For additional information about this component group, consult the documentation.
35=X (MsgType)
8
BeginString
STRING
Y
FIX protocol version
The tag indicates the beginning of a new message.
This tag must be the first tag in the message.
You must set the value to FIX.4.2 or FIX.4.4.
9
BodyLength
INT
Y
Message length (in characters)
The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35
MsgType
STRING
Y
Type of message contained in the message body
This tag must appear third in the list of header tags.
Possible values:
0: Heartbeat
1: Test Request
2: Resend Request
3: Reject
4: Sequence Reset
5: Logout
8: Execution Report
9: Order Cancel Reject
A: Logon
B: News
c: Security Definition Request
D: Order Single
d: Security Definition
e: Security Status Request
f: Security Status
F: Order Cancel Request
G: Order Cancel Replace Request
H: Order Status Request
Q: Don’t Know Trade (Inbound Drop Copy only)
R: Quote Request
V: Market Data Request
W: Market Data Snapshot Full Refresh
X: Market Data Incremental Refresh
Y: Market Data Request Reject
AD: Trade Capture Report Request
AE: Trade Capture Report
AQ: Trade Capture Report Request Ack
49
SenderCompID
STRING
Y
Assigned value used to identify the counterparty
56
TargetCompID
STRING
Y
Assigned value used to identify TT
34
MsgSeqNum
SEQNUM
Y
Message sequence number
43
PossDupFlag
BOOLEAN
C
Must be sent when a third-party FIX acceptor resends messages
Whether the sequence number for this message is already used
Possible values:
N: NO: Original transmission
Y: YES: Possible duplicate
97
PossResend
BOOLEAN
C
Must be sent if the message may contain information that has been sent under another sequence number.
Whether the message might contain information that has been sent under another sequence number
Possible values:
N: NO: Original transmission
Y: YES: Possible resend
122
OrigSendingTime
UTCTIMESTAMP
C
Sent when a third-party FIX acceptor resends a message
Original time of message transmission, when transmitting orders as the result of a resend request
Always expressed in UTC.
52
SendingTime
UTCTIMESTAMP
Y
Time, in UTC, the message was sent.
262
MDReqID
STRING
Y
Unique ID sent in the Market Data Request (V) message
The third party FIX acceptor must return this value in all responses associated with the initial request.
NoMDEntriesIncrementalGroup
Y
Market data entries returned
387
TotalVolumeTraded
QTY
C
Total volume traded during the current trading session for this instrument.
Note: Include only in the first item in the repeating group.
268
NoMDEntries
NUMINGROUP
Y
Number of market data entries in the message. Starts the repeating group.
279
MDUpdateAction
CHAR
Y
Specifies the type of market data update.
Note: When Tag 35 (MsgType) = X, (i.e., Market Data Incremental Refresh message), Tag 279 must be the first tag in each MDEntry repeating group.
Possible values:
0: New
1: Change
2: Delete
Instrument
C
Only required on the first entry in the group as long as following updates are for the same instrument.
Instrument associated with this message. For additional information about this component group, consult the full documentation.
48
SecurityID
STRING
Y
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
269
MDEntryType
CHAR
Y
Type of market data to request.
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
270
MDEntryPx
PRICE
Y
Price of the instrument associated with this entry. Interpret the value based on the entry type.
271
MDEntrySize
QTY
C
Required when Tag 269 (MDEntryType) contains:
0: Bid
1: Offer
2: Trade
Y: Implied bid
Z: Implied ask
Quantity associated with the related instrument.
346
NumberOfOrders
INT
C
Send when both of the following are true:
Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).
The data is available.
Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.
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
Market Data Incremental Refresh (X) messages can contain multiple New, Delete and Change actions for the same contract and MDEntryType. The TT FIX Price Gateway processes all actions in the order in which they exist in the message. Third party FIX acceptors should ensure that they logically arrange actions for processing in this manner.
