TT^® FIX Order Routing

Multileg Order Cancel/Replace (AC) [4.4] Message

Multileg Order Cancel-Replace (AC) Message

Purpose

Used to change an existing multileg order

Note: This message is valid only for FIX clients that connect to a TT FIX 4.4 session.

Message Direction

From FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

Tag #

Field Name

Req’d

Data type

Comments

Component: <Standard Header>

35=AC (MsgType)
For additional information about this component group, consult the full documentation.

Tag #	Field Name	Req’d	Data type	Comments
8	BeginString	Y	String	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	Y	int	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	Y	String	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values include: 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 V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AE: Trade Capture Report
49	SenderCompID	Y	String	ID for the FIX client, corresponding to the RemoteCompID specified for the user in TT User Setup
56	TargetCompID	Y	String	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	N	String	Unique ID for the message sender For order routing messages, this tag overrides the exchange Operator ID configured in Setup.
57	TargetSubID	C	String	Unique ID for the message receiver. Condition: 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.
116	OnBehalfOfSubID	C	String	New tag for TT Unique Trader ID The value maps to the Alias field configured for a user in Setup. Condition: Required when multiple users are associated with the account.
34	MsgSeqNum	Y	SeqNum	Message sequence number
142	SenderLocationID	N	string	Specific message originator's location (i.e. geographic location and/or desk, trader)
43	PossDupFlag	C	Boolean	Whether the sequence number for this message is already used Possible values include: Y: Possible duplicate N: Original transmission Condition: Must send when a FIX client resends messages Note: If 43=Y is present, TT will reject New Order Single (D), Order Cancel/Replace Request (G), New Order Multileg (AB), and Multileg Order Cancel/Replace (AC) messages with a Business Message Reject (j) message.
122	OrigSendingTime	C	UTCTimestamp	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC. Condition: Required for resent messages
52	SendingTime	Y	UTCTimestamp	Time, in UTC, the message was sent.

OrderId

string

Internal TT order key assigned to all orders submitted through any TT software. The value remains constant for the life of an order.

Condition: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

> 18218

TTCustomerName

String

New tag for TT

The Order Profile applied to the TT account.

Can be used by FIX clients to specify the User Setup Order Profile name to be applied to a new order / change order message.

If the successful lookup includes an Order Profile, the profile name is copied to Tag 18218, TT Customer Name.

16116

OrderIDGUID

int

TT order ID

This tag is populated with the regular TT order ID when a shortened ID is sent in tag 37 (OrderID).

Condition: Sent only when the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application.

OrigClOrdId

string

Original order ID. Equal to the current value of Tag 11 (ClOrdID) of the order that this message modifies.

Note: Tag 11 (ClOrdID) of an order can change over time.

ClOrdID

String

New ID for the canceled order. This value must be unique since the TT FIX session reset.

Account

String

Order-routing account

TransactTime

UTCTimestamp

Time, in UTC, the transaction occurred with microsecond precision.

For example:

Millisecond precision: 60=20170509-22:34:56.881
Microsecond precision: 60=20170509-22:34:56.881321

Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

207

SecurityExchange

Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify the exchange that offers the security.

Possible values include:

AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
CBOE
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
MOEX
MX
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

Condition: Required only when price conversion based on symbol mappings is needed.

Note: Sent for drop copy order messages, with Tag 16566 (DropCopyOrder) = Y.

100

ExDestination

Exchange

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.

Condition: Sent for drop copy order messages, with Tag 16566 (DropCopyOrder) = Y.

167

SecurityType

String

Asset class of the instrument.

Possible values include:

FUT: future
MLEG: multi-leg
OPT: option
SPOT: EEX spot products
CUR: currency
TBOND: treasury bond
CS: common stock
NONE: No security type (Not valid for 35=c, e or V)

Condition: Required only when price conversion based on symbol mappings is needed.

Symbol

String

Exchange-provided product symbol for the tradable product.

When tag 54 (Side) is B or C, set 55=NA; the values in tag 600 (LegSymbol) and tag 624 (LegSide) in the LegInstrument group are used instead.

Condition: Required only when price conversion based on symbol mappings is needed.

Component: <SecurityAltIDGrp>

Instrument associated with this message. For additional information about this component group, consult the full documentation.

Tag #	Field Name	Req'd	Data type	Comments
454	NoSecurityAltID	C	int	Replaces 7.X tag 10454 (NoSecurityAltID) Number of alternate security IDs contained in this repeating group Condition: Sent when there are one or more alternate security IDs
> 455	SecurityAltID	Y	String	Replaces 7.X tag 10455 (SecurityAltID) Alternate ID for an instrument or security, typically for display purposes.
> 456	SecurityAltIDSource	C	String	Replaces 7.X tag 10456 (SecurityAltIDSource) Identifies class or source of the SecurityAltID (455) value. Possible values include: 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.) A: Bloomberg Code S: OpenFIGI ID Note: 99 (Other) is not valid for order routing requests. 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 Condition: Sent when tag 455 (SecurityAltId) is sent

Component: <LegInstrumentGrp>

Group

Repeating group of legs in a multileg instrument

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).

Condition: Required when the value of tag 167 (SecurityType) is MLEG for New Order Single (D) and Order Cancel/Replace Request (G) messages.

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.

Tag #

Field Name

Req'd

Data type

Comments

555

NoLegs

String

Replaces 7.X tag 146 (NoRelatedSym)

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

Replaces 7.X tag 308 (UnderlyingSecurityExchange)

Multi-leg instrument's individual security's SecurityExchange.

Possible values include:

AGGREGATOR
ALGO
ASE
ASX
B3
BitMEX
BrokerTec
CBOE
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
MOEX
MX
MX
NDAQ_EU
NFI
NFX
OSE
SGX
TFEX
TFX
TOCOM

Condition: 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.

> 18100

LegExDestination

Exchange

New tag for TT

Execution destination for the leg 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.

Condition: Required when both of the following are true.

The leg instrument trades on a different exchange that the parent instrument.
Both Tag 616 (LegSecurityExchange) and Tag 602 (LegSecurityId) are absent.

> 602

LegSecurityId

String

Replaces 7.X tag 309 (UnderlyingSecurityID)

TT security ID that uniquely identifies the instrument in the TT platform.

Condition: 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 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 603 (LegSecurityIDSource) must uniquely identify an instrument in the TT platform.

> 603

LegIDSource

String

Replaces 7.X tag 309 (UnderlyingSecurityID)

Multileg instrument's individual security's SecurityIDSource.

Condition: Required when Tag 18100 (LegExtDestination) and Tag 616 (LegSecurityExchange) are absent.

Note: The combination of this tag and tag 602 (LegSecurityId) must uniquely identify an instrument in the TT platform.

> 600

LegSymbol

String

Replaces 7.X tag 311 (UnderlyingSymbol)

Multi-leg instrument's individual security's Symbol.

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.

> 608

LegCFICode

String

Multileg instrument's individual security's CFICode (tag 461).

See CFICode (461) field for description

> 620

LegSecurityDesc

String

Leg security description.

> 607

LegProduct

String

Multileg instrument's individual security's product.

Possible values include:

1: Agency
2: Commodity
3: Corporate
4: Currency
5: Equity
6: Government
7: Index
8: Loan
9: Money market
10: Mortgage
11: Municipal
12: Other
13: Financing
14: Energy

> 609

LegSecurityType

String

Replaces 7.X tag 310 (UnderlyingSecurityType)

Multi-leg instrument's individual security's SecurityType.

Possible values include:

FUT: Future
MLEG: Multi-leg
OPT: Option
SPOT: EEX spot products
TBOND: Treasury bond
CS: Common stock
NONE: No security type (Not valid for 35=c, e or V)

> 764

LegSecuritySubType

String

Replaces 7.X tag 310 (UnderlyingSecurityType)

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

> 610

LegMaturityMonthYear

MonthYear

Replaces 7.X tag 313 (UnderlyingMaturityMonthYear)

Multi-leg instrument's individual security's MaturityMonthYear

> 611

LegMaturityDate

LocalMktDate

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDate.

> 18314

LegMaturityDay

DayOfMonth

Replaces 7.X tag 314 (UnderlyingMaturityDay)

Multi-leg instrument's individual security's MaturityDay.

> 612

LegStrikePrice

Price

Replaces 7.X tag 316 (UnderlyingStrikePrice)

Multi-leg instrument's individual security's StrikePrice.

> 1358

LegPutOrCall

int

Replaces 7.X tag 315 (UnderlyingPutOrCall)

Whether the option represents a put or call

Possible values include:

0: Put
1: Call

Condition: Required when Tag 609 (LegSecurityType) is OPT

> 624

LegSide

char

Replaces 7.X tag 16624 (LegSide)

The side of this individual leg (multi-leg security).

Possible values include:

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

Qty

Replaces 7.X tag 319 (RatioQty)

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.

> 556

LegCurrency

Currency

Replaces 7.X tag 318 (UnderlyingPutOrCall)

Currency associated with a particular leg's price

> 561

Roundlot

Qty

Replaces 7.X defined custom tag 16461 (LotSize)

The trading lot size of a security.

> 566

LegPrice

Price

Replaces 7.X tag 10566 (LegPrice)

Price of the leg for a multi-leg instrument

> 687

LegQty

Qty

Quantity of this leg.

> 654

LegRefID

string

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

Execution price assigned to a leg of a multileg instrument.

> 18224

LegContractYearMonth

char

Contract term of the underlying instrument in the form, YYYYMMM

> 18212

LegDeliveryTerm

char

Replaces 7.X tag 18212 (UnderlyingContractTerm)

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 include:

A: Same day
B: Balance 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

Condition: Required when both of the following are true:

The Security Definition indicates it is required.
The delivery term is not monthly.

> 18213

LegDeliveryDate

LOCALMKTDATE

New tag for TT

Date for contract delivery

Condition: Sent when available

> 1366

LegAllocID

String

Identifier assigned to a leg of a multi-leg trade for ASX clearing purposes (clearing deal number).

Condition: Sent when provided by the exchange.

> 16568

LegAvgPx

Price

The average (mean) price for the legs of a spread.

This value will be populated on Summary Spread Fill Execution Reports.

Component: <LegSecurityAltIDGrp>

Group

Repeating group of security alt IDs for legs in a multileg instrument. For additional information about this group, consult the full documentation.

Tag #	Field Name	Req'd	Data type	Comments
604	NoLegSecurityAltID	C	int	Replaces 7.X tag 146 (NoRelatedSym) Number of alternate leg security IDs contained in this repeating group Condition: Sent when there are one or more alternate leg security IDs
> 605	LegSecurityAltID	Y	String	Replaces 7.X tag 10456 (UnderlyingSecurityAltID) Alternate ID for an instrument or security, typically for display purposes.
> 606	LegSecurityAltIDSource	Y	String	New tag for TT Class or source of the LegSecurityAltID (605) value. Possible values include: 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 S: OpenFIGI ID

Component: <LegFillsGrp>

Group

Repeating group of fills for this leg instrument.

Condition: Only used in Execution Report (8) messages when the FIX client is connected to a TT FIX 4.4 session.

Tag #	Field Name	Req'd	Data type	Comments
16120	LegNoFills	C	NumInGroup	Number of partial leg fills included in an Execution Report Condition: 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. Note: Only sent if the FIX client is connected to a TT FIX 4.4 session.
> 16121	LegFillExecID	C	String	Unique identifier of leg execution as assigned by sell-side (broker, exchange, ECN). The ID must not overlap tag 17 (ExecID). Condition: Sent when tag 16120 > 0
> 16122	LegFillPx	C	Price	Price of this leg fill Condition: Sent when tag 16120 > 0
> 16123	LegFillQty	C	Qty	Quantity of this leg fill Condition: Sent when tag 16120 > 0
> 16124	LegFillTradingVenueRegulatoryTradeID	C	String	Trading Venue transaction identification code of this leg fill Condition: Sent if available when tag 16120 > 0
> 16125	LegFillLastLiquidityIndicator	N	int	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 include: 1: Added liquidity 2: Removed liquidity

202

StrikePrice

Price

Stirke price for an option

Condition: Required when Tag 167 (SecurityType) is OPT and when price conversion based on symbol mappings is needed.

ExecInst

MultipleStringValue

Order execution instructions

Possible values include:

2: Work (default)
6: Participate don't initiate
G: All or none
S: Suspend
o: Cancel on connection loss (valid only for New Order Single (D) and New Order Multileg (AB) messages)
q: Release from suspension
X: Test request

Note: If you submit multiple values that include an unsupported value, TT FIX will choose the appropriate supported value.

To submit an updated order in “held” status, set this tag value to S. To restart a held order, set this tag value to q.

Condition: Required when submitting a hold order

Price

Limit price for limit orders

Condition: Required when Tag 40 (OrdType) is:

2: Limit
4: Stop Limit

StopPx

Price

Trigger price for a stop order

Condition: Required when Tag 40 (OrdType) is:

4: Stop Limit
K: Market With Leftover as Limit

OrdQty

Qty

Total order quantity

110

MinQty

Qty

Minimum quantity for a Minimum Volume (MV) order

Condition: Required for Minimum Volume (MV) orders

1138

DisplayQty

Qty

Sum of working quantities of child orders.

Side

char

Side of the order

Possible values include:

1: Buy
2: Sell
3: Buy minus
4: Sell plus
5: Sell short
6: Sell short exempt
7: Undisclosed
8: Cross
9: Cross short
B: As Defined (FIX 4.4 only)
C: Opposite (FIX 4.4 only)

Note: If 54=B or 54=C, the value in tag 55 (Symbol) is ignored. Instead, the instrument and order side are determined by the tag 600 (LegSymbol) and tag 624 (LegSide) values in the LegInstrument group.

OrdType

char

Order type

Possible values include:

1: Market
2: Limit
3: Stop
4: Stop Limit
5: Market On Close (MOC)
8: Cross Order
B: Limit On Close (LOC)
J: Market If Touched (MIT)
K: Market with Leftover as Limit
Q: Market Limit Market (MLM) with Leftover as Limit
S: Stop Market to Limit
T: Market to Limit (without Limit Price) If-Touched
U: Market to Limit If Touched (MLM-IT)
V: Market Close Today (reserved for future use)
W: Limit Close Today (reserved for future use)
p: Limit (post-only)

OpenClose

char

Whether the order opens or closes a position

Possible values include:

O: Open (default, if unspecified)
C: Close
F: FIFO - first in, first out (currently supported only for specific exchanges including INE,CZCE,DCE,SHFE,CHFFE.)

TimeInForce

char

How long an order remains active

Possible values include:

0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

432

ExpireDate

LocalMktDate

Date a Good Till Date order expires

Condition: Required when Tag 59 (TimeInForce) = 6 (Good Till Date)

1028

ManualOrderIndicator

char

Whether the order is sent manually or through automated trading logic.

Possible values include:

Y: Manual
N: Automated

Default value is N if the tag is omitted.

1385

ContingencyType

int

Type of contingency

Possible values include:

0: Day (default, if not specified)
1: Good Till Cancel (GTC)
2: At The Opening (OPG)
3: Immediate or Cancel (IOC)
4: Fill Or Kill (FOK)
5: Good Till Crossing
6: Good Till Date
7: At the Close
8: Good through Crossing
9: At Crossing
A: Auction
V: Good in Session
W: Day Plus
X: Good Till Cancel Plus
Y: Good Till Date Plus

For more information about TIFs supported by exchanges, refer to Supported Order Types and TIFs in the Setup help.

142

SenderLocationId

REQD

string

Specific message originator's location (i.e. geographic location and/or desk, trader)

HandlInst

int

Order handling instructions.

Possible values include:

1: Automated execution order, private, no broker intervention
2: Automated execution order, public, broker intervention OK
3: Staged order, broker intervention required

Condition: Required when submitting a staged order

1031

CustOrderHandlingInst

int

Simplified Execution Source Code as defined by FIA. Identifies the execution method used for Exchange Traded Derivative trades at point of origin, allowing executing and clearing brokers to easily reference the appropriate brokerage rate for the execution method.

Possible values include:

C: Vendor-provided Platform billed by Executing Broker
G: Sponsored Access via Exchange API or FIX provided by Executing Broker
H: Premium Algorithmic Trading Provider billed by Executing Broker
H: Other, including Other-provided Screen
W: Desk
Y: Electronic (default)

Condition: If required by the exchange, this tag is also required. For more information, consult the exchange documentation.

Note: This tag is also included in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

16106

StagedOrderMsg

string, 256 character maximum

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order.

Note: Valid only for staged orders (Tag 21 (HandlInst)=3)

Text

String

Additional information for the person who works the order

16999

ClearingAccountOverride

String

Overrides the clearing account defined in the Setup application for the user's account named in Tag 1.

16556

TextA

String

Value corresponding to the Text A field in TT widgets

16557

TextB

String

Value corresponding to the Text B field in TT widgets

16558

TextTT

String

Value corresponding to the Text TT field in TT widgets

16559

TextC

String

Customer-defined text field not sent to exchange.

Component: <StrategyParametersGrp>

Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.

For additional information about this component group, consult the full documentation.

Component: <StrategyParametersGrp>

Tag #	Field Name	Req'd	Data type	Comments
957	NoStrategyParameters	N	NumInGroup	Repeating group of parameters for the algo or the free-form text fields to attach to the order
> 958	StrategyParameterName	C	String	Name of the algo parameter or free-form text field TT uses the following parameter names to support TT order types: Algo Name Algo Type AutoResubExpiredGTD BracketOrderType BracketStopLimitOffset ChildTIF DiscVal DiscValType Duration DurationBaseUnit DurationSTime DurationETime EffectiveTime ETimeAct ExpireTime Interval IsTrlTrg LeftoverAction LeftoverTicks LeftoverTimeAction LimitPriceType LimitTicksAway OcoStopTriggerPrice Payup ParentTIF ProfitTarget RetryCount RetryInterval StopLimitOffset StopOrderType StopTarget TriggerLTPReset TriggerPriceType TriggerQty TriggerQtyCompare TriggerQtyType TriggerTicksAway TriggerType TTStopIsTrlTrigger TTStopLimitPriceType TTStopPayup TTStopSecondConditionIsOn TTStopSecondConditionIsTrlTrg TTStopSecondTriggerPriceType TTStopSecondTriggerQty TTStopSecondTriggerQtyCompare TTStopSecondTriggerQtyType TTStopSecondTriggerTicksAway TTStopTriggeredOrderPrice TTStopTriggeredOrderType TTStopTriggerLTPReset TTStopTriggerPriceType TTStopTriggerQty TTStopTriggerQtyCompare TTStopTriggerQtyType TTStopTriggerTicksAway TTStopWithATick TTStopWithATickType Variance WithATick WithATickType Note: For descriptions of these strategy parameters, see Parameters and values for TT Order Types. TT uses the following parameter names to support Autospreader and Aggregator orders: Aggregator Name Spread Name TT uses the following parameter names to support TT free-form text fields: Text A (Corresponds to the Text A field in TT widgets) Note: Some exchanges use sMemo instead of TextA. Text B (Corresponds to the Text B field in TT widgets) Text TT: (Corresponds to the Text TT field in TT widgets) For custom or third-party algos, the name must match the name specified by the algo. Condition: Required when tag 957 > 0
> 959	StrategyParameterType	C	Int	Type of data contained in tag 960 (StrategyParameterValue) Possible values include: 1: Int 6: Float 7: Qty 13: Boolean 14: String 19: UTCTimestamp Condition: Required when tag 957 > 0
> 960	StrategyParameterValue	C	String	Value of the parameter or additional order information Condition: Required when tag 957 > 0

528

OrderCapacity

char

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Order Tag Defaults in Setup.

Possible values include:

A: Agency (maps to [AOTC])
G: Proprietary (maps to [AOTC])
I: Individual (maps to [AOTC])
P: Principal (maps to [DEAL])
R: Riskless Principal (maps to [MTCH])
W: Agent for Other Member (maps to [AOTC])

Condition: Required for exchanges subject to MiFID II regulations.

18221

CompanyID

String

TT-defined name of the firm that sent the message to the exchange

18227

Organization

String

User-defined name of the trader's organization.

16566

DropCopyOrder

char

Indicates the message is a drop copy order message (35=D,F or G) or a pending execution report (35=8, 150=6, A or E). This tag is generated by TT FIX Adapter to provide a complete audit trail for the order.

Condition: Sent only for Drop Copy FIX Adapter sessions with the Compliance Feed (Send original order/cancle/change messsages and pending execution reports) option is enabled in Setup. When sent, the value of this tag will always be Y.

Note: FIX clients should not send this tag for incoming messages.

Component: <Parties Group>

Information about the entities involved in the financial transaction associated with this FIX message.

For additional information about this component group, consult the full documentation.

Component: <Parties Group>

Tag #	Field Name	Req'd	Data type	Comments
453	NoPartyIDs	N	int	New tag for TT Number of parties in the PartiesGrp repeating group
> 448	PartyID	C	String	New tag for TT Party identifier code Reserved values when 452=3 (ClientID) and 448=P (Short code): 0: Own account; no client 1: PNAL (Pending allocation) 2: AGGR (Aggregated) GU: CME give-up code (to override the Give-up code configured in Setup) SX: SGX give-up code (to override the Give-up code configured in Setup) Reserved when 452=12 (Executing trader) and 448=P (Short code): 3: NORE: Execution decision outside firm Condition: Required when NoPartyIds (453) is greater than 0.
> 452	PartyRole	C	int	New tag for TT Type or role of PartyID (tag 448) Possible values include: 1: Executing firm (formerly FIX 4.2 ExecBroker) 2: Broker of credit 3: Client id (formerly FIX 4.2 ClientID) 4: Clearing firm (formerly FIX 4.2 ClearingFirm) 5: Investor id 6: Introducing firm 7: Entering firm 8: Locate 9: Fund manager client id 10: Settlement location 11: Order origination trader 12: Executing trader (associated with Executing Firm - actually executes) 13: Order origination firm 14: Giveup clearing firm 15: Correspondant clearing firm 16: Executing system 17: Contra firm 18: Contra clearing firm 19: Sponsoring firm 20: Underlying contra firm 21: Clearing organization 22: Exchange 24: Customer account 25: Correspondent clearing organization 26: Correspondent broker 27: Buyer seller 28: Custodian 29: Intermediary 30: Agent 31: Sub custodian 32: Beneficiary 33: Interested party 34: Regulatory body 35: Liquidity provider 36: Entering trader 37: Contra trader 38: Position account 39: Contra investor id 40: Transfer to firm 41: Contra position account 42: Contra exchange 43: Internal carry account 44: Order entry operator id 45: Secondary account number 46: Foreign firm 47: Third party allocation firm 48: Claiming account 49: Asset manager 50: Pledgor account 51: Pledgee account 52: Large trader reportable account 53: Trader mnemonic (NASDAQ_EU only) 54: Sender location 55: Session id 56: Acceptable counterparty 57: Unacceptable counterparty 58: Entering unit 59: Executing unit 60: Introducing broker 61: Quote originator 62: Report originator 63: Systematic internaliser 64: Multilateral trading facility 65: Regulated market 66: Market maker 67: Investment firm 68: Host competent authority 69: Home competent authority 70: Competent authority of the most relevant market in terms of liquidity 71: Competent authority of the transaction 72: Reporting intermediary 73: Execution venue 74: Market data entry originator 75: Location id 76: Desk id 77: Market data market 78: Allocation entity 79: Prime broker providing general trade services 80: Step out firm 81: Brokerclearingid 82: Central registration depository 83: Clearing account 84: Acceptable settling counterparty 85: Unacceptable settling counterparty 122: Investment decision maker (IDM) 200: Account code 201: Takeup firm 202: Clearing instruction 203: Customer info 204: Allocation entity ID 205: Account type 206: Giveup firm 207: MIFID ID 208: Composite MIFID ID (ICE only) 209: CTI code 210: LMA clearing account 211: Authorized trader ID (ICE only) 212: Frequent trader ID (CFE only) 213: User (TFEX only) 214: Member(TFEX only) 215: Trading member(TFEX only) 216: Clearing member(TFEX only) 217: Acting user(TFEX only) 218: Trader ID(TFEX only) 219: Owner type(TFEX only) 220: Routing Member ID (ICE only) 221: Give-up qualifier (This party role allows FIX orders to override the CME Give-up code configured in TTUS on FIX order messages. Set tag 448 value to "SX" when mutually offsetting to SGX. Set 448 to "GU" for all other Give-ups on CME.) 222: Algo strategy type (For TOCOM only to override the Algo Strategy Type setting configured for FIX messages in Setup. Condition: Required when NoPartyIds (453) is greater than 0.
> 2376	PartyRoleQualifier	N	char	Qualifies the PartyRole (tag 452) supplied for this PartyID (tag 448). Possible values include: 22: Algorithm 23: Firm or legal entity 24: Natural person Default values are set for this tag when PartyRole (tag 452) is one of the following: When 452=3 (Client ID), the default is 2376=23 (Firm). When 452=12 (Execution Decision Maker), the default is 2376=24 (Natural Person). When 452=122 (Investment Decision Maker), the default is 2376=24 (Natural Person). Condition: Required when NoPartyIds (453) is greater than 0.
> 447	PartyIdSource	C	char	Identifies class or source of the PartyID (448) value. Possible values include: 1: Korean investor ID 2: Taiwanese qualified investor ID (QFII FID) 3: Taiwanese trading account 4: Malaysian central depository 5: Chinese investor ID 6: UK national insurance or pension number 7: US social security number 8: US employer or tax ID number 9: Australian business number A: Australian tax file number B: BIC C: Generally-accepted market participant identifier D: Proprietary E: ISO country code F: Settlement entity location G: MIC H: CSD participant member code I: Directed broker three-character acronym as defined in the ISITC ETC Best Practice Guidelines document P: Short code Condition: Required when NoPartyIds (453) is greater than 0.

Component: <OrderAttributesGrp>

Attributes associated with the order

Condition: Sent when available

For additional information about this component group, consult the full documentation.

Tag #	Field Name	Req'd	Data type	Comments
2593	NoOrderAttributes	N	int	New tag for TT Number of order attributes in the repeating group
> 2594	OrderAttributeType	C	int	New tag for TT Type of order attribute Valid values include: 2: Liquidity provision activity order 3: Commodity Derivative Indicator (risk reduction) order 4: Algorithmic order Condition: Required when OrderAttributeGrp (2593) is greater than 0.
> 2595	OrderAttributeValue	C	String	New tag for TT Value of order attribute Valid values include: Y: True/Yes N: False/No Condition: Required when OrderAttributeGrp (2593) is greater than 0.

16117

OrderSource

int

TT component that most recently acted on an active order.

Possible values include:

0: ASE
2: NTW
3: Invalid
4: TT Trader
6: Mobile
7: ROE
9: External
10: TT FIX
11: Aggregator
12: Bouncer
13: Lambda Liquidator
14: External FIX Adapter
15: Prime ASE
16: Nimbus
17: ADL
18: TTSDK
19: TT Algo
20: ADL Prime
21: TTSDK Prime
22: TT Algo Prime
23: Chart
24: TTD
25: TTD Chart
26: TTINT
27: TT Admin
28: TT .NET API client
29: TT .NET API server
30: C++ API
31: TT Options Risk
32: External upload

Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

7928

SelfMatchPreventionID

int

Exchange-registered identifier that enables customers to prevent the matching of orders for accounts with common ownership, even across different executing firms.

8000

SMPInstruction

int

Instruction provided to the exchange as to whether to cancel the resting or incoming (aggressing) order in the event of a self-match.

Possible values include:

0: SMP Instruction type cancel resting
N: SMP Instruction type cancel aggressor
B: SMP Instruction type cancel both
M: SMP Instruction type match (ASX)
m: SMP Instruction type Not Match (ASX)
S: SMP Instruction type cancel smallest order (CBOE)
D: SMP Instruction type decrement Order quantity and Leaves quantity of the larger order/Cancel smaller order (CBOE)
d: SMP Instruction type decrement Leaves quantity only. Do not restate Order quantity (CBOE)

Note: This tag is valid only when tag 7928 (SelfMatchPreventionID) is also provided.

16112

NoLinks

int

Number of links contained in this repeating group

Condition: Sent only for FIX Drop Copy OUT sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled for the session in TT Setup. The tag is ignored if sent on FIX Order Routing sessions.

> 16113

LinkID

String

An identifier used to distinguish that this is a child order or fill that came from an synthetic parent order. Child orders and fills that came from the same parent order will have the same LinkID.

Note: If the Send Staged / Synthetic Child order / fill message setting is enabled for the FIX session in the Setup application, this tag will contain a shortened ID.

Condition: Sent when tag 16112 > 0

> 16114

LinkType

char

The kind of link. This identifies the relationship between the child orders and fills and the parent order.

Possible values include:

7: Staged child order ID
P: Parent order ID
X: Position transfer ID

Condition: Sent when tag 16112 > 0

16601

EchoDC_01

String