Appendix – CrossOrders Category

Components

SideCrossLegGrp

Tag Name Req’d Description
1829 NoCrossLegs N
→654 LegRefID N Required if NoCrossLegs(1829) > 0.
→685 LegOrderQty N Quantity ordered for this leg as provided during order entry.
→690 LegSwapType N
Component LegStipulations N
→1366 LegAllocID N
Component LegPreAllocGrp N
→1817 LegClearingAccountType N Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
→564 LegPositionEffect N Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
→565 LegCoveredOrUncovered N Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
Component NestedParties3 N
→587 LegSettlType N
→588 LegSettlDate N
→675 LegSettlCurrency N
→1379 LegVolatility N
→1381 LegDividendYield N
→1383 LegCurrencyRatio N
→1384 LegExecInst N
→1689 LegShortSaleExemptionReason N Available for optional use when LegSide(624) = 6(Sell short exempt) in InstrumentLeg component.

SideCrossOrdCxlGrp

Tag Name Req’d Description
552 NoSides N
→54 Side Y
→41 OrigClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
→11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526 SecondaryClOrdID N
→583 ClOrdLinkID N
→586 OrigOrdModTime N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229 TradeOriginationDate N
→75 TradeDate N
Component OrderQtyData Y
→376 ComplianceID N
→2404 ComplianceText N
→2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SideCrossOrdModGrp

Tag Name Req’d Description
552 NoSides N
→54 Side Y Required if NoSides(552) > 0.
→2102 ShortMarkingExemptIndicator N
→41 OrigClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11)
→11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526 SecondaryClOrdID N
→583 ClOrdLinkID N
Component Parties N
Component SideCrossLegGrp N
→1690 SideShortSaleExemptionReason N Available for optional use when Side(54) = 6 (Sell short exempt).
→229 TradeOriginationDate N
→75 TradeDate N
→1 Account N
→660 AcctIDSource N
→581 AccountType N
→589 DayBookingInst N
→590 BookingUnit N
→591 PreallocMethod N
→70 AllocID N Use to assign an identifier to the block of preallocations
Component PreAllocGrp N
→854 QtyType N
Component OrderQtyData Y
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→528 OrderCapacity N
→529 OrderRestrictions N
→1724 OrderOrigination N
→1725 OriginatingDeptID N
→1726 ReceivingDeptID N
→2883 RoutingArrangmentIndicator N
→1091 PreTradeAnonymity N
→582 CustOrderCapacity N
→121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
→120 SettlCurrency N Conditionally required when ForexReq(121) = Y.
→775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→1816 ClearingAccountType N
→77 PositionEffect N For use in derivatives omnibus accounting
→203 CoveredOrUncovered N For use with derivatives, such as options
→544 CashMargin N
→635 ClearingFeeIndicator N
→377 SolicitedFlag N
→659 SideComplianceID N
→962 SideTimeInForce N Specifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order.

Messages

NewOrderCross Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = s (lowercase S)
548 CrossID Y
2422 OrderRequestID N
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdModGrp Y Must be 1 or 2
1 or 2 if CrossType=1
2 otherwise
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
140 PrevClosePx N Useful for verifying security identification
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
483 TransBkdTime N A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
376 ComplianceID N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
1815 TradingCapacity N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1685 ThrottleInst N
Component StandardTrailer Y

CrossOrderCancelReplaceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = t (lowercase T)
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422 OrderRequestID N Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
548 CrossID Y CrossID for the replacement order
551 OrigCrossID Y Must match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdModGrp Y Must be 1 or 2
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
140 PrevClosePx N Useful for verifying security identification
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
483 TransBkdTime N A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
376 ComplianceID N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
1815 TradingCapacity N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1685 ThrottleInst N
Component StandardTrailer Y

CrossOrderCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = u (lowercase U)
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422 OrderRequestID N Required if provided on the order being cancelled. Echo back the value provided by the requester.
548 CrossID Y CrossID for the replacement order
551 OrigCrossID Y Must match the CrossID of previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdCxlGrp Y Must be 1 or 2
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Leg
1300 MarketSegmentID N
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
Component StandardTrailer Y

Appendix – MultilegOrders Category

Components

PreAllocMlegGrp

Tag Name Req’d Description
78 NoAllocs N
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→736 AllocSettlCurrency N
→467 IndividualAllocID N
→2727 AllocLegRefID N
Component NestedParties3 N Insert here the set of NestedParties3 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80 AllocQty N
→1752 CustodialLotID N Only used for specific lot trades.
→1753 VersusPurchaseDate N Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754 VersusPurchasePrice N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755 CurrentCostBasis N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

Messages

NewOrderMultileg Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AB
11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
2422 OrderRequestID N
526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Parties N This is party information related to the submitter of the request.
Component TargetParties N Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an identifier to the block of individual preallocations
Component PreAllocMlegGrp N Number of repeating groups for pre-trade allocation
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
1805 AuctionInstruction N
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
2676 MaximumPricePercentage N
Component ValueChecksGrp N
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
Component DisplayInstruction N
Component DisclosureInstructionGrp N Specifies instructions to disclose certain order level information in market data.
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
2704 ExDestinationType N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
54 Side Y Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
2102 ShortMarkingExemptIndicator N
Component Instrument N
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
1069 SwapPoints N For FX Swaps. Used to express the differential between the far leg’s bid/offer and the near leg’s bid/offer.
Component LegOrdGrp N Number of legs
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
854 QtyType N
Component OrderQtyData N Conditionally required when the multileg order is not for a FX Swap, or any other swaps or multilegged transaction where having OrderQty(38) is irrelevant as the amounts are expressed in the LegOrderQty(685).
40 OrdType Y
1377 MultilegModel N
1378 MultilegPriceMethod N
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
15 Currency N
1740 TradePriceNegotiationMethod N
1741 UpfrontPriceType N
1742 UpfrontPrice N Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377 SolicitedFlag N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
1080 RefOrderID N Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
1806 RefClOrdID N
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528 OrderCapacity N
529 OrderRestrictions N
1815 TradingCapacity N
1091 PreTradeAnonymity N
1390 TradePublishIndicator N
582 CustOrderCapacity N
1724 OrderOrigination N
Component OrderAttributeGrp N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq = Y.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1816 ClearingAccountType N
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
1190 RiskFreeRate N
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
563 MultiLegRptTypeReq N Indicates the method of execution reporting requested by issuer of the order.
1685 ThrottleInst N
1803 AuctionType N Conditionally required for auction orders.
1804 AuctionAllocationPct N
1819 RelatedHighPrice N
1820 RelatedLowPrice N
1821 RelatedPriceSource N
Component StandardTrailer Y

MultilegOrderCancelReplace Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AC
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422 OrderRequestID N Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
41 OrigClOrdID N ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
11 ClOrdID N Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
526 SecondaryClOrdID N
583 ClOrdLinkID N
586 OrigOrdModTime N
Component Parties N This is party information related to the submitter of the request.
Component TargetParties N Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an identifier to the block of individual preallocations
Component PreAllocMlegGrp N Number of repeating groups for pre-trade allocation
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
1805 AuctionInstruction N
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
2676 MaximumPricePercentage N
Component ValueChecksGrp N
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
Component DisplayInstruction N
Component DisclosureInstructionGrp N Specifies instructions to disclose certain order level information in market data.
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
2704 ExDestinationType N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
54 Side Y Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
2102 ShortMarkingExemptIndicator N
Component Instrument N
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
1069 SwapPoints N
Component LegOrdGrp N Number of legs
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
854 QtyType N
Component OrderQtyData N Conditionally required when the OrderQtyData component is specified in the NewOrderMultileg(35=AB) message.
40 OrdType Y
1377 MultilegModel N
1378 MultilegPriceMethod N
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
15 Currency N
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377 SolicitedFlag N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528 OrderCapacity N
529 OrderRestrictions N
1815 TradingCapacity N
1091 PreTradeAnonymity N
1390 TradePublishIndicator N
582 CustOrderCapacity N
1724 OrderOrigination N
Component OrderAttributeGrp N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq = Y.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1816 ClearingAccountType N
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
1190 RiskFreeRate N
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
522 OwnerType N
2679 OrderOwnershipIndicator N Can be used to request change of order ownership.
563 MultiLegRptTypeReq N Indicates the method of execution reporting requested by issuer of the order.
1685 ThrottleInst N
1803 AuctionType N Conditionally required for auction orders.
1804 AuctionAllocationPct N
1819 RelatedHighPrice N
1820 RelatedLowPrice N
1821 RelatedPriceSource N
Component StandardTrailer Y

Appendix – OrderMassHandling Category

Components

AffectedMarketSegmentGrp

Tag Name Req’d Description
1791 NoAffectedMarketSegments N
→1792 AffectedMarketSegmentID N Required when NoAffectedMarketSegments(1791) > 0.

AffectedOrdGrp

Tag Name Req’d Description
534 NoAffectedOrders N
→1824 AffectedOrigClOrdID N Required if NoAffectedOrders(534) > 0.
Indicates the client order id of an order affected by this request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string MANUAL.
→535 AffectedOrderID N Contains the OrderID(37) assigned by the counterparty of an affected order. Conditionally required when AffectedOrigClOrdID(1824) = MANUAL.
→536 AffectedSecondaryOrderID N Contains the SecondaryOrderID(198) assigned by the counterparty of an affected order.

NotAffectedMarketSegmentGrp

Tag Name Req’d Description
1793 NoNotAffectedMarketSegments N
→1794 NotAffectedMarketSegmentID N Required when NoNotAffectedMarketSegments(1793) > 0.

NotAffectedOrdGrp

Tag Name Req’d Description
1370 NoNotAffectedOrders N
→1372 NotAffOrigClOrdID N Required if NoNotAffectedOrders(1370) > 0 and must be the first repeating field in the group. Indicates the client order identifier of an order not affected by the request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string MANUAL.
→1371 NotAffectedOrderID N Contains the OrderID(37) assigned by the counterparty of an unaffected order. Not required as part of the repeating group if NotAffOrigClOrdID(1372) has a value other than MANUAL.
→1825 NotAffSecondaryOrderID N Contains the SecondaryOrderID(198) assigned by the counterparty of an unaffected order. Not required as part of the repeating group.
→2677 NotAffectedReason N Can be used to provide a reason for excluding this order from the scope of the mass action.

OrderEntryAckGrp

Tag Name Req’d Description
2428 NoOrderEntries N
→39 OrdStatus N Required if NoOrderEntries(2428) > 0.
→150 ExecType N Required if NoOrderEntries(2428) > 0.
→2431 ExecTypeReason N
→2429 OrderEntryAction N
→2430 OrderEntryID N Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
→11 ClOrdID N Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
→41 OrigClOrdID N ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order. Conditionally required when ClOrdID(11) is provided and message-chaining model is used.
→37 OrderID N Conditionally required when neither OrderEntryID(2430) nor ClOrdID(11) is provided.
→103 OrdRejReason N
→14 CumQty N Use to explicitly provide executed quantity.
→151 LeavesQty N Use to explicitly provide remaining quantity.
→84 CxlQty N Use to explicitly provide cancelled quantity.
→40 OrdType N
→44 Price N
→54 Side N
→59 TimeInForce N
Component OrderQtyData N
Component Instrument N

OrderEntryGrp

Tag Name Req’d Description
2428 NoOrderEntries N
→2429 OrderEntryAction N Required if NoOrderEntries(2428) > 0.
→2430 OrderEntryID N Unique order entry identification across all entries of a single message. Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
→11 ClOrdID N Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
→41 OrigClOrdID N Conditionally required when OrderEntryAction(2429) is not 1 (Add), ClOrdID(11) was provided in original order, and message-chaining model is used.
→37 OrderID N Conditionally required when OrderEntryAction(2429) is not 1 (Add) and neither OrderEntryID(2430) nor ClOrdID(11) is provided.
→40 OrdType N Conditionally required when OrderEntryAction (2429) = 1 (Add) or 2 (Modify). Only a subset of OrdType(40) values permitted that do not require additional pricing fields other than Price(44) field.
→44 Price N Conditionally required when OrdType(40) = 2 (Limit)
→54 Side N Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
→59 TimeInForce N Only subset of values permitted that do not require additional fields
Component OrderQtyData N Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
Component Instrument N Required if NoOrderEntries(2432) > 0.

TargetMarketSegmentGrp

Tag Name Req’d Description
1789 NoTargetMarketSegments N
→1790 TargetMarketSegmentID N Required when NoTargetMarketSegments(1789) > 0.

Messages

OrderMassStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AF
584 MassStatusReqID Y Unique ID of mass status request as assigned by the institution.
585 MassStatusReqType Y Specifies the scope of the mass status request
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Can be used to specify the parties to whom the Order Mass Status Request should apply.
1 Account N Account
660 AcctIDSource N
336 TradingSessionID N Trading Session
625 TradingSessionSubID N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
54 Side N Optional qualifier used to indicate the side of the market for which orders will be returned.
Component StandardTrailer Y

OrderMassActionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BZ
11 ClOrdID N ClOrdID provided on the Order Mass Action Request.
526 SecondaryClOrdID N
1369 MassActionReportID Y Unique Identifier for the Order Mass Action Report
1373 MassActionType Y Order Mass Action Request Type accepted by the system
1374 MassActionScope Y Specifies the scope of the action
2675 MassActionReason N Specifies the reason for the action taken.
1375 MassActionResponse Y Indicates the action taken by the counterparty order handling system as a result of the Action Request.
1376 MassActionRejectReason N Indicates why Order Mass Action Request was rejected
Required if MassActionResponse(1375) = 0 (Rejected).
533 TotalAffectedOrders N Optional field used to indicate the total number of orders affected by the Order Mass Action Request
2678 TotalNotAffectedOrders N Optional field used to indicate the total number of orders within the scope but not affected by the OrderMassActionRequest(35=CA).
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component AffectedOrdGrp N List of orders affected by the Order Mass Action Request.
Component NotAffectedOrdGrp N List of orders not affected by the Order Mass Action Request.
Component AffectedMarketSegmentGrp N List of market segments affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
Component NotAffectedMarketSegmentGrp N List of market segments not affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
1301 MarketID N MarketID for which orders are to be affected
1300 MarketSegmentID N MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
Component TargetMarketSegmentGrp N Mutually exclusive with MarketSegmentID(1300).
336 TradingSessionID N TradingSessionID for which orders are to be affected
625 TradingSessionSubID N TradingSessionSubID for which orders are to be affected
Component Parties N
Component TargetParties N Should be populated with the values provided on the associated OrderMassActionRequest(MsgType=CA).
Component Instrument N
Component UnderlyingInstrument N
54 Side N Side of the market specified on the Order Mass Action Request
44 Price N
60 TransactTime N Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderMassActionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CA
11 ClOrdID Y Unique ID of Order Mass Action Request as assigned by the institution.
526 SecondaryClOrdID N
1373 MassActionType Y Specifies the type of action requested
1374 MassActionScope Y Specifies the scope of the action
2675 MassActionReason N Specifies the reason for the action requested.
1301 MarketID N MarketID for which orders are to be affected
1300 MarketSegmentID N MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
Component TargetMarketSegmentGrp N List of market segments for which orders are to be affected. Mutually exclusive with MarketSegmentID(1300).
336 TradingSessionID N Trading Session in which orders are to be affected
625 TradingSessionSubID N
Component Parties N
Component TargetParties N Can be used to specify the parties to whom the Order Mass Action should apply.
Component Instrument N
Component UnderlyingInstrument N
54 Side N Can be used to filter for orders of a single instrument.
44 Price N Can be used to filter for orders of a single instrument.
60 TransactTime Y
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

MassOrder Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DJ
2423 MassOrderRequestID Y Unique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
2427 OrderResponseLevel N
1301 MarketID N
1300 MarketSegmentID N
Component Parties N This is party information related to the submitter.
1815 TradingCapacity N
1816 ClearingAccountType N
1 Account N
660 AcctIDSource N
581 AccountType N
528 OrderCapacity N
529 OrderRestrictions N
582 CustOrderCapacity N
1028 ManualOrderIndicator N
1031 CustOrderHandlingInst N
60 TransactTime N
58 Text N
354 EncodedTextLen N Must be set if EncodedText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1685 ThrottleInst N
2432 TotNoOrderEntries N Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryGrp across all messages with the same MassOrderRequestID(2423).
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component OrderEntryGrp Y
Component StandardTrailer Y

MassOrderAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType=DK
Component ApplicationSequenceControl Y For use in drop copy applications. NOT FOR USE in transactional applications.
2423 MassOrderRequestID N Unique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
2424 MassOrderReportID N Unique identifier of MassOrder(35=DJ) message as assigned by the receiver
2425 MassOrderRequestStatus Y Message level request status
2426 MassOrderRequestResult N Message level request result
2427 OrderResponseLevel N Level of response requested from receiver of MassOrder (35=DJ) message.
1328 RejectText N
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
1301 MarketID N
1300 MarketSegmentID N
Component Parties N
1815 TradingCapacity Y
1816 ClearingAccountType N
1 Account N
660 AcctIDSource N
581 AccountType N
528 OrderCapacity N
529 OrderRestrictions N
582 CustOrderCapacity N
1028 ManualOrderIndicator N
1031 CustOrderHandlingInst N
60 TransactTime N
58 Text N
354 EncodedTextLen N Must be set if EncodedRejectText(355) field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
797 CopyMsgIndicator N
2432 TotNoOrderEntries N Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryAckGrp across all messages with the same MassOrderRequestID(2423).
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component ThrottleResponse N
Component OrderEntryAckGrp N
Component StandardTrailer Y

OrderMassCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = q (lowercase Q)
11 ClOrdID Y Unique ID of Order Mass Cancel Request as assigned by the institution.
526 SecondaryClOrdID N
530 MassCancelRequestType Y Specifies the type of cancellation requested
336 TradingSessionID N Trading Session in which orders are to be canceled
625 TradingSessionSubID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
Component TargetParties N Can be used to specify the parties to whom the Order Mass Cancel should apply.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301 MarketID N Required for MassCancelRequestType = 8 (Cancel orders for a market)
1300 MarketSegmentID N Required for MassCancelRequestType = 9 (Cancel orders for a market segment)
54 Side N Optional qualifier used to indicate the side of the market for which orders are to be canceled. Absence of this field indicates that orders are to be canceled regardless of side.
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderMassCancelReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = r (lowercase R)
11 ClOrdID N ClOrdID provided on the Order Mass Cancel Request. Unavailable in case of an unsolicited report, such as after a trading halt or a corporate action requiring the deletion of outstanding orders.
526 SecondaryClOrdID N
1369 MassActionReportID Y Unique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
530 MassCancelRequestType Y Order Mass Cancel Request Type accepted by the system
531 MassCancelResponse Y Indicates the action taken by the counterparty order handling system as a result of the Cancel Request
0 – Indicates Order Mass Cancel Request was rejected.
532 MassCancelRejectReason N Indicates why Order Mass Cancel Request was rejected
Required if MassCancelResponse = 0
533 TotalAffectedOrders N Optional field used to indicate the total number of orders affected by the Order Mass Cancel Request
Component AffectedOrdGrp N List of orders affected by the Order Mass Cancel Request
Component NotAffectedOrdGrp N List of orders not affected by Order Mass Cancel Request.
336 TradingSessionID N Trading Session in which orders are to be canceled
625 TradingSessionSubID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
Component TargetParties N Should be populated with the values provided on the associated OrderMassCancelRequest(MsgType=Q).
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301 MarketID N
1300 MarketSegmentID N
54 Side N Side of the market specified on the Order Mass Cancel Request
60 TransactTime N Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Appendix – ProgramTrading Category

Components

BidCompReqGrp

Tag Name Req’d Description
420 NoBidComponents N
→66 ListID N Required if NoBidComponents > 0. Must be first field in repeating group.
→54 Side N When used in request for a Disclosed bid indicates that bid is required on assumption that SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
→336 TradingSessionID N Indicates off-exchange type activities for Detail.
→625 TradingSessionSubID N
→430 NetGrossInd N Indicates Net or Gross for selling Detail.
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→1 Account N
→660 AcctIDSource N

BidCompRspGrp

Tag Name Req’d Description
420 NoBidComponents N
Component CommissionData Y First element Commission required if NoBidComponents > 0.
→66 ListID N
→421 Country N ISO Country Code
→54 Side N When used in response to a Disclosed request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
→44 Price N Second element of price
→423 PriceType N
→406 FairValue N The difference between the value of a future and the value of the underlying equities after allowing for the discounted cash flows associated with the underlying stocks (E.g. Dividends etc).
→430 NetGrossInd N Net/Gross
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→336 TradingSessionID N
→625 TradingSessionSubID N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

BidDescReqGrp

Tag Name Req’d Description
398 NoBidDescriptors N
→399 BidDescriptorType N Required if NoBidDescriptors > 0. Must be first field in repeating group.
→400 BidDescriptor N
→401 SideValueInd N Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
→404 LiquidityValue N Value between LiquidityPctLow and LiquidityPctHigh in Currency
→441 LiquidityNumSecurities N Number of Securites between LiquidityPctLow and LiquidityPctHigh in Currency
→402 LiquidityPctLow N Liquidity indicator or lower limit if LiquidityNumSecurities > 1
→403 LiquidityPctHigh N Upper liquidity indicator if LiquidityNumSecurities > 1
→405 EFPTrackingError N Eg Used in EFP (Exchange For Physical) trades 12%
→406 FairValue N Used in EFP trades
→407 OutsideIndexPct N Used in EFP trades
→408 ValueOfFutures N Used in EFP trades

InstrmtStrkPxGrp

Tag Name Req’d Description
428 NoStrikes N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Required if NoStrikes > 0. Must be first field in repeating group.
Component UndInstrmtGrp N Underlying Instruments
→140 PrevClosePx N Useful for verifying security identification
→11 ClOrdID N Can use client order identifier or the symbol and side to uniquely identify the stock in the list.
→526 SecondaryClOrdID N
→54 Side N
→44 Price N
→15 Currency N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

ListOrdGrp

Tag Name Req’d Description
73 NoOrders N
→11 ClOrdID Y Must be the first field in the repeating group.
→526 SecondaryClOrdID N
→67 ListSeqNo Y Order number within the list
→583 ClOrdLinkID N
→160 SettlInstMode N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229 TradeOriginationDate N
→75 TradeDate N
→1 Account N
→660 AcctIDSource N
→581 AccountType N
→589 DayBookingInst N
→590 BookingUnit N
→70 AllocID N Use to assign an ID to the block of individual preallocations
→591 PreallocMethod N
Component PreAllocGrp N
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→544 CashMargin N
→635 ClearingFeeIndicator N
→21 HandlInst N
→18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
→110 MinQty N
→1089 MatchIncrement N
→1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
→100 ExDestination N
→1133 ExDestinationIDSource N
Component TrdgSesGrp N
→81 ProcessCode N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
→140 PrevClosePx N Useful for verifying security identification
→54 Side Y Note: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
→2102 ShortMarkingExemptIndicator N
→1688 ShortSaleExemptionReason N Available for optional use when Side(54) = 6(Sell short exempt).
→401 SideValueInd N Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
→114 LocateReqd N Required for short sell orders
→60 TransactTime N
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
→40 OrdType N
→423 PriceType N
→44 Price N
→1092 PriceProtectionScope N
→99 StopPx N
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
→15 Currency N
→376 ComplianceID N
→2404 ComplianceText N
→2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→377 SolicitedFlag N
→23 IOIID N Required for Previously Indicated Orders (OrdType=E)
→117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
→1080 RefOrderID N Required for counter-order selection / Hit / Take Orders (OrdType = Q)
→1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
→59 TimeInForce N
→168 EffectiveTime N
→432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
→126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
→427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
→1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
→1916 ExposureDurationUnit N
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→528 OrderCapacity N
→529 OrderRestrictions N
→1091 PreTradeAnonymity N
→582 CustOrderCapacity N
Component OrderAttributeGrp N
→121 ForexReq N
→120 SettlCurrency N
→775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→77 PositionEffect N
→203 CoveredOrUncovered N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
→847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
→494 Designation N Supplementary registration information for this Order within the List
→1028 ManualOrderIndicator N

OrdListStatGrp

Tag Name Req’d Description
73 NoOrders N
→11 ClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
→37 OrderID N
→526 SecondaryClOrdID N
→14 CumQty Y
→39 OrdStatus Y
→636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
→151 LeavesQty Y Quantity open for further execution. LeavesQty = OrderQty – CumQty.
→84 CxlQty Y
→6 AvgPx Y
→103 OrdRejReason N Used if the order is rejected
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Messages

NewOrderList Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = E
66 ListID Y Must be unique, by customer, for the day
390 BidID N Should refer to an earlier program if bidding took place.
391 ClientBidID N
414 ProgRptReqs N
394 BidType Y e.g. Non Disclosed Model, Disclosed Model, No Bidding Process
415 ProgPeriodInterval N
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message applicable to all Orders in this List.
433 ListExecInstType N Controls when execution should begin For CIV Orders indicates order of execution..
69 ListExecInst N Free-form text.
1385 ContingencyType N Used for contingency orders.
352 EncodedListExecInstLen N Must be set if EncodedListExecInst field is specified and must immediately precede it.
353 EncodedListExecInst N Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
765 AllowableOneSidednessPct N The maximum percentage that execution of one side of a program trade can exceed execution of the other.
766 AllowableOneSidednessValue N The maximum amount that execution of one side of a program trade can exceed execution of the other.
767 AllowableOneSidednessCurr N The currency that AllowableOneSidedness is expressed in if AllowableOneSidednessValue is used.
2401 ListManualOrderIndicator N
68 TotNoOrders Y Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual orders.
Component ListOrdGrp Y Number of orders in this message (number of repeating groups to follow)
1685 ThrottleInst N
Component StandardTrailer Y

ListCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = K
66 ListID Y
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
229 TradeOriginationDate N
75 TradeDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListExecute Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = L
66 ListID Y Must be unique, by customer, for the day
391 ClientBidID N Used with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
390 BidID N
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = M
66 ListID Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListStatus Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = N
66 ListID Y
429 ListStatusType Y
82 NoRpts Y Total number of messages required to status complete list.
431 ListOrderStatus Y
1385 ContingencyType N
1386 ListRejectReason N
83 RptSeq Y Sequence number of this report message.
444 ListStatusText N
445 EncodedListStatusTextLen N Must be set if EncodedListStatusText field is specified and must immediately precede it.
446 EncodedListStatusText N Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
60 TransactTime N
68 TotNoOrders Y Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component OrdListStatGrp Y Number of orders statused in this message, i.e. number of repeating groups to follow.
Component StandardTrailer Y

BidRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = k (lowercase)
390 BidID N Required to relate the bid response
391 ClientBidID Y
374 BidRequestTransType Y Identifies the Bid Request message transaction type
392 ListName N
393 TotNoRelatedSym Y
394 BidType Y e.g. Non Disclosed, Disclosed, No Bidding Process
395 NumTickets N Total number of tickets/allocations assuming fully executed
15 Currency N Used to represent the currency of monetary amounts.
396 SideValue1 N Expressed in Currency
397 SideValue2 N Expressed in Currency
Component BidDescReqGrp N Used if BidType=Non Disclosed
Component BidCompReqGrp N Used if BidType=Disclosed
409 LiquidityIndType N
410 WtAverageLiquidity N Overall weighted average liquidity expressed as a % of average daily volume
411 ExchangeForPhysical N
412 OutMainCntryUIndex N % value of stocks outside main country in Currency
413 CrossPercent N % of program that crosses in Currency
414 ProgRptReqs N
415 ProgPeriodInterval N Time in minutes between each ListStatus report sent by SellSide. Zero means don’t send status.
416 IncTaxInd N Net/Gross
121 ForexReq N Is foreign exchange required
417 NumBidders N Indicates the total number of bidders on the list
75 TradeDate N
418 BidTradeType Y
419 BasisPxType Y
443 StrikeTime N Used when BasisPxType = C
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

BidResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = l (lowercase L)
390 BidID N
391 ClientBidID N
Component BidCompRspGrp Y Number of bid repeating groups
Component StandardTrailer Y

ListStrikePrice Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = m (lowercase)
66 ListID Y
422 TotNoStrikes Y Used to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component InstrmtStrkPxGrp Y Number of strike price entries
Component StandardTrailer Y

Appendix – SingleGeneralOrderHandling Category

Components

ContraGrp

Tag Name Req’d Description
382 NoContraBrokers N
→375 ContraBroker N First field in repeating group. Required if NoContraBrokers > 0.
→337 ContraTrader N
→437 ContraTradeQty N
→438 ContraTradeTime N
→655 ContraLegRefID N

FillsGrp

Tag Name Req’d Description
1362 NoFills N
→1363 FillExecID N Unique identifier of execution as assigned by sell-side (broker, exchange, ECN).
Must not overlap ExecID(17).
Required if NoFills(1362) > 0.
→1364 FillPx N Price of this partial fill.
Required if NoFills(1362) > 0.
Refer to LastPx(31).
→1365 FillQty N Quantity (e.g. shares) bought/sold on this partial fill.
Required if NoFills(1362) > 0.
→2673 FillMatchID N Can be used to refer to the related match event.
→2674 FillMatchSubID N Can be used to refer to a price level (e.g. match step, clip) within the related match event.
→1443 FillLiquidityInd N
→1622 FillYieldType N
→1623 FillYield N
Component NestedParties4 N Contraparty information

InstrmtLegExecGrp

Tag Name Req’d Description
555 NoLegs N
Component InstrumentLeg N Required if NoLegs(555) > 0.
→685 LegOrderQty N Quantity ordered for this leg as provided during order entry.
→2346 LegMidPx N
→690 LegSwapType N Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
Component LegStipulations N
→1366 LegAllocID N
Component LegPreAllocGrp N
→2680 LegAccount N
→1817 LegClearingAccountType N Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
→564 LegPositionEffect N Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
→565 LegCoveredOrUncovered N Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
Component NestedParties3 N
→587 LegSettlType N
→588 LegSettlDate N Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
→637 LegLastPx N Used to report the execution price assigned to the leg of the multileg instrument.
→675 LegSettlCurrency N
→1073 LegLastForwardPoints N
→1074 LegCalculatedCcyLastQty N
→1075 LegGrossTradeAmt N For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier(231) is required in this case.
→1689 LegShortSaleExemptionReason N Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
→1379 LegVolatility N
→1381 LegDividendYield N
→1383 LegCurrencyRatio N
→1384 LegExecInst N
→1418 LegLastQty N Quantity executed for this leg.
→2421 FillRefID N Use to reference the partial execution of a multi-leg order to which this leg execution belongs.

NestedParties4

Tag Name Req’d Description
1414 NoNested4PartyIDs N
→1415 Nested4PartyID N Used to identify source of Nested4PartyID. Required if Nested4PartyIDSource is specified. Required if NoNested4PartyIDs > 0.
→1416 Nested4PartyIDSource N Used to identify class source of Nested4PartyID value (e.g. BIC). Required if Nested4PartyID is specified. Required if NoNested4PartyIDs > 0.
→1417 Nested4PartyRole N Identifies the type of Nested4PartyID (e.g. Executing Broker). Required if NoNested4PartyIDs > 0.
→2383 Nested4PartyRoleQualifier N
Component NstdPtys4SubGrp N

NstdPtys4SubGrp

Tag Name Req’d Description
1413 NoNested4PartySubIDs N
→1412 Nested4PartySubID N
→1411 Nested4PartySubIDType N

OrderEventGrp

Tag Name Req’d Description
1795 NoOrderEvents N
→1796 OrderEventType N Required when NoOrderEvents(1795) > 0.
→1797 OrderEventExecID N
→1798 OrderEventReason N
→1799 OrderEventPx N
→1800 OrderEventQty N
→1801 OrderEventLiquidityIndicator N
→1802 OrderEventText N

Messages

ExecutionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = 8
Component ApplicationSequenceControl N For use in drop copy applications. NOT FOR USE in transactional applications.
37 OrderID Y OrderID is required to be unique for each chain of orders.
2422 OrderRequestID N Required if provided on the order message. Echo back the value provided in the order message.
2423 MassOrderRequestID N Can be used to link execution to the MassOrder(35=DJ) message.
198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system. Can alternatively be used to convey implicit order priority.
526 SecondaryClOrdID N
527 SecondaryExecID N
11 ClOrdID N Required when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11).
In the case of quotes can be mapped to:
– QuoteMsgID(1166) of a single Quote(35=S)
– QuoteID(117) of a MassQuote(35=i).
– MassOrderReportID(2424) of a MassOrderAck(35=DK)
1166 QuoteMsgID N In the case of quotes can be mapped to:
o QuoteMsgID(1166) of a single Quote(35=S)
o QuoteID(117) of a MassQuote(35=i)
41 OrigClOrdID N Conditionally required for response to a Cancel or Cancel/Replace request (ExecType(150) = 6 (Pending Cancel, 5 (Replaced), or 4 (Canceled)) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID(11) of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
583 ClOrdLinkID N
278 MDEntryID N Reference to the MDEntryID(278) of this order or quote in the market data.
693 QuoteRespID N Required if responding to a QuoteResponse(35=AJ) message. Echo back the Initiator’s value specified in the message.
790 OrdStatusReqID N Required if responding to and if provided on the OrderStatusRequest(35=H) message. Echo back the value provided by the requester.
584 MassStatusReqID N Required if responding to a OrderMassStatusRequest(35=AF). Echo back the value provided by the requester.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
911 TotNumReports N Can be used when responding to an OrderMassStatusRequest(35=AF) to identify the total number of ExecutionReport(35=8) messages which will be returned.
912 LastRptRequested N Can be used when responding to an OrderMassStatusRequest(35=AF) to indicate that this is the last ExecutionReport(35=8) messages which will be returned as a result of the request.
Component Parties N Specifies party information related to the submitter.
Component TargetParties N Specifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229 TradeOriginationDate N
Component ContraGrp N
66 ListID N Required for executions against orders which were submitted as part of a list.
548 CrossID N CrossID for the replacement order
551 OrigCrossID N Must match original cross order. Same order chaining mechanism as ClOrdID(11)/OrigClOrdID(41) with OrderCancelReplaceRequest(35=G).
549 CrossType N
2334 RefRiskLimitCheckID N
2335 RefRiskLimitCheckIDType N Conditionally required when RefRiskLimitCheckID(2334) is specified.
880 TrdMatchID N
1891 TrdMatchSubID N
17 ExecID Y Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType(150) = I (Order Status)).
19 ExecRefID N Required for ExecType(150) = H (Trade Cancel) and ExecType(150) = G (Trade Correct).
150 ExecType Y Describes the purpose of the execution report.
2431 ExecTypeReason N Can be used to provide further detail for ExecType(150) field.
39 OrdStatus Y Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
2838 CurrentWorkingPrice N
103 OrdRejReason N For optional use with ExecType = 8 (Rejected)
1328 RejectText N Reason description for rejecting the transaction request.
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
378 ExecRestatementReason N Required for ExecType = D (Restated).
2667 AlgorithmicTradeIndicator N
828 TrdType N
829 TrdSubType N
855 SecondaryTrdType N
2347 RegulatoryTransactionType N
Component RegulatoryTradeIDGrp N
570 PreviouslyReported N
2524 TradeReportingIndicator N May be used to bilaterally inform counterparty of trade reporting status.
1 Account N Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
660 AcctIDSource N
581 AccountType N Specifies type of account
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N
Component PreAllocGrp N Pre-trade allocation instructions.
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettleType values.
Required for NDFs to specify the value date.
574 MatchType N
1115 OrderCategory N
544 CashMargin N
635 ClearingFeeIndicator N
Component Instrument Y
Component FinancingDetails N
Component UndInstrmtGrp N Number of underlyings
Component PaymentGrp N
54 Side Y
2102 ShortMarkingExemptIndicator N
1688 ShortSaleExemptionReason N Available for optional use when Side(54) = 6(Sell short exempt).
Component Stipulations N
854 QtyType N
Component OrderQtyData N Conditionally required when the OrderQtyData component is required or specified in a prior, related message.
For example, when used in a work flow including a NewOrderSingle(35=D) or NewOrderCross(35=s) message, the OrderQtyData component is a required component in these messages and thus the component is required here. When the OrderQtyData component is optional in a related message, such as the NewOrderMultileg(35=AB), the component is required here when specified in the prior, related NewOrderMultileg(35=AB) message.
1093 LotType N
40 OrdType N
423 PriceType N
Component PriceQualifierGrp N
44 Price N Required if specified on the order
1092 PriceProtectionScope N
99 StopPx N Required if specified on the order
Component TriggeringInstruction N
1823 Triggered N
Component PegInstructions N
Component DiscretionInstructions N
839 PeggedPrice N The current price the order is pegged at
1095 PeggedRefPrice N The reference price of a pegged order.
845 DiscretionPrice N The current discretionary price of the order
1740 TradePriceNegotiationMethod N
1742 UpfrontPrice N Required if specified on the order
1741 UpfrontPriceType N
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
850 TargetStrategyPerformance N For communication of the performance of the order versus the target strategy
15 Currency N
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377 SolicitedFlag N
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Time specified on the order at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireTime(126) is not specified.
126 ExpireTime N Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireDate(432) is not specified.
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
18 ExecInst N Can contain multiple instructions, space delimited.
1805 AuctionInstruction N
1057 AggressorIndicator N
528 OrderCapacity N
529 OrderRestrictions N
1815 TradingCapacity N
1934 RegulatoryReportType N
1091 PreTradeAnonymity N
1390 TradePublishIndicator N Applies to trades resulting from the order.
582 CustOrderCapacity N
Component OrderAttributeGrp N
32 LastQty N Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType(150) = F (Trade) or ExecType(150) = G (Trade Correct) unless FillsGrp or OrderEventGrp is used.
If ExecType(150) = 7 (Stopped), represents the quantity stopped/guaranteed/protected for.
1056 CalculatedCcyLastQty N Used for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType(150) = F (Trade) or G (Trade Correct) and is an FX trade.
1071 LastSwapPoints N Optionally used when ExecType(150) = F (Trade) or G (Trade Correct) and is a FX Swap trade. Used to express the swap points for the swap trade event.
652 UnderlyingLastQty N
1828 LastQtyVariance N
31 LastPx N Price of this (last) fill. Required if ExecType(150) = ExecType = F (Trade) or G (Trade Correct) unless FillsGrp or OrderEventGrp or TradePriceCondition(1839)=17 (Price is pending) or 18 (Price is not applicable) is used.
Should represent the all-in (LastSpotRate(194) + LastForwardPoints(195)) rate for F/X orders.).
If ExecType(150) = 7 (Stopped), represents the price stopped/guaranteed/protected at.
Not required for FX Swap when ExecType(150) = F (Trade) or G (Trade Correct) as there is no all-in rate that applies to both legs of the FX Swap.
651 UnderlyingLastPx N
669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx(31) is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
631 MidPx N
194 LastSpotRate N Applicable for F/X orders
195 LastForwardPoints N Applicable for F/X orders
1743 LastUpfrontPrice N Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
2750 ReportingPx N
2751 ReportingQty N
30 LastMkt N If ExecType(150) = F (Trade), indicates the market where the trade was executed. If ExecType(150) = 0 (New (0), indicates the market where the order was routed.
1430 VenueType N
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
2704 ExDestinationType N
336 TradingSessionID N
625 TradingSessionSubID N
943 TimeBracket N
29 LastCapacity N
Component LimitAmts N Insert here the set of LimitAmts fields defined in Common Components
151 LeavesQty Y Quantity open for further execution. If the OrdStatus(39) is = 4 (Canceled), 3 (Done For Day), C (Expired), B (Calculated), or 8 (Rejected) (in which case the order is no longer active) then LeavesQty(151) could be 0, otherwise LeavesQty(151) = OrderQty(38) – CumQty(14).
14 CumQty Y Currently executed quantity for chain of orders.
84 CxlQty N Can be used to specify the remaining quantity that was cancelled prior to order reaching terminal state (i.e. when LeavesQty(151)=0). If specified, OrderQty(38) = CumQty(14) + CxlQty(84).
6 AvgPx N Not required for markets where average price is not calculated by the market.
Conditionally required otherwise.
424 DayOrderQty N For GT orders on days following the day of the first trade.
425 DayCumQty N For GT orders on days following the day of the first trade.
426 DayAvgPx N For GT orders on days following the day of the first trade.
1361 TotNoFills N Used to support fragmentation. Sum of NoFills(1362) across all messages with the same ExecID(17).
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component FillsGrp N Specifies the partial fills included in this ExecutionReport(35=8), mutually exclusive with OrderEventGrp component.
Component OrderEventGrp N Specifies the order events included in this ExecutionReport(35=8), mutually exclusive with FillsGrp component.
2830 EventInitiatorType N
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
75 TradeDate N Used when reporting other than current day trades.
60 TransactTime N Time the transaction represented by this ExecutionReport(35=8) occurred.
113 ReportToExch N
Component CommissionData N Note: On a fill/partial-fill message, it represents value for that fill/partial fill. On ExecType(150) = B (Calculated), it represents cumulative value for the order.
Component CommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
Component SpreadOrBenchmarkCurveData N
Component RelativeValueGrp N
Component YieldData N
381 GrossTradeAmt N
157 NumDaysInterest N
230 ExDate N
158 AccruedInterestRate N
159 AccruedInterestAmt N
738 InterestAtMaturity N For fixed income products which pay lump-sum interest at maturity.
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration.
922 EndCash N For repurchase agreements the end (dirty) cash consideration.
258 TradedFlatSwitch N
259 BasisFeatureDate N
260 BasisFeaturePrice N
238 Concession N
237 TotalTakedown N
118 NetMoney N On a fill/partial fill message, it represents value for that fill/partial fill. On a ExecType(150) = B (Calculated) message, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency(15) field.
119 SettlCurrAmt N Used to report results of forex accommodation trade.
120 SettlCurrency N Used to report results of forex accommodation trade.
Required for Non-Deliverable Forwards.
Component RateSource N
2795 OffshoreIndicator N
155 SettlCurrFxRate N Foreign exchange rate used to compute SettlCurrAmt(119) from Currency(15) to SettlCurrency(120).
156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate(155) should be multiplied or divided.
21 HandlInst N
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
2676 MaximumPricePercentage N
Component ValueChecksGrp N
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
2523 CrossedIndicator N
Component DisplayInstruction N
Component DisclosureInstructionGrp N
1816 ClearingAccountType N
77 PositionEffect N For use in derivatives omnibus accounting
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
442 MultiLegReportingType N Default is a single security if not specified.
1385 ContingencyType N For contingency orders, the type of contingency as specified in the order.
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
483 TransBkdTime N For CIV – Optional
515 ExecValuationPoint N For CIV – Optional
484 ExecPriceType N For CIV – Optional
485 ExecPriceAdjustment N For CIV – Optional
638 PriorityIndicator N
639 PriceImprovement N
851 LastLiquidityInd N Applicable only on OrdStatus(39) = 1 of (Partially filled) or 2(Filled).
Component ContAmtGrp N
Component InstrmtLegExecGrp N Specifies the leg executions of a multi-leg order or quote.
797 CopyMsgIndicator N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
1380 DividendYield N
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
1724 OrderOrigination N
2882 ContraOrderOrigination N May be used for cross orders submitted with single order messages.
1725 OriginatingDeptID N
1726 ReceivingDeptID N
2883 RoutingArrangmentIndicator N
2884 ContraRoutingArrangmentIndicator N May be used for cross orders submitted with single order messages.
2525 AffiliatedFirmsTradeIndicator N
522 OwnerType N
2679 OrderOwnershipIndicator N Can be used to highlight change of order ownership.
Component TrdRegTimestamps N
Component TrdRegPublicationGrp N
Component TradePriceConditionGrp N
1937 TradeContinuation N May be used to indicate the post-execution trade continuation or lifecycle event. This should echo the value in the message that resulted in this report.
2374 TradeContinuationText N
2372 EncodedTradeContinuationTextLen N Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371 EncodedTradeContinuationText N Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
1188 Volatility N
1189 TimeToExpiration N
1190 RiskFreeRate N
811 PriceDelta N
1917 CoverPrice N
Component ThrottleResponse N
1080 RefOrderID N
1081 RefOrderIDSource N
1806 RefClOrdID N
Component RelatedOrderGrp N May be used to provide a list of orders and their relationship to the order identified in this message.
1803 AuctionType N
1804 AuctionAllocationPct N
1808 LockedQty N
1809 SecondaryLockedQty N
1807 LockType N
1810 ReleaseInstruction N
1811 ReleaseQty N
1819 RelatedHighPrice N
1820 RelatedLowPrice N
1821 RelatedPriceSource N
Component StandardTrailer Y

OrderCancelReject Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = 9
37 OrderID Y If CxlRejReason=Unknown order, specify NONE.
2422 OrderRequestID N Required if provided on the order cancel or cancel/replace request. Echo back the value provided by the requester.
198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
526 SecondaryClOrdID N
11 ClOrdID Y Unique order id assigned by institution or by the intermediary with closest association with the investor. to the cancel request or to the replacement order.
583 ClOrdLinkID N
41 OrigClOrdID N ClOrdID(11) which could not be canceled/replaced. ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
39 OrdStatus Y OrdStatus value after this cancel reject is applied.
If CxlRejReason = Unknown Order, specify Rejected.
636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
586 OrigOrdModTime N
66 ListID N Required for rejects against orders which were submitted as part of a list.
1 Account N
660 AcctIDSource N
581 AccountType N
229 TradeOriginationDate N
75 TradeDate N
60 TransactTime N
434 CxlRejResponseTo Y
102 CxlRejReason N
1328 RejectText N Reason description for rejecting the transaction request.
1664 EncodedRejectTextLen N Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665 EncodedRejectText N Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
100 ExDestination N
1133 ExDestinationIDSource N
Component Parties N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ExecutionAck Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BN
37 OrderID Y
198 SecondaryOrderID N
11 ClOrdID N Conditionally required if the Execution Report message contains a ClOrdID.
1036 ExecAckStatus Y Indicates the status of the execution acknowledgement. The received, not yet processed is an optional intermediary status that can be used to notify the counterparty that the Execution Report has been received.
17 ExecID Y The ExecID of the Execution Report being acknowledged.
127 DKReason N Conditionally required when ExecAckStatus = 2 (Don’t know / Rejected).
Component Instrument Y
Component UndInstrmtGrp N
Component InstrmtLegGrp N
54 Side Y
Component OrderQtyData N Conditionally required if specified in the ExecutionReport(35=8).
32 LastQty N Conditionally required if specified on the Execution Report
31 LastPx N Conditionally Required if specified on the Execution Report
423 PriceType N Conditionally required if specified on the Execution Report
Component PriceQualifierGrp N
669 LastParPx N Conditionally required if specified on the Execution Report
14 CumQty N Conditionally required if specified on the Execution Report
6 AvgPx N Conditionally required if specified on the Execution Report
Component RegulatoryTradeIDGrp N
58 Text N Conditionally required if DKReason = other
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

NewOrderSingle Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = D
11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.
2422 OrderRequestID N
526 SecondaryClOrdID N
583 ClOrdLinkID N
2829 DuplicateClOrdIDIndicator N
Component Parties N This is party information related to the submitter of the request.
Component TargetParties N Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an overall allocation id to the block of preallocations
Component PreAllocGrp N Number of repeating groups for pre-trade allocation
63 SettlType N For NDFs either SettlType or SettlDate should be specified.
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, W, a, d) must be specified.
1805 AuctionInstruction N
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
2676 MaximumPricePercentage N
Component ValueChecksGrp N
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
Component DisplayInstruction N
Component DisclosureInstructionGrp N Specifies instructions to disclose certain order level information in market data.
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
2704 ExDestinationType N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
54 Side Y
2102 ShortMarkingExemptIndicator N
1688 ShortSaleExemptionReason N Available for optional use when Side(54) = 6(Sell short exempt).
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
854 QtyType N
Component OrderQtyData Y
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
2838 CurrentWorkingPrice N May be used for new (child) orders stemming from the split of a parent order. Refers to the working price of the parent order.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
1740 TradePriceNegotiationMethod N
1741 UpfrontPriceType N
1742 UpfrontPrice N Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377 SolicitedFlag N
797 CopyMsgIndicator N May be used when intentionally sending an order more than once, e.g. an order being received manually as well as electronically in conjunction with a regulatory requirement to report both events.
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528 OrderCapacity N
529 OrderRestrictions N
1815 TradingCapacity N
1934 RegulatoryReportType N
1091 PreTradeAnonymity N
1390 TradePublishIndicator N Applies to trades resulting from the order.
582 CustOrderCapacity N
Component OrderAttributeGrp N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq=Y.
Required for NDFs.
Component RateSource N
2795 OffshoreIndicator N
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1816 ClearingAccountType N
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
1724 OrderOrigination N
2882 ContraOrderOrigination N May be used for cross orders submitted with single order messages.
1725 OriginatingDeptID N
1726 ReceivingDeptID N
2883 RoutingArrangmentIndicator N
2884 ContraRoutingArrangmentIndicator N May be used for cross orders submitted with single order messages.
2525 AffiliatedFirmsTradeIndicator N
522 OwnerType N
Component TrdRegTimestamps N
Component TrdRegPublicationGrp N
2524 TradeReportingIndicator N
1080 RefOrderID N Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
1685 ThrottleInst N
1806 RefClOrdID N
1803 AuctionType N Conditionally required for auction orders
1804 AuctionAllocationPct N
Component StandardTrailer Y

OrderCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = F
2422 OrderRequestID N Required if provided on the order being cancelled. Echo back the value provided by the requester.
41 OrigClOrdID N ClOrdID(11) of the previous non-rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
11 ClOrdID Y Unique ID of cancel request as assigned by the institution.
526 SecondaryClOrdID N
583 ClOrdLinkID N
66 ListID N Required for List Orders
586 OrigOrdModTime N
1 Account N
660 AcctIDSource N
581 AccountType N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
1300 MarketSegmentID N
100 ExDestination N Execution destination when referring to orders that were not electronically submitted over FIX and ClOrdID has not been assigned or is not available to the recipient of the request.
1133 ExDestinationIDSource N
54 Side Y
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
Component OrderQtyData N Conditionally required when the OrderQtyData component is required or specified in a prior, related message.
For example, when used in a work flow including a NewOrderSingle(35=D) or NewOrderCross(35=s) message, the OrderQtyData component is a required component in these messages and thus the component is required here. When the OrderQtyData component is optional in a related message, such as the NewOrderMultileg(35=AB), the component is required here when specified in the prior, related NewOrderMultileg(35=AB) message.
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderCancelReplaceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = G
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422 OrderRequestID N Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
Component Parties N This is party information related to the submitter of the request.
Component TargetParties N Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229 TradeOriginationDate N
75 TradeDate N
41 OrigClOrdID N ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
11 ClOrdID Y Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
526 SecondaryClOrdID N
583 ClOrdLinkID N
2829 DuplicateClOrdIDIndicator N
66 ListID N Required for List Orders
586 OrigOrdModTime N TransactTime of the last state change that occurred to the original order
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an overall allocation id to the block of preallocations
Component PreAllocGrp N Number of repeating groups for pre-trade allocation
63 SettlType N For NDFs either SettlType or SettlDate should be specified.
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message).
1805 AuctionInstruction N
110 MinQty N
1822 MinQtyMethod N
1089 MatchIncrement N
1090 MaxPriceLevels N
2676 MaximumPricePercentage N
Component ValueChecksGrp N
Component MatchingInstructions N
2362 SelfMatchPreventionID N May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
Component DisplayInstruction N
Component DisclosureInstructionGrp N Specifies instructions to disclose certain order level information in market data.
1300 MarketSegmentID N
100 ExDestination N
1133 ExDestinationIDSource N
2704 ExDestinationType N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Must match original order
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
54 Side Y Should match original order’s side, however, if bilaterally agreed to the following groups could potentially be interchanged:
Buy and Buy Minus
Sell, Sell Plus, Sell Short, and Sell Short Exempt
Cross, Cross Short, and Cross Short Exempt
2102 ShortMarkingExemptIndicator N
1688 ShortSaleExemptionReason N Available for optional use when Side(54) = 6(Sell short exempt).
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
854 QtyType N
Component OrderQtyData Y Note: OrderQty(38) value should be the Total Intended Order Quantity (including the amount already executed for this chain of orders).
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
2838 CurrentWorkingPrice N May be used to correct the initial working price of the parent order when this (child) order was entered.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
376 ComplianceID N
2404 ComplianceText N
2351 EncodedComplianceTextLen N Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352 EncodedComplianceText N Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377 SolicitedFlag N
15 Currency N Must match original order.
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
1629 ExposureDuration N Conditionally required when TimeInForce(59)=10 (Good for Time)
1916 ExposureDurationUnit N
Component CommissionData N
Component CommissionDataGrp N Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528 OrderCapacity N
529 OrderRestrictions N
1815 TradingCapacity N
1091 PreTradeAnonymity N
1390 TradePublishIndicator N Applies to trades resulting from the order.
582 CustOrderCapacity N
Component OrderAttributeGrp N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq=Y.
Required for NDFs.
Component RateSource N
2795 OffshoreIndicator N
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1816 ClearingAccountType N
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
114 LocateReqd N Required for short sell orders
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
1724 OrderOrigination N
2882 ContraOrderOrigination N May be used for cross orders submitted with single order messages.
1725 OriginatingDeptID N
1726 ReceivingDeptID N
2883 RoutingArrangmentIndicator N
2884 ContraRoutingArrangmentIndicator N May be used for cross orders submitted with single order messages.
522 OwnerType N
2679 OrderOwnershipIndicator N Can be used to request change of order ownership.
Component TrdRegTimestamps N
1685 ThrottleInst N
1803 AuctionType N Conditionally required for auction orders.
1804 AuctionAllocationPct N
1810 ReleaseInstruction N
1811 ReleaseQty N
Component StandardTrailer Y

OrderStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = H
37 OrderID N Conditionally required if ClOrdID(11) is not provided. Either OrderID or ClOrdID must be provided.
11 ClOrdID N The ClOrdID of the order whose status is being requested. Conditionally required if the OrderID(37) is not provided. Either OrderID or ClOrdID must be provided.
526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
790 OrdStatusReqID N Optional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided.
1 Account N
660 AcctIDSource N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
1300 MarketSegmentID N
54 Side Y
Component StandardTrailer Y

DontKnowTrade Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = Q
37 OrderID Y Broker Order ID as identified on problem execution
198 SecondaryOrderID N
17 ExecID Y Execution ID of problem execution
127 DKReason Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
54 Side Y
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
32 LastQty N Required if specified on the ExecutionRpt
31 LastPx N Required if specified on the ExecutionRpt
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Appendix – Common Category

Components

DisclosureInstructionGrp

Tag Name Req’d Description
1812 NoDisclosureInstructions N
→1813 DisclosureType N Required when NoDisclosureInstructions(1812) > 0.
→1814 DisclosureInstruction N

DiscretionInstructions

Tag Name Req’d Description
388 DiscretionInst N What the discretionary price is related to (e.g. primary price, display price etc)
389 DiscretionOffsetValue N Amount (signed) added to the related to price specified via DiscretionInst, in the context of DiscretionOffsetType
841 DiscretionMoveType N Describes whether discretion price is static/fixed or floats
842 DiscretionOffsetType N Type of Discretion Offset (e.g. price offset, tick offset etc)
843 DiscretionLimitType N Specifies the nature of the resulting discretion price (e.g. or better limit, strict limit etc)
844 DiscretionRoundDirection N If the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive)
846 DiscretionScope N The scope of related to price of the discretion (e.g. local, global etc)

PegInstructions

Tag Name Req’d Description
211 PegOffsetValue N Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType
1094 PegPriceType N Defines the type of peg.
835 PegMoveType N Describes whether peg is static/fixed or floats
836 PegOffsetType N Type of Peg Offset (e.g. price offset, tick offset etc)
837 PegLimitType N Specifies nature of resulting pegged price (e.g. or better limit, strict limit etc)
838 PegRoundDirection N If the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive)
840 PegScope N The scope of the related to price of the peg (e.g. local, global etc)
1096 PegSecurityIDSource N Required if PegSecurityID is specified.
1097 PegSecurityID N Requires PegSecurityIDSource if specified.
1098 PegSymbol N
1099 PegSecurityDesc N

PreAllocGrp

Tag Name Req’d Description
78 NoAllocs N
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→736 AllocSettlCurrency N
→467 IndividualAllocID N
→2727 AllocLegRefID N The field may not be used in NewOrderSingle(35=D), OrderCancelReplaceRequest(35=G), NewOrderList(35=E) or any other message where there are no legs.
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=Clearing Firm
→209 AllocHandlInst N
→80 AllocQty N
→1752 CustodialLotID N Only used for specific lot trades.
→1753 VersusPurchaseDate N Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754 VersusPurchasePrice N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755 CurrentCostBasis N Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

StrategyParametersGrp

Tag Name Req’d Description
957 NoStrategyParameters N
→958 StrategyParameterName N Name of parameter
→959 StrategyParameterType N Datatype of the parameter.
→960 StrategyParameterValue N Value of the parameter

TriggeringInstruction

Tag Name Req’d Description
1100 TriggerType N Required if any other Triggering tags are specified.
1101 TriggerAction N
1628 TriggerScope N Conditionally required when TriggerAction(1101)=3 (Cancel).
1102 TriggerPrice N Only relevant and required for TriggerAction = 1
1103 TriggerSymbol N Only relevant and required for TriggerAction = 1
1104 TriggerSecurityID N Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1105 TriggerSecurityIDSource N Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1106 TriggerSecurityDesc N
1107 TriggerPriceType N Only relevant for TriggerAction = 1
1108 TriggerPriceTypeScope N Only relevant for TriggerAction = 1
1109 TriggerPriceDirection N Only relevant for TriggerAction = 1
1110 TriggerNewPrice N Should be specified if the order changes Price.
1111 TriggerOrderType N Should be specified if the order changes type.
1112 TriggerNewQty N Required if the order should change quantity
1113 TriggerTradingSessionID N Only relevant and required for TriggerType = 2.
1114 TriggerTradingSessionSubID N Requires TriggerTradingSessionID if specified. Relevant for TriggerType = 2 only.