ltp
2100: Different product
2101: Different inflight fill modification
2102: Modify with different sender comp id
2103: Modify with different trader id
2115: Order qty outside allowable range
2130: Invalid order type for pcp
2137: Order price outside limits
2179: Order price outside bands
2311: Invalid order type for group
2500: Instrument cross request in process
2501: Ordr qty too low
2600: Market maker protection has tripped
4000: Engine did not respond
6001: Pending replace
6002: Pending cancel
7000: Order rejected
7001: Contract not gtc gtd eligible
7009: Contract past expiration
7011: Max contract working qty exceeded
7015: Modify with different side
7018: Contract not gtc gtd eligible 2
7020: No trading calendar for expire date
7021: Expire date beyond instrument expiration
7022: Expire date beyond leg instrument expiration
7024: Market in no cancel
7027: Invalid order type for reserved market
7028: Order session date in past
7613: Disclosed qty cannot be smaller
9999: Technical error function not performed
58
Text
STRING
C
Send when you want to include additional information
Additional information about the message
378
ExecRestatementReason
INT
C
Send when Tag 150 (ExecType) = D (Restated)
Reason for the restatement
Note: For markets using OM API for orders, (HKEX, JPX, SGX), if the exchange does not respond immediately to an order request, the TT Order Connector will send a Pending Execution Report with the following fields:
150=D (Restated)
39=A (Pending new)
378=9002 (Pending)
Possible values:
0: GT corporate action
1: GT renewal
2: Verbal change
3: Repricing of order
4: Broker option
5: Partial decline of order quantity
6: Cancel on trading halt
7: Cancel on system failure
8: Market
9: Cancel not best
10: Warehouse recap
11: Peg refresh
50: Control user activity (Inbound Drop Copy only)
51: Corporate manager activity (Inbound Drop Copy only)
52: Branch manager activity (Inbound Drop Copy only)
53: Exchange and FIX server connection down (Inbound Drop Copy only)
99: Other
100: Cancel on disconnect
103: Cancel oldest (resting) due to self-match prevention
104: Cancel from credit violation
105: Cancel from firmsoft
106: Cancel from risk
107: Cancel newest (aggressing) due to self-match prevention
108: Cancel due to minimum lot size not met
109: Cancel by system
110: Cancel by proxy
111: Cancel due to order expiry
112: Cancel due to order outside price limits
113: Cancel due to session transition
114: Cancel due to auction delete
115: Cancel due to other reason
116: Order passing request accepted
117: Order passing request rejected
118: Incoming order self match prevention
119: Resting order self match prevention
120: Cancel due to self match prevention
121: GTC/GTD Restatement
122: Reduction of Order quantity
123: Price Sliding Reprice
124: State Change
125: Order passing request initiate
126: Order passing request undo
9000: Unsolicited order recovery
9001: Timeout
9002: Pending
9003: Exec Restatement Reason Revived
39
OrdStatus
CHAR
Y
Status of the order
Possible values:
0: New
1: Partially filled
2: Filled
3: Done for day
4: Cancelled
5: Replaced
6: Cancel pending
7: Stopped
8: Rejected
9: Suspended (Held)
A: Pending new
B: Calculated
C: Expired
D: Accepted for bidding
E: Pending replace
z: Inactive (TT internal state only and won’t be sent via FIX messages to any external party)
32
LastShares
QTY
C
Send only when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)
Indicates the number of contracts that just filled
31
LastPx
PRICE
C
Send when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)
Price of this fill
If Tag 442 (MultiLegReportingType) is 2 (Leg), the value represents the price at which a leg of the spread filled. The message’s Instrument Component identifies the filled leg.
6
AvgPx
PRICE
C
Send when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)
Average price of all fills on this order
The value is calculated as follows:
If order has no fills, TT FIX sends 0 in this tag.
If the order has fills, TT FIX sends the sum over all fill execution reports of the product of Tag 32 (LastShares) and Tag 31 (LastPx) divided by the Tag 14 (CumQty).
If Tag 442 (MultiLegReportingType) is 2 (Leg), TT FIX sends the average price at which the leg filled.
60
TransactTime
UTCTIMESTAMP
Y
Time, in UTC, the transaction occurred.
151
LeavesQty
QTY
Y
Number of contracts that are still working in the market
Possible values include:
Value of (Tag 38 (OrderQty) – Tag 14 (CumQty)), if the order is still in the market
0, otherwise
Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contracts that are still working for the leg of the specified strategy.
14
CumQty
QTY
Y
Total number of contracts that have filled over the life of this order
The value always equals the sum of the Tag 32 (LastShares) of all fill execution reports received for this order, including this one.
Note: If Tag 442 (MultiLegReportingType) is 2 (Leg), this value represents the total number of contacts that have filled for the leg of the specified strategy.
442
MultiLegReportingType
CHAR
Y
Indicates what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.)
Possible values:
1: Single security
2: Individual leg of multi-leg security
3: Parent of multi-leg security (summary fill)
75
TradeDate
LOCALMKTDATE
C
Send when Tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill)
Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).
Instrument
Y
Instrument associated with this message. For additional information about this component group, consult the full documentation.
48
SecurityID
STRING
Y
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
Trader
Y
Information about the trader routing the order.
For additional information about this component group, consult the full documentation.
1
Account
STRING
Y
Order-routing account
528
OrderCapacity
CHAR
Y
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])
582
CustOrderCapacity
INT
Y
Capacity of customer placing the order
Primarily used by futures exchanges to indicate the CTICode (customer
type indicator) as required by the US CFTC (Commodity Futures Trading
Commission).
Possible values:
1: Member trading for own account
2: Clearing Firm trading for its proprietary account
3: Member trading for another member
4: All other
44
Price
PRICE
C
Send when Tag 40 (OrdType) is one of the following:
2: Limit
4: Stop Limit
W : Limit If Touched (LIT)
p : Limit (post-only)
Order price
99
StopPx
PRICE
C
Send when Tag 40 (OrdType) is one of the following:
3: Stop
4: Stop Limit
Trigger price for a stop order.
110
MinQty
QTY
C
Send for Minimum Volume (MV) orders
Minimum quantity for a Minimum Volume (MV) order
1138
DisplayQty
QTY
C
Send for disclosed quantity orders
Quantity to disclose for a disclosed quantity (Iceberg) order
38
OrderQty
QTY
Y
Total order quantity
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)
J: Market If Touched (MIT))
W: Limit If Touched (LIT)
p : Limit (post-only)
77
OpenClose
CHAR
Y
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
Y
How long an order remains active
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
Send when tag 59 (TimeInForce) = 6 (Good Till Cancel)
Date a Good Till Date order expires
8016
TradingVenueRegulatoryTradeID
STRING
C
Available only when included on the Execution Report provided to TT by the external counterparty.
Code assigned by the trading venue to the transaction pursuant to Article 12 of RTS on the maintenance of relevant data relating to orders in financial instruments, (a/k/a Trading Venue Transaction ID Code or TV TIC).
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.
18233
BrokerRoute
STRING
N
This tag will be populated only on FIX Order Gateway orders, and only if a value is defined for the ‘Route’ parameter under a FIX Order Gateway connection in TTUS.
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 Execution Report (8) message is used to respond to a successful order
request, a fill, or an unsolicited order change.
