For additional information about this component group, consult the documentation.
35=V (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.
34
MsgSeqNum
SEQNUM
Y
Message sequence number
43
PossDupFlag
BOOLEAN
C
Must send when a FIX client resends messages
Whether the sequence number for this message is already used
Possible values:
N: NO: Original transmission
Y: YES: Possible duplicate
122
OrigSendingTime
UTCTIMESTAMP
C
Required for resent messages
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.
57
TargetSubID
STRING
C
If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.
Unique ID for the message receiver.
262
MDReqID
STRING
Y
Unique ID for this request. TT FIX returns this ID in all responses to the request.
263
SubscriptionRequestType
CHAR
Y
Type of request.
Possible values:
0: Snapshot
1: Snapshot plus updates (subscribe)
2: Disable previous (unsubscribe)
Notes:
For Snapshot subscriptions, updates are delivered at one-second intervals or greater.
For Snapshot plus updates subscriptions, updates are delivered at 100-millisecond intervals or greater.
264
MarketDepth
INT
C
Required when Tag 263 (SubscriptionRequestType) is 0 or 1.
Market depth to return in a snapshot.
You can also set Tag 264 equal to the desired level of depth. For example, setting 264=5 provides only first 5 levels of market depth.
Possible values:
0: Full book
1: Top of book
265
MDUpdateType
INT
C
Required when Tag 263 (SubscriptionRequestType) is 1.
Type of messages TT FIX sends when updating market data.
Restrictions: Incremental Refresh updates are coalesced at (100) milliseconds; Full Refresh updates are coalseced at (1) second.
Uncoalsesced data is available by special request and requires dedicated infrastructure and additional service fees. Contact TT for more information.
Possible values:
0: Full refresh
1: Incremental
266
AggregatedBook
BOOLEAN
N
Whether FIX should send aggregated book entries.
TT currently supports only Y. It always sends aggregated book entries, even if this tag is omitted.
Possible values:
N: No
Y: Yes
267
NoMDEntryTypes
NUMINGROUP
Y
Number of different Tag 269 (MDEntryType) fields in the request.
269
MDEntryType
CHAR
Y
Type of market data to request.
The number of tag 269 tags must match the value of tag 267 (NoMDEntryTypes).
Note: When Tag 35 (MsgType) = V, (i.e., Market Data Request) or Tag 35 (MsgType) = X, (i.e., Market Data Snapshot), Tag 269 must be the first tag in each MDEntry repeating group.
Possible values:
0: Bid
1: Ask
2: Trade
4: Opening price
5: Closing price
6: Settlement price
7: Trading session high price
8: Trading session Low price
9: VWAP price (Spot energy products only)
A: Imbalance (B3 Auction and Pre-Open market states only)
B: Trade volume
J: Empty book
L: Leg trade
Y: Implied bid
Z: Implied ask
m: OTC trade (New for TT FIX)
n: Market bid (B3 Auction and Pre-Open market states only)
o: Market ask (B3 Auction and Pre-Open market states only)
p: Indicative open
q: Indicative close
r: Indicative bid
s: Indicative ask
t: Indicative settlement
u: Exchange sending time
v: Exchange transaction time
w: Exchange sequence number (TT internal only)
x: Last traded
146
NoRelatedSym
NUMINGROUP
Y
Number of underlying instruments contained in this repeating group.
Instrument
Y
Instrument associated with this message. For additional information about this component group, consult the full documentation.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
48
SecurityID
STRING
Y
ID of the instrument.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
Name 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.
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.
100
ExDestination
EXCHANGE
C
Sent when available for FIX 4.2 sessions
Name of the sub-market where the instrument trades.
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.
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.
30
LastMkt
EXCHANGE
C
Sent when available for FIX 4.4 sessions
Market of execution for last fill, or an indication of the market
where an order was routed.
ISO 10383 defines a comprehensive list of MIC codes.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
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.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
167
SecurityType
STRING
Y
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
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.
167
SecurityType
STRING
Y
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)
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.
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.
107
SecurityDesc
STRING
N
Security description.
454
NoSecurityAltID
NUMINGROUP
Y
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
Y
Identifies class or source of the SecurityAltID (455) value.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
200
MaturityMonthYear
MONTHYEAR
C
Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
200
MaturityMonthYear
MONTHYEAR
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
541
MaturityDate
LOCALMKTDATE
C
Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.
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.
541
MaturityDate
LOCALMKTDATE
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
205
MaturityDay
DAYOFMONTH
C
Required when multiple contracts exist for the same month
Day of expiration for the instrument.
TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.
Whenever possible, tag 200 will match the Month & Year shown in TT Market Explorer, not the tag 541/Maturity Date field. In those cases where the MonthYear does not match, the value in tag 205 will be the day from tag 541, not necessarily the day associated with tag 200 MonthYear.
Range: 1-31
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
205
MaturityDay
DAYOFMONTH
C
Sent when multiple contracts exist for the same month
Day of expiration for the instrument.
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18211
DeliveryTerm
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 instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
18211
DeliveryTerm
CHAR
C
Sent when the delivery term is not monthly
Term of delivery for the instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
743
DeliveryDate
LOCALMKTDATE
N
Date for contract delivery
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.
743
DeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
64
SettlDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = FOR or NDF
Settlement date
9020
FixingDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = NDF
Fixing date
9032
ReportingParty
BOOLEAN
C
Sent when tag 167 (SecurityType) = NDF
Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.
9012
IsFirm
INT
C
Sent when tag 167 (SecurityType) = FOR or NDF
Indicates the type of quote that was crossed.
Possible values:
1: Firm
2: Last Look
201
PutOrCall
INT
C
Required when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
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.
Possible values:
0: Put
1: Call
201
PutOrCall
INT
C
Sent when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
Possible values:
0: Put
1: Call
202
StrikePrice
PRICE
C
Required when Tag 167 (SecurityType) is OPT
Strike price for an option
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.
Factor to use when multiplying prices sent from a FIX client and
dividing prices sent from TT FIX
15
Currency
CURRENCY
C
ISO-standard symbol for the instrument’s trading currency.
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.
ISO-standard symbol for the instrument’s trading currency.
70
AllocID
STRING
C
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
206
OptAttribute
CHAR
C
Required when both of the following are true:
Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.
Additional information about the option contract.
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.
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.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
For synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.
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.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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
Instrument
N
Instrument associated with this message. For additional information about this component group, consult the full documentation.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
48
SecurityID
STRING
Y
ID of the instrument.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
Name 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.
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.
100
ExDestination
EXCHANGE
C
Sent when available for FIX 4.2 sessions
Name of the sub-market where the instrument trades.
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.
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.
30
LastMkt
EXCHANGE
C
Sent when available for FIX 4.4 sessions
Market of execution for last fill, or an indication of the market
where an order was routed.
ISO 10383 defines a comprehensive list of MIC codes.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
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.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
167
SecurityType
STRING
Y
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
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.
167
SecurityType
STRING
Y
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)
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.
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.
107
SecurityDesc
STRING
N
Security description.
454
NoSecurityAltID
NUMINGROUP
Y
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
Y
Identifies class or source of the SecurityAltID (455) value.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
200
MaturityMonthYear
MONTHYEAR
C
Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
200
MaturityMonthYear
MONTHYEAR
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
541
MaturityDate
LOCALMKTDATE
C
Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.
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.
541
MaturityDate
LOCALMKTDATE
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
205
MaturityDay
DAYOFMONTH
C
Required when multiple contracts exist for the same month
Day of expiration for the instrument.
TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.
Whenever possible, tag 200 will match the Month & Year shown in TT Market Explorer, not the tag 541/Maturity Date field. In those cases where the MonthYear does not match, the value in tag 205 will be the day from tag 541, not necessarily the day associated with tag 200 MonthYear.
Range: 1-31
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
205
MaturityDay
DAYOFMONTH
C
Sent when multiple contracts exist for the same month
Day of expiration for the instrument.
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18211
DeliveryTerm
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 instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
18211
DeliveryTerm
CHAR
C
Sent when the delivery term is not monthly
Term of delivery for the instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
743
DeliveryDate
LOCALMKTDATE
N
Date for contract delivery
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.
743
DeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
64
SettlDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = FOR or NDF
Settlement date
9020
FixingDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = NDF
Fixing date
9032
ReportingParty
BOOLEAN
C
Sent when tag 167 (SecurityType) = NDF
Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.
9012
IsFirm
INT
C
Sent when tag 167 (SecurityType) = FOR or NDF
Indicates the type of quote that was crossed.
Possible values:
1: Firm
2: Last Look
201
PutOrCall
INT
C
Required when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
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.
Possible values:
0: Put
1: Call
201
PutOrCall
INT
C
Sent when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
Possible values:
0: Put
1: Call
202
StrikePrice
PRICE
C
Required when Tag 167 (SecurityType) is OPT
Strike price for an option
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.
Factor to use when multiplying prices sent from a FIX client and
dividing prices sent from TT FIX
15
Currency
CURRENCY
C
ISO-standard symbol for the instrument’s trading currency.
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.
ISO-standard symbol for the instrument’s trading currency.
70
AllocID
STRING
C
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
206
OptAttribute
CHAR
C
Required when both of the following are true:
Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.
Additional information about the option contract.
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.
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.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
For synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.
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.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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
Instrument
N
Instrument associated with this message. For additional information about this component group, consult the full documentation.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
48
SecurityID
STRING
Y
ID of the instrument.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
Name 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.
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.
100
ExDestination
EXCHANGE
C
Sent when available for FIX 4.2 sessions
Name of the sub-market where the instrument trades.
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.
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.
30
LastMkt
EXCHANGE
C
Sent when available for FIX 4.4 sessions
Market of execution for last fill, or an indication of the market
where an order was routed.
ISO 10383 defines a comprehensive list of MIC codes.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
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.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
167
SecurityType
STRING
Y
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
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.
167
SecurityType
STRING
Y
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)
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.
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.
107
SecurityDesc
STRING
N
Security description.
454
NoSecurityAltID
NUMINGROUP
Y
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
Y
Identifies class or source of the SecurityAltID (455) value.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
200
MaturityMonthYear
MONTHYEAR
C
Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
200
MaturityMonthYear
MONTHYEAR
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
541
MaturityDate
LOCALMKTDATE
C
Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.
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.
541
MaturityDate
LOCALMKTDATE
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
205
MaturityDay
DAYOFMONTH
C
Required when multiple contracts exist for the same month
Day of expiration for the instrument.
TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.
Whenever possible, tag 200 will match the Month & Year shown in TT Market Explorer, not the tag 541/Maturity Date field. In those cases where the MonthYear does not match, the value in tag 205 will be the day from tag 541, not necessarily the day associated with tag 200 MonthYear.
Range: 1-31
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
205
MaturityDay
DAYOFMONTH
C
Sent when multiple contracts exist for the same month
Day of expiration for the instrument.
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18211
DeliveryTerm
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 instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
18211
DeliveryTerm
CHAR
C
Sent when the delivery term is not monthly
Term of delivery for the instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
743
DeliveryDate
LOCALMKTDATE
N
Date for contract delivery
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.
743
DeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
64
SettlDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = FOR or NDF
Settlement date
9020
FixingDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = NDF
Fixing date
9032
ReportingParty
BOOLEAN
C
Sent when tag 167 (SecurityType) = NDF
Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.
9012
IsFirm
INT
C
Sent when tag 167 (SecurityType) = FOR or NDF
Indicates the type of quote that was crossed.
Possible values:
1: Firm
2: Last Look
201
PutOrCall
INT
C
Required when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
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.
Possible values:
0: Put
1: Call
201
PutOrCall
INT
C
Sent when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
Possible values:
0: Put
1: Call
202
StrikePrice
PRICE
C
Required when Tag 167 (SecurityType) is OPT
Strike price for an option
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.
Factor to use when multiplying prices sent from a FIX client and
dividing prices sent from TT FIX
15
Currency
CURRENCY
C
ISO-standard symbol for the instrument’s trading currency.
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.
ISO-standard symbol for the instrument’s trading currency.
70
AllocID
STRING
C
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
206
OptAttribute
CHAR
C
Required when both of the following are true:
Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.
Additional information about the option contract.
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.
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.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
For synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.
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.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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
Instrument
N
Instrument associated with this message. For additional information about this component group, consult the full documentation.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
48
SecurityID
STRING
Y
ID of the instrument.
Note: The combination of this tag and tag 22 (IDSource) must uniquely identify an instrument in the TT platform.
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.
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
22
IDSource
STRING
Y
Source for the value of tag 48 (SecurityID).
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 48 (SecurityID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
Note: The combination of this tag and tag 48 (SecurityID) must uniquely identify an instrument in the TT platform.
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.
Possible values:
4: ISIN number
5: RIC code
8: Exchange security ID
91: Ticker symbol
96: TT security ID
97: Alias
98: Name
A: Bloomberg Code
H: Clearing House (Inbound Drop Copy only)
S: OpenFIGI ID
X: Series key
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent
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
207
SecurityExchange
EXCHANGE
C
Required when Tag 100 (ExtDestination) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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
Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange symbol), 97 (Alias) or 9 (Name).
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
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.
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.
100
ExDestination
EXCHANGE
C
Required when Tag 207 (SecurityExchange) is absent
Name 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.
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.
100
ExDestination
EXCHANGE
C
Sent when available for FIX 4.2 sessions
Name of the sub-market where the instrument trades.
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.
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.
30
LastMkt
EXCHANGE
C
Sent when available for FIX 4.4 sessions
Market of execution for last fill, or an indication of the market
where an order was routed.
ISO 10383 defines a comprehensive list of MIC codes.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
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.
461
CFICode
STRING
N
Type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
ISO 10962 is maintained by ANNA (Association of National Numbering
Agencies) acting as Registration Authority.
Note: For SPOT and CUR products, you must also
specify the corresponding tag 167 (SecurityType) value.
167
SecurityType
STRING
Y
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
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.
167
SecurityType
STRING
Y
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)
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.
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.
107
SecurityDesc
STRING
N
Security description.
454
NoSecurityAltID
NUMINGROUP
Y
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
Y
Identifies class or source of the SecurityAltID (455) value.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
55
Symbol
STRING
Y
Exchange-provided product symbol for the tradable product.
When submitting multi-leg instrument, set tag 55 to “[NA]”.
When tag 54 (Side) is B or C, the value in tag 55 is ignored; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.
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.
200
MaturityMonthYear
MONTHYEAR
C
Required when Tag 541 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
200
MaturityMonthYear
MONTHYEAR
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Month and year the instrument reaches maturity in the format YYYYMM.
541
MaturityDate
LOCALMKTDATE
C
Required when Tag 200 is not specified and Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
Note: This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.
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.
541
MaturityDate
LOCALMKTDATE
C
Sent when Tag 167 (SecurityType) is not MLEG or SPOT
Maturity date in format YYYYMMDD.
205
MaturityDay
DAYOFMONTH
C
Required when multiple contracts exist for the same month
Day of expiration for the instrument.
TT FIX uses this value and tag 200 (MaturityMonthYear) to specify the maturity date when tag 167 (SecurityType) is not MLEG and tag 18211 (DeliveryTerm) is not Month.
Whenever possible, tag 200 will match the Month & Year shown in TT Market Explorer, not the tag 541/Maturity Date field. In those cases where the MonthYear does not match, the value in tag 205 will be the day from tag 541, not necessarily the day associated with tag 200 MonthYear.
Range: 1-31
Note: If included, tag 541 (MaturityDate) will override this tag.
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.
205
MaturityDay
DAYOFMONTH
C
Sent when multiple contracts exist for the same month
Day of expiration for the instrument.
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18223
ContractYearMonth
STRING
N
Contract term in the form, YYYYMM
Condition: Sent when Tag 167 (SecurityType) is not MLEG
18211
DeliveryTerm
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 instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
18211
DeliveryTerm
CHAR
C
Sent when the delivery term is not monthly
Term of delivery for the instrument.
TT FIX uses this value to identify contracts that do not have a monthly delivery term.
Note: When Tag 18211 DeliveryTerm equals any value except ‘M’, ‘Y’ or ‘Q’, then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.
Note: If you include this tag for instrument’s that do not require it, TT FIX rejects the request.
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
U: Bundle
V: Variable
W: Week
X: Custom
Y: Year
Note: The following values are only available for EPEX and Nord Pool:
a: Quarter hour
b: Half hour
c: One hour
d: Two hour
e: Four hour
f: Eight hour
g: One plus two
h: Three plus four
i: Baseload
j: Peakload
k: Overnight
l: Extended peak
743
DeliveryDate
LOCALMKTDATE
N
Date for contract delivery
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.
743
DeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
64
SettlDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = FOR or NDF
Settlement date
9020
FixingDate
LOCALMKTDATE
C
Sent when tag 167 (SecurityType) = NDF
Fixing date
9032
ReportingParty
BOOLEAN
C
Sent when tag 167 (SecurityType) = NDF
Indicates if the Execution Report recipient is the reporting party. Follows GFMA FX reporting rules.
9012
IsFirm
INT
C
Sent when tag 167 (SecurityType) = FOR or NDF
Indicates the type of quote that was crossed.
Possible values:
1: Firm
2: Last Look
201
PutOrCall
INT
C
Required when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
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.
Possible values:
0: Put
1: Call
201
PutOrCall
INT
C
Sent when Tag 167 (SecurityType) is OPT
Whether the option represents a put or call
Possible values:
0: Put
1: Call
202
StrikePrice
PRICE
C
Required when Tag 167 (SecurityType) is OPT
Strike price for an option
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.
Factor to use when multiplying prices sent from a FIX client and
dividing prices sent from TT FIX
15
Currency
CURRENCY
C
ISO-standard symbol for the instrument’s trading currency.
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.
ISO-standard symbol for the instrument’s trading currency.
70
AllocID
STRING
C
Identifier assigned to a leg of a leg fill for ASX clearing purposes
(clearing deal number).
206
OptAttribute
CHAR
C
Required when both of the following are true:
Tag 167 (SecurityType) is OPT.
A version for the underlying instrument exists.
Additional information about the option contract.
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.
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.
Notes:
99 (Other) is not valid for order routing requests.
At this time, TT does not support FIX order routing or FIX market data subscriptions using CUSIP numbers for BrokerTec Treasury securities on CME.
Note: The following markets support RIC codes (22=5) for identifying futures, spreads and options instruments in tag 455 (SecurityAltID):
ASX
DGCX
CFE
CME
EEX
EUREX
Euronext
Hkex
ICE
ICE_L
LME
MEFF
MX
OSE
SGX
TFX
TOCOM
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
Name of the market where the instrument of the SecurityAltID (455) value trades.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
For synthetic staged orders, i.e., HandlInst (21)=3 and SecurityType(167)=”Synthetic”, the TT FIX engine checks whether the instrument already exists and automatically creates the synthetic spread if the instrument does not exist.
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.
762
SecuritySubType
STRING
N
Sub-type qualification or identification of the SecurityType
For example, an instrument with SecurityType(167)=”MLEG” might use this tag to specify the name of the option or futures strategy, such as “Calendar”, “Vertical”, or “Butterfly”.
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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
1194
ExerciseStyle
INT
N
Type of exercise for a derivatives security.
Conditional: This value only sent if supported by the exchange.
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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.
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.
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.
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
624
LegSide
CHAR
N
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.
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.
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.
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.
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
556
LegCurrency
CURRENCY
N
Currency associated with a particular leg’s price
561
RoundLot
QTY
N
The trading lot size of a security.
561
RoundLot
QTY
N
The trading lot size of a security.
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
566
LegPrice
PRICE
N
Price of the leg for a multi-leg instrument
687
LegQty
QTY
N
Quantity of this leg.
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.
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.
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
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
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.
Possible values:
A: Same day
B: Balance of month
C: End of Month
D: Day
E: Weekly
H: Hour
L: Balance of week
M: Month
N: Next day
P: Pack
Q: Quarterly
S: Seasonal
T: Weekend
V: Variable
W: Week
X: Custom
Y: Year
18213
LegDeliveryDate
LOCALMKTDATE
C
Sent when available
Date for contract delivery
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).
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.
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.
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
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.
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
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.
16616
LegBloombergSecurityExchange
STRING
N
Name of the market where the instrument of the LegSecurityAltID (605) value trades.
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
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.
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
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.
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.
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).
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
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
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
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
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
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.
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).
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
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
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
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
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
18214
IncludeNumberOfOrders
CHAR
N
Whether or not to include the number of orders that comprise the quantity in aggregated depth and an indicator as to whether or not that number is exact, when the exchange provides this information.
Note: This tag is supported when tag 269 (MDEntryType) contains any of the following:
0: Bid
1: Ask
Y: Implied bid
Z: Implied ask
Possible values:
N: NO (default)
Y: YES
16959
IncludeQuotes
BOOLEAN
N
Whether or not to send Quote Request (35=R) messages for the subscribed instruments. Defaults to false if not omitted.
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 Market Data Request (V) message is used by a FIX client to request
market data information from TT FIX. You can request information like the
top of book (Bid, Ask, and session prices) and market depth data.
If the FIX Client sets Tag 263 (SubscriptionRequestType) to 0, TT FIX
sends no further messages. It does not update the market data.
If the FIX Client sets Tag 263 (SubscriptionRequestType) to 1, TT FIX
updates market data according to the setting the FIX Client uses in
Tag 265 (MDUpdateType):
If the FIX Client sets Tag 263 (SubscriptionRequestType) to 2, TT FIX
stops sending updates.
If TT FIX cannot fulfill a request for market data because the request
contains an invalid instrument, it sends a
Market Data Request Reject (Y)
message.
Note: If you submit this request for an exchange whose
Price Server is down, TT FIX also responds with a
Market Data Request Reject (Y)
message.
Some exchanges disseminate implied prices as well as direct (Bid/Ask)
prices. Trying to merge these two separate price streams can result in
crossed markets for a brief moment. TT FIX forwards all market data
updates from exchanges, so FIX clients can encounter this scenario as
well. FIX clients that subscribe for direct and implied prices should be
written to account for this possibility.
