Appendix – CrossOrders Category

Components

SideCrossOrdCxlGrp

TagNameReq’dDescription
552NoSidesN
→54SideY
→41OrigClOrdIDNRequired when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
→11ClOrdIDYUnique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526SecondaryClOrdIDN
→583ClOrdLinkIDN
→586OrigOrdModTimeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229TradeOriginationDateN
→75TradeDateN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
→376ComplianceIDN
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SideCrossOrdModGrp

TagNameReq’dDescription
552NoSidesN
→54SideY
→41OrigClOrdIDNRequired when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11)
→11ClOrdIDYUnique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526SecondaryClOrdIDN
→583ClOrdLinkIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229TradeOriginationDateN
→75TradeDateN
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
→589DayBookingInstN
→590BookingUnitN
→591PreallocMethodN
→70AllocIDNUse to assign an identifier to the block of preallocations
ComponentPreAllocGrpN
→854QtyTypeN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
→528OrderCapacityN
→529OrderRestrictionsN
→1091PreTradeAnonymityN
→582CustOrderCapacityN
→121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
→120SettlCurrencyNRequired if ForexReq = Y.
→775BookingTypeNMethod 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.
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→77PositionEffectNFor use in derivatives omnibus accounting
→203CoveredOrUncoveredNFor use with derivatives, such as options
→544CashMarginN
→635ClearingFeeIndicatorN
→377SolicitedFlagN
→659SideComplianceIDN
→962SideTimeInForceNSpecifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order.

Messages

NewOrderCross Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = s (lowercase S)
548CrossIDY
549CrossTypeY
550CrossPrioritizationY
ComponentRootPartiesNInsert 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.
ComponentSideCrossOrdModGrpYMust be 1 or 2
1 or 2 if CrossType=1
2 otherwise
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of Legs
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21HandlInstN
18ExecInstNCan 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.
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
81ProcessCodeNUsed to identify soft trades at order entry.
140PrevClosePxNUseful for verifying security identification
114LocateReqdNRequired for short sell orders
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
483TransBkdTimeNA date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40OrdTypeY
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15CurrencyN
376ComplianceIDN
23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
ComponentStandardTrailerY

CrossOrderCancelReplaceRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = t (lowercase T)
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
548CrossIDYCrossID for the replacement order
551OrigCrossIDYMust match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961HostCrossIDNHost assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549CrossTypeY
550CrossPrioritizationY
ComponentRootPartiesNInsert 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.
ComponentSideCrossOrdModGrpYMust be 1 or 2
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of Legs
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21HandlInstN
18ExecInstNCan 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.
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
81ProcessCodeNUsed to identify soft trades at order entry.
140PrevClosePxNUseful for verifying security identification
114LocateReqdNRequired for short sell orders
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
483TransBkdTimeNA date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40OrdTypeY
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15CurrencyN
376ComplianceIDN
23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
ComponentStandardTrailerY

CrossOrderCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = u (lowercase U)
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
548CrossIDYCrossID for the replacement order
551OrigCrossIDYMust match the CrossID of previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961HostCrossIDNHost assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549CrossTypeY
550CrossPrioritizationY
ComponentRootPartiesNInsert 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.
ComponentSideCrossOrdCxlGrpYMust be 1 or 2
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of Leg
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
ComponentStandardTrailerY

Appendix – MultilegOrders Category

Components

LegOrdGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNMust be provided if Number of legs > 0
→687LegQtyN
→690LegSwapTypeN
ComponentLegStipulationsN
→1366LegAllocIDN
ComponentLegPreAllocGrpN
→564LegPositionEffectNProvide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565LegCoveredOrUncoveredNProvide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
ComponentNestedPartiesNInsert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type
→654LegRefIDNUsed to identify a specific leg.
→587LegSettlTypeNRefer to values for SettlType (63)
→588LegSettlDateNRefer to values for SettlDate (64)
→675LegSettlCurrencyN
→685LegOrderQtyN
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN

PreAllocMlegGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs > 0. Must be first field in repeating group.
→661AllocAcctIDSourceN
→736AllocSettlCurrencyN
→467IndividualAllocIDN
ComponentNestedParties3NInsert here the set of NestedParties3 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80AllocQtyN

Messages

NewOrderMultileg Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AB
11ClOrdIDYUnique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
526SecondaryClOrdIDN
583ClOrdLinkIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229TradeOriginationDateN
75TradeDateN
1AccountN
660AcctIDSourceN
581AccountTypeN
589DayBookingInstN
590BookingUnitN
591PreallocMethodN
70AllocIDNUsed to assign an identifier to the block of individual preallocations
ComponentPreAllocMlegGrpNNumber of repeating groups for pre-trade allocation
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544CashMarginN
635ClearingFeeIndicatorN
21HandlInstN
18ExecInstNCan 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.
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of ReserveInstruction fields defined in common components of application messages
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
81ProcessCodeNUsed to identify soft trades at order entry.
54SideYAdditional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
ComponentInstrumentN
ComponentUndInstrmtGrpNNumber of underlyings
140PrevClosePxNUseful for verifying security identification
1069SwapPointsNFor FX Swaps. Used to express the differential between the far leg’s bid/offer and the near leg’s bid/offer.
ComponentLegOrdGrpNNumber of legs
114LocateReqdNRequired for short sell orders
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
854QtyTypeN
ComponentOrderQtyDataNInsert here the set of OrderQtyData fields defined in Common Components of Application Messages Conditionally required when the multileg order is not for a FX Swap, or any other swap transaction where having OrderQty is irrelevant as the amounts are expressed in the LegQty.
40OrdTypeY
1377MultilegModelN
1378MultilegPriceMethodN
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
15CurrencyN
376ComplianceIDN
377SolicitedFlagN
23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
1080RefOrderIDNRequired for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081RefOrderIDSourceNConditionally required if RefOrderID is specified.
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
528OrderCapacityN
529OrderRestrictionsN
1091PreTradeAnonymityN
582CustOrderCapacityN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq = Y.
775BookingTypeNMethod 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.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
77PositionEffectNFor use in derivatives omnibus accounting
203CoveredOrUncoveredNFor use with derivatives, such as options
210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
1190RiskFreeRateN
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
563MultiLegRptTypeReqNIndicates the method of execution reporting requested by issuer of the order.
ComponentStandardTrailerY

MultilegOrderCancelReplace Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AC
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
41OrigClOrdIDNClOrdID 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.
11ClOrdIDNUnique 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.
526SecondaryClOrdIDN
583ClOrdLinkIDN
586OrigOrdModTimeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229TradeOriginationDateN
75TradeDateN
1AccountN
660AcctIDSourceN
581AccountTypeN
589DayBookingInstN
590BookingUnitN
591PreallocMethodN
70AllocIDNUsed to assign an identifier to the block of individual preallocations
ComponentPreAllocMlegGrpNNumber of repeating groups for pre-trade allocation
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544CashMarginN
635ClearingFeeIndicatorN
21HandlInstN
18ExecInstNCan 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.
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
81ProcessCodeNUsed to identify soft trades at order entry.
54SideYAdditional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
ComponentInstrumentN
ComponentUndInstrmtGrpNNumber of underlyings
140PrevClosePxNUseful for verifying security identification
1069SwapPointsN
ComponentLegOrdGrpNNumber of legs
114LocateReqdNRequired for short sell orders
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
854QtyTypeN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
40OrdTypeY
1377MultilegModelN
1378MultilegPriceMethodN
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
15CurrencyN
376ComplianceIDN
377SolicitedFlagN
23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
528OrderCapacityN
529OrderRestrictionsN
1091PreTradeAnonymityN
582CustOrderCapacityN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq = Y.
775BookingTypeNMethod 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.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
77PositionEffectNFor use in derivatives omnibus accounting
203CoveredOrUncoveredNFor use with derivatives, such as options
210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
1190RiskFreeRateN
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
563MultiLegRptTypeReqNIndicates the method of execution reporting requested by issuer of the order.
ComponentStandardTrailerY

Appendix – OrderMassHandling Category

Components

AffectedOrdGrp

TagNameReq’dDescription
534NoAffectedOrdersN
→41OrigClOrdIDNRequired if NoAffectedOrders > 0 and must be the first repeating field in the group.
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) this field should contain string MANUAL.
→535AffectedOrderIDNContains the OrderID assigned by the counterparty of an affected order. Not required as part of the repeating group if OrigClOrdID(41) has a value other than MANUAL.
→536AffectedSecondaryOrderIDNContains the SecondaryOrderID assigned by the counterparty of an affected order. Not required as part of the repeating group

NotAffectedOrdersGrp

TagNameReq’dDescription
1370NoNotAffectedOrdersN
→1372NotAffOrigClOrdIDNRequired if NoNotAffectedOrders(1370) > 0 and must be the first repeating field in the group.
Indicates the client order id 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) this field should contain string MANUAL.
→1371NotAffectedOrderIDNContains the OrderID 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.

Messages

OrderMassStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AF
584MassStatusReqIDYUnique ID of mass status request as assigned by the institution.
585MassStatusReqTypeYSpecifies the scope of the mass status request
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentTargetPartiesNCan be used to specify the parties to whom the Order Mass Status Request should apply.
1AccountNAccount
660AcctIDSourceN
336TradingSessionIDNTrading Session
625TradingSessionSubIDN
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUnderlyingInstrumentNInsert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
54SideNOptional qualifier used to indicate the side of the market for which orders will be returned.
ComponentStandardTrailerY

OrderMassActionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BZ
11ClOrdIDNClOrdID provided on the Order Mass Action Request.
526SecondaryClOrdIDN
1369MassActionReportIDYUnique Identifier for the Order Mass Action Report
1373MassActionTypeYOrder Mass Action Request Type accepted by the system
1374MassActionScopeYSpecifies the scope of the action
1375MassActionResponseYIndicates the action taken by the counterparty order handling system as a result of the Action Request
0 – Indicates Order Mass Action Request was rejected.
1376MassActionRejectReasonNIndicates why Order Mass Action Request was rejected
Required if MassActionResponse = 0
533TotalAffectedOrdersNOptional field used to indicate the total number of orders affected by the Order Mass Action Request
ComponentAffectedOrdGrpNOrders affected by the Order Mass Action Request.
ComponentNotAffectedOrdersGrpNList of orders not affected by the Order Mass Action Request.
1301MarketIDNMarketID for which orders are to be affected
1300MarketSegmentIDNMarketSegmentID for which orders are to be affected
336TradingSessionIDNTradingSessionID for which orders are to be affected
625TradingSessionSubIDNTradingSessionSubID for which orders are to be affected
ComponentPartiesN
ComponentTargetPartiesNShould be populated with the values provided on the associated OrderMassActionRequest(MsgType=CA).
ComponentInstrumentN
ComponentUnderlyingInstrumentN
54SideNSide of the market specified on the Order Mass Action Request
60TransactTimeNTime this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

OrderMassActionRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = CA
11ClOrdIDYUnique ID of Order Mass Action Request as assigned by the institution.
526SecondaryClOrdIDN
1373MassActionTypeYSpecifies the type of action requested
1374MassActionScopeYSpecifies the scope of the action
1301MarketIDNMarketID for which orders are to be affected
1300MarketSegmentIDNMarketSegmentID for which orders are to be affected
336TradingSessionIDNTrading Session in which orders are to be affected
625TradingSessionSubIDN
ComponentPartiesN
ComponentTargetPartiesNCan be used to specify the parties to whom the Order Mass Action should apply.
ComponentInstrumentN
ComponentUnderlyingInstrumentN
54SideN
60TransactTimeY
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

OrderMassCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = q (lowercase Q)
11ClOrdIDYUnique ID of Order Mass Cancel Request as assigned by the institution.
526SecondaryClOrdIDN
530MassCancelRequestTypeYSpecifies the type of cancellation requested
336TradingSessionIDNTrading Session in which orders are to be canceled
625TradingSessionSubIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in common components of application messages
ComponentTargetPartiesNCan be used to specify the parties to whom the Order Mass Cancel should apply.
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUnderlyingInstrumentNInsert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301MarketIDNRequired for MassCancelRequestType = 8 (Cancel orders for a market)
1300MarketSegmentIDNRequired for MassCancelRequestType = 9 (Cancel orders for a market segment)
54SideNOptional 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.
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

OrderMassCancelReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = r (lowercase R)
11ClOrdIDNClOrdID 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.
526SecondaryClOrdIDN
37OrderIDYUnique Identifier for the Order Mass Cancel Request assigned by the recipient of the Order Mass Cancel Request.
1369MassActionReportIDYUnique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
198SecondaryOrderIDNSecondary Order ID assigned by the recipient of the Order Mass Cancel Request.
530MassCancelRequestTypeYOrder Mass Cancel Request Type accepted by the system
531MassCancelResponseYIndicates the action taken by the counterparty order handling system as a result of the Cancel Request
0 – Indicates Order Mass Cancel Request was rejected.
532MassCancelRejectReasonNIndicates why Order Mass Cancel Request was rejected
Required if MassCancelResponse = 0
533TotalAffectedOrdersNOptional field used to indicate the total number of orders affected by the Order Mass Cancel Request
ComponentAffectedOrdGrpNList of orders affected by the Order Mass Cancel Request
ComponentNotAffectedOrdersGrpNList of orders not affected by Order Mass Cancel Request
336TradingSessionIDNTrading Session in which orders are to be canceled
625TradingSessionSubIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in common components of application messages
ComponentTargetPartiesNShould be populated with the values provided on the associated OrderMassCancelRequest(MsgType=Q).
ComponentInstrumentNInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUnderlyingInstrumentNInsert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301MarketIDN
1300MarketSegmentIDN
54SideNSide of the market specified on the Order Mass Cancel Request
60TransactTimeNTime this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

Appendix – ProgramTrading Category

Components

BidCompReqGrp

TagNameReq’dDescription
420NoBidComponentsN
→66ListIDNRequired if NoBidComponents > 0. Must be first field in repeating group.
→54SideNWhen 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.
→336TradingSessionIDNIndicates off-exchange type activities for Detail.
→625TradingSessionSubIDN
→430NetGrossIndNIndicates Net or Gross for selling Detail.
→63SettlTypeN
→64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→1AccountN
→660AcctIDSourceN

BidCompRspGrp

TagNameReq’dDescription
420NoBidComponentsN
ComponentCommissionDataYFirst element Commission required if NoBidComponents > 0.
→66ListIDN
→421CountryNISO Country Code
→54SideNWhen used in response to a Disclosed request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
→44PriceNSecond element of price
→423PriceTypeN
→406FairValueNThe 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).
→430NetGrossIndNNet/Gross
→63SettlTypeN
→64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→336TradingSessionIDN
→625TradingSessionSubIDN
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

BidDescReqGrp

TagNameReq’dDescription
398NoBidDescriptorsN
→399BidDescriptorTypeNRequired if NoBidDescriptors > 0. Must be first field in repeating group.
→400BidDescriptorN
→401SideValueIndNRefers 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.
→404LiquidityValueNValue between LiquidityPctLow and LiquidityPctHigh in Currency
→441LiquidityNumSecuritiesNNumber of Securites between LiquidityPctLow and LiquidityPctHigh in Currency
→402LiquidityPctLowNLiquidity indicator or lower limit if LiquidityNumSecurities > 1
→403LiquidityPctHighNUpper liquidity indicator if LiquidityNumSecurities > 1
→405EFPTrackingErrorNEg Used in EFP (Exchange For Physical) trades 12%
→406FairValueNUsed in EFP trades
→407OutsideIndexPctNUsed in EFP trades
→408ValueOfFuturesNUsed in EFP trades

InstrmtStrkPxGrp

TagNameReq’dDescription
428NoStrikesN
ComponentInstrumentYInsert 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.
ComponentUndInstrmtGrpNUnderlying Instruments
→140PrevClosePxNUseful for verifying security identification
→11ClOrdIDNCan use client order identifier or the symbol and side to uniquely identify the stock in the list.
→526SecondaryClOrdIDN
→54SideN
→44PriceN
→15CurrencyN
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

ListOrdGrp

TagNameReq’dDescription
73NoOrdersN
→11ClOrdIDYMust be the first field in the repeating group.
→526SecondaryClOrdIDN
→67ListSeqNoYOrder number within the list
→583ClOrdLinkIDN
→160SettlInstModeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229TradeOriginationDateN
→75TradeDateN
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
→589DayBookingInstN
→590BookingUnitN
→70AllocIDNUse to assign an ID to the block of individual preallocations
→591PreallocMethodN
ComponentPreAllocGrpN
→63SettlTypeN
→64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→544CashMarginN
→635ClearingFeeIndicatorN
→21HandlInstN
→18ExecInstNCan 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.
→110MinQtyN
→1089MatchIncrementN
→1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
→111MaxFloorN
→100ExDestinationN
→1133ExDestinationIDSourceN
ComponentTrdgSesGrpN
→81ProcessCodeN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpN
→140PrevClosePxNUseful for verifying security identification
→54SideYNote: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
→401SideValueIndNRefers 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.
→114LocateReqdNRequired for short sell orders
→60TransactTimeN
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→854QtyTypeN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
→40OrdTypeN
→423PriceTypeN
→44PriceN
→1092PriceProtectionScopeN
→99StopPxN
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
→15CurrencyN
→376ComplianceIDN
→377SolicitedFlagN
→23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
→117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
→1080RefOrderIDNRequired for counter-order selection / Hit / Take Orders (OrdType = Q)
→1081RefOrderIDSourceNConditionally required if RefOrderID is specified.
→59TimeInForceN
→168EffectiveTimeN
→432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
→126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
→427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
→528OrderCapacityN
→529OrderRestrictionsN
→1091PreTradeAnonymityN
→582CustOrderCapacityN
→121ForexReqN
→120SettlCurrencyN
→775BookingTypeNMethod 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.
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→640Price2NCan be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the all-in rate (spot rate adjusted for forward points).
→77PositionEffectN
→203CoveredOrUncoveredN
→210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
→847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
→848TargetStrategyParametersNFor further specification of the TargetStrategy
→849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
→494DesignationNSupplementary registration information for this Order within the List

OrdListStatGrp

TagNameReq’dDescription
73NoOrdersN
→11ClOrdIDNRequired when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
→37OrderIDN
→526SecondaryClOrdIDN
→14CumQtyY
→39OrdStatusY
→636WorkingIndicatorNFor optional use with OrdStatus = 0 (New)
→151LeavesQtyYQuantity open for further execution. LeavesQty = OrderQty – CumQty.
→84CxlQtyY
→6AvgPxY
→103OrdRejReasonNUsed if the order is rejected
→58TextN
→354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
→355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Messages

NewOrderList Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = E
66ListIDYMust be unique, by customer, for the day
390BidIDNShould refer to an earlier program if bidding took place.
391ClientBidIDN
414ProgRptReqsN
394BidTypeYe.g. Non Disclosed Model, Disclosed Model, No Bidding Process
415ProgPeriodIntervalN
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message applicable to all Orders in this List.
433ListExecInstTypeNControls when execution should begin For CIV Orders indicates order of execution..
69ListExecInstNFree-form text.
1385ContingencyTypeNUsed for contingency orders.
352EncodedListExecInstLenNMust be set if EncodedListExecInst field is specified and must immediately precede it.
353EncodedListExecInstNEncoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
765AllowableOneSidednessPctNThe maximum percentage that execution of one side of a program trade can exceed execution of the other.
766AllowableOneSidednessValueNThe maximum amount that execution of one side of a program trade can exceed execution of the other.
767AllowableOneSidednessCurrNThe currency that AllowableOneSidedness is expressed in if AllowableOneSidednessValue is used.
68TotNoOrdersYUsed to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentRootPartiesNInsert 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.
ComponentListOrdGrpYNumber of orders in this message (number of repeating groups to follow)
ComponentStandardTrailerY

ListCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = K
66ListIDY
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in common components of application messages
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
229TradeOriginationDateN
75TradeDateN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

ListExecute Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = L
66ListIDYMust be unique, by customer, for the day
391ClientBidIDNUsed with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
390BidIDN
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

ListStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = M
66ListIDY
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

ListStatus Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = N
66ListIDY
429ListStatusTypeY
82NoRptsYTotal number of messages required to status complete list.
431ListOrderStatusY
1385ContingencyTypeN
1386ListRejectReasonN
83RptSeqYSequence number of this report message.
444ListStatusTextN
445EncodedListStatusTextLenNMust be set if EncodedListStatusText field is specified and must immediately precede it.
446EncodedListStatusTextNEncoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
60TransactTimeN
68TotNoOrdersYUsed to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentOrdListStatGrpYNumber of orders statused in this message, i.e. number of repeating groups to follow.
ComponentStandardTrailerY

BidRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = k (lowercase)
390BidIDNRequired to relate the bid response
391ClientBidIDY
374BidRequestTransTypeYIdentifies the Bid Request message transaction type
392ListNameN
393TotNoRelatedSymY
394BidTypeYe.g. Non Disclosed, Disclosed, No Bidding Process
395NumTicketsNTotal number of tickets/allocations assuming fully executed
15CurrencyNUsed to represent the currency of monetary amounts.
396SideValue1NExpressed in Currency
397SideValue2NExpressed in Currency
ComponentBidDescReqGrpNUsed if BidType=Non Disclosed
ComponentBidCompReqGrpNUsed if BidType=Disclosed
409LiquidityIndTypeN
410WtAverageLiquidityNOverall weighted average liquidity expressed as a % of average daily volume
411ExchangeForPhysicalN
412OutMainCntryUIndexN% value of stocks outside main country in Currency
413CrossPercentN% of program that crosses in Currency
414ProgRptReqsN
415ProgPeriodIntervalNTime in minutes between each ListStatus report sent by SellSide. Zero means don’t send status.
416IncTaxIndNNet/Gross
121ForexReqNIs foreign exchange required
417NumBiddersNIndicates the total number of bidders on the list
75TradeDateN
418BidTradeTypeY
419BasisPxTypeY
443StrikeTimeNUsed when BasisPxType = C
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

BidResponse Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = l (lowercase L)
390BidIDN
391ClientBidIDN
ComponentBidCompRspGrpYNumber of bid repeating groups
ComponentStandardTrailerY

ListStrikePrice Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = m (lowercase)
66ListIDY
422TotNoStrikesYUsed to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentInstrmtStrkPxGrpYNumber of strike price entries
ComponentStandardTrailerY

Appendix – SingleGeneralOrderHandling Category

Components

ContraGrp

TagNameReq’dDescription
382NoContraBrokersN
→375ContraBrokerNFirst field in repeating group. Required if NoContraBrokers > 0.
→337ContraTraderN
→437ContraTradeQtyN
→438ContraTradeTimeN
→655ContraLegRefIDN

FillsGrp

TagNameReq’dDescription
1362NoFillsN
→1363FillExecIDNUnique identifier of execution as assigned by sell-side (broker, exchange, ECN). Must not overlap ExecID(17). Required if NoFills > 0
→1364FillPxNPrice of this partial fill. Conditionally required if NoFills > 0. Refer to LastPx(31).
→1365FillQtyNQuantity (e.g. shares) bought/sold on this partial fill. Required if NoFills > 0.
→1443FillLiquidityIndN
ComponentNestedParties4NContraparty information

InstrmtLegExecGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNMust be provided if Number of legs > 0
→687LegQtyN
→685LegOrderQtyNWhen reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690LegSwapTypeNInstead of LegQty – requests that the sellside calculate LegQty based on opposite Leg
ComponentLegStipulationsN
→1366LegAllocIDN
ComponentLegPreAllocGrpN
→564LegPositionEffectNProvide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565LegCoveredOrUncoveredNProvide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
ComponentNestedParties3N
→654LegRefIDNUsed to identify a specific leg.
→587LegSettlTypeN
→588LegSettlDateNTakes precedence over LegSettlType value and conditionally required/omitted for specific LegSettlType values.
→637LegLastPxNUsed to report the execution price assigned to the leg of the multileg instrument
→675LegSettlCurrencyN
→1073LegLastForwardPointsN
→1074LegCalculatedCcyLastQtyN
→1075LegGrossTradeAmtNFor FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier (231) is required in this case.
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN
→1418LegLastQtyN

NestedParties4

TagNameReq’dDescription
1414NoNested4PartyIDsN
→1415Nested4PartyIDNUsed to identify source of Nested4PartyID. Required if Nested4PartyIDSource is specified. Required if NoNested4PartyIDs > 0.
→1416Nested4PartyIDSourceNUsed to identify class source of Nested4PartyID value (e.g. BIC). Required if Nested4PartyID is specified. Required if NoNested4PartyIDs > 0.
→1417Nested4PartyRoleNIdentifies the type of Nested4PartyID (e.g. Executing Broker). Required if NoNested4PartyIDs > 0.
ComponentNstdPtys4SubGrpN

NstdPtys4SubGrp

TagNameReq’dDescription
1413NoNested4PartySubIDsN
→1412Nested4PartySubIDN
→1411Nested4PartySubIDTypeN

Messages

ExecutionReport Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = 8
ComponentApplicationSequenceControlNFor use in drop copy applications. NOT FOR USE in transactional applications.
37OrderIDYOrderID is required to be unique for each chain of orders.
198SecondaryOrderIDNCan be used to provide order id used by exchange or executing system.
526SecondaryClOrdIDNIn the case of quotes can be mapped to:
– QuoteID(117) of a single Quote
– QuoteEntryID(299) of a Mass Quote.
527SecondaryExecIDN
11ClOrdIDNRequired when referring to orders that were 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
– QuoteID(117) of a Mass Quote.
41OrigClOrdIDNConditionally required for response to a Cancel or Cancel/Replace request (ExecType=PendingCancel, Replace, or Canceled) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
583ClOrdLinkIDN
693QuoteRespIDNRequired if responding to a QuoteResponse message. Echo back the Initiator’s value specified in the message.
790OrdStatusReqIDNRequired if responding to and if provided on the Order Status Request message. Echo back the value provided by the requester.
584MassStatusReqIDNRequired if responding to a Order Mass Status Request. Echo back the value provided by the requester.
961HostCrossIDNHost assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
911TotNumReportsNCan be used when responding to an Order Mass Status Request to identify the total number of Execution Reports which will be returned.
912LastRptRequestedNCan be used when responding to an Order Mass Status Request to indicate that this is the last Execution Reports which will be returned as a result of the request.
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229TradeOriginationDateN
ComponentContraGrpNNumber of ContraBrokers repeating group instances.
66ListIDNRequired for executions against orders which were submitted as part of a list.
548CrossIDNCrossID for the replacement order
551OrigCrossIDNMust match original cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
549CrossTypeN
880TrdMatchIDN
17ExecIDYUnique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) forExecType=I (Order Status)).
19ExecRefIDNRequired for Trade Cancel and Trade Correct ExecType messages
150ExecTypeYDescribes the purpose of the execution report.
39OrdStatusYDescribes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
636WorkingIndicatorNFor optional use with OrdStatus = 0 (New)
103OrdRejReasonNFor optional use with ExecType = 8 (Rejected)
378ExecRestatementReasonNRequired for ExecType = D (Restated).
1AccountNRequired for executions against electronically submitted orders which were assigned an account by the institution or intermediary
660AcctIDSourceN
581AccountTypeNSpecifies type of account
589DayBookingInstN
590BookingUnitN
591PreallocMethodN
70AllocIDN
ComponentPreAllocGrpNPre-trade allocation instructions.
63SettlTypeN
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettleType values.
Required for NDFs to specify the value date.
574MatchTypeN
1115OrderCategoryN
544CashMarginN
635ClearingFeeIndicatorN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
54SideY
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
854QtyTypeN
ComponentOrderQtyDataNInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
**IMPORTANT NOTE: OrderQty field is required for Single Instrument Orders unless rejecting or acknowledging an order for a CashOrderQty or PercentOrder. **
1093LotTypeN
40OrdTypeN
423PriceTypeN
44PriceNRequired if specified on the order
1092PriceProtectionScopeN
99StopPxNRequired if specified on the order
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
839PeggedPriceNThe current price the order is pegged at
1095PeggedRefPriceNThe reference price of a pegged order.
845DiscretionPriceNThe current discretionary price of the order
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
850TargetStrategyPerformanceNFor communication of the performance of the order versus the target strategy
15CurrencyN
376ComplianceIDN
377SolicitedFlagN
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNTime specified on the order at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
18ExecInstNCan contain multiple instructions, space delimited.
1057AggressorIndicatorN
528OrderCapacityN
529OrderRestrictionsN
1091PreTradeAnonymityN
582CustOrderCapacityN
32LastQtyNQuantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType = Trade or Trade Correct.
If ExecType=Stopped, represents the quantity stopped/guaranteed/protected for.
1056CalculatedCcyLastQtyNUsed for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType = Trade or Trade Correct and is an FX trade.
1071LastSwapPointsNOptionally used when ExecType = Trade or Trade Correct and is a FX Swap trade. Used to express the swap points for the swap trade event.
652UnderlyingLastQtyN
31LastPxNPrice of this (last) fill. Required if ExecType = Trade or Trade Correct.
Should represent the all-in (LastSpotRate + LastForwardPoints) rate for F/X orders. ).
If ExecType=Stopped, represents the price stopped/guaranteed/protected at.
Not required for FX Swap when ExecType = Trade or Trade Correct as there is no all-in rate that applies to both legs of the FX Swap.
651UnderlyingLastPxN
669LastParPxNLast price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
194LastSpotRateNApplicable for F/X orders
195LastForwardPointsNApplicable for F/X orders
30LastMktNIf ExecType = Trade (F), indicates the market where the trade was executed. If ExecType = New (0), indicates the market where the order was routed.
336TradingSessionIDN
625TradingSessionSubIDN
943TimeBracketN
29LastCapacityN
151LeavesQtyYQuantity open for further execution. If the OrdStatus is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty – CumQty.
14CumQtyYCurrently executed quantity for chain of orders.
6AvgPxNNot required for markets where average price is not calculated by the market.
Conditionally required otherwise.
424DayOrderQtyNFor GT orders on days following the day of the first trade.
425DayCumQtyNFor GT orders on days following the day of the first trade.
426DayAvgPxNFor GT orders on days following the day of the first trade.
1361TotNoFillsNUsed to support fragmentation. Sum of NoFills across all messages with the same ExecID.
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentFillsGrpNSpecifies the partial fills included in this Execution Report
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
75TradeDateNUsed when reporting other than current day trades.
60TransactTimeNTime the transaction represented by this ExecutionReport occurred
113ReportToExchN
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
Note: On a fill/partial fill messages, it represents value for that fill/partial fill. On ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
381GrossTradeAmtN
157NumDaysInterestN
230ExDateN
158AccruedInterestRateN
159AccruedInterestAmtN
738InterestAtMaturityNFor fixed income products which pay lump-sum interest at maturity.
920EndAccruedInterestAmtNFor repurchase agreements the accrued interest on termination.
921StartCashNFor repurchase agreements the start (dirty) cash consideration
922EndCashNFor repurchase agreements the end (dirty) cash consideration
258TradedFlatSwitchN
259BasisFeatureDateN
260BasisFeaturePriceN
238ConcessionN
237TotalTakedownN
118NetMoneyNNote: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
119SettlCurrAmtNUsed to report results of forex accommodation trade
120SettlCurrencyNUsed to report results of forex accomodation trade.
Required for NDFs.
ComponentRateSourceN
155SettlCurrFxRateNForeign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
156SettlCurrFxRateCalcNSpecifies whether the SettlCurrFxRate should be multiplied or divided
21HandlInstN
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
77PositionEffectNFor use in derivatives omnibus accounting
210MaxShowN
775BookingTypeNMethod 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.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
641LastForwardPoints2NCan be used with OrdType = Forex – Swap to specify the forward points (added to LastSpotRate) for the future portion of a F/X swap.
442MultiLegReportingTypeNDefault is a single security if not specified.
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
483TransBkdTimeNFor CIV – Optional
515ExecValuationPointNFor CIV – Optional
484ExecPriceTypeNFor CIV – Optional
485ExecPriceAdjustmentNFor CIV – Optional
638PriorityIndicatorN
639PriceImprovementN
851LastLiquidityIndNApplicable only on OrdStatus of Partial or Filled.
ComponentContAmtGrpNNumber of contract details in this message (number of repeating groups to follow)
ComponentInstrmtLegExecGrpNNumber of legs
Identifies a Multi-leg Execution if present and non-zero.
797CopyMsgIndicatorN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
1380DividendYieldN
1028ManualOrderIndicatorN
1029CustDirectedOrderN
1030ReceivedDeptIDN
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
ComponentTrdRegTimestampsN
1188VolatilityN
1189TimeToExpirationN
1190RiskFreeRateN
811PriceDeltaN
ComponentStandardTrailerY

OrderCancelReject Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = 9
37OrderIDYIf CxlRejReason=Unknown order, specify NONE.
198SecondaryOrderIDNCan be used to provide order id used by exchange or executing system.
526SecondaryClOrdIDN
11ClOrdIDYUnique order id assigned by institution or by the intermediary with closest association with the investor. to the cancel request or to the replacement order.
583ClOrdLinkIDN
41OrigClOrdIDNClOrdID(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.
39OrdStatusYOrdStatus value after this cancel reject is applied.
If CxlRejReason = Unknown Order, specify Rejected.
636WorkingIndicatorNFor optional use with OrdStatus = 0 (New)
586OrigOrdModTimeN
66ListIDNRequired for rejects against orders which were submitted as part of a list.
1AccountN
660AcctIDSourceN
581AccountTypeN
229TradeOriginationDateN
75TradeDateN
60TransactTimeN
434CxlRejResponseToY
102CxlRejReasonN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

ExecutionAcknowledgement Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = BN
37OrderIDY
198SecondaryOrderIDN
11ClOrdIDNConditionally required if the Execution Report message contains a ClOrdID.
1036ExecAckStatusYIndicates 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.
17ExecIDYThe ExecID of the Execution Report being acknowledged.
127DKReasonNConditionally required when ExecAckStatus = 2 (Don’t know / Rejected).
ComponentInstrumentY
ComponentUndInstrmtGrpN
ComponentInstrmtLegGrpN
54SideY
ComponentOrderQtyDataY
32LastQtyNConditionally required if specified on the Execution Report
31LastPxNConditionally Required if specified on the Execution Report
423PriceTypeNConditionally required if specified on the Execution Report
669LastParPxNConditionally required if specified on the Execution Report
14CumQtyNConditionally required if specified on the Execution Report
6AvgPxNConditionally required if specified on the Execution Report
58TextNConditionally required if DKReason = other
354EncodedTextLenN
355EncodedTextN
ComponentStandardTrailerY

NewOrderSingle Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = D
11ClOrdIDYUnique 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.
526SecondaryClOrdIDN
583ClOrdLinkIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229TradeOriginationDateN
75TradeDateN
1AccountN
660AcctIDSourceN
581AccountTypeNType of account associated with the order (Origin)
589DayBookingInstN
590BookingUnitN
591PreallocMethodN
70AllocIDNUsed to assign an overall allocation id to the block of preallocations
ComponentPreAllocGrpNNumber of repeating groups for pre-trade allocation
63SettlTypeNFor NDFs either SettlType or SettlDate should be specified.
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544CashMarginN
635ClearingFeeIndicatorN
21HandlInstN
18ExecInstNCan 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.
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionN
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
81ProcessCodeNUsed to identify soft trades at order entry.
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
140PrevClosePxNUseful for verifying security identification
54SideY
114LocateReqdNRequired for short sell orders
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
ComponentStipulationsNInsert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
854QtyTypeN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
40OrdTypeY
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15CurrencyN
376ComplianceIDN
377SolicitedFlagN
23IOIIDNRequired for Previously Indicated Orders (OrdType=E)
117QuoteIDNRequired for Previously Quoted Orders (OrdType=D)
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
528OrderCapacityN
529OrderRestrictionsN
1091PreTradeAnonymityN
582CustOrderCapacityN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq=Y.
Required for NDFs.
775BookingTypeNMethod 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.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
640Price2NCan be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the all-in rate (spot rate adjusted for forward points).
77PositionEffectNFor use in derivatives omnibus accounting
203CoveredOrUncoveredNFor use with derivatives, such as options
210MaxShowN
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
1028ManualOrderIndicatorN
1029CustDirectedOrderN
1030ReceivedDeptIDN
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
ComponentTrdRegTimestampsN
1080RefOrderIDNRequired for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081RefOrderIDSourceNConditionally required if RefOrderID is specified.
ComponentStandardTrailerY

OrderCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = F
41OrigClOrdIDNClOrdID(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
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
11ClOrdIDYUnique ID of cancel request as assigned by the institution.
526SecondaryClOrdIDN
583ClOrdLinkIDN
66ListIDNRequired for List Orders
586OrigOrdModTimeN
1AccountN
660AcctIDSourceN
581AccountTypeN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
ComponentUndInstrmtGrpNNumber of underlyings
54SideY
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
Note: OrderQty = CumQty + LeavesQty (see exceptions above)
376ComplianceIDN
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

OrderCancelReplaceRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = G
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229TradeOriginationDateN
75TradeDateN
41OrigClOrdIDNClOrdID(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
11ClOrdIDYUnique 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.
526SecondaryClOrdIDN
583ClOrdLinkIDN
66ListIDNRequired for List Orders
586OrigOrdModTimeNTransactTime of the last state change that occurred to the original order
1AccountN
660AcctIDSourceN
581AccountTypeN
589DayBookingInstN
590BookingUnitN
591PreallocMethodN
70AllocIDNUsed to assign an overall allocation id to the block of preallocations
ComponentPreAllocGrpNNumber of repeating groups for pre-trade allocation
63SettlTypeNFor NDFs either SettlType or SettlDate should be specified.
64SettlDateNTakes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544CashMarginN
635ClearingFeeIndicatorN
21HandlInstN
18ExecInstNCan 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).
110MinQtyN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
100ExDestinationN
1133ExDestinationIDSourceN
ComponentTrdgSesGrpNSpecifies the number of repeating TradingSessionIDs
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Must match original order
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
ComponentUndInstrmtGrpNNumber of underlyings
54SideYShould 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
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
854QtyTypeN
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
Note: OrderQty value should be the Total Intended Order Quantity (including the amount already executed for this chain of orders)
40OrdTypeY
423PriceTypeN
44PriceNRequired 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.
1092PriceProtectionScopeN
99StopPxNRequired for OrdType = Stop or OrdType = Stop limit.
ComponentTriggeringInstructionNInsert here the set of TriggeringInstruction fields defined in common components of application messages
ComponentSpreadOrBenchmarkCurveDataNInsert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
ComponentYieldDataNInsert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
ComponentPegInstructionsNInsert here the set of PegInstruction fields defined in Common Components of Application Messages
ComponentDiscretionInstructionsNInsert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847TargetStrategyNThe target strategy of the order
ComponentStrategyParametersGrpNStrategy parameter block
848TargetStrategyParametersNFor further specification of the TargetStrategy
849ParticipationRateNMandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
376ComplianceIDN
377SolicitedFlagN
15CurrencyNMust match original order.
59TimeInForceNAbsence of this field indicates Day order
168EffectiveTimeNCan specify the time at which the order should be considered valid
432ExpireDateNConditionally required if TimeInForce = GTD and ExpireTime is not specified.
126ExpireTimeNConditionally required if TimeInForce = GTD and ExpireDate is not specified.
427GTBookingInstNStates whether executions are booked out or accumulated on a partially filled GT order
ComponentCommissionDataNInsert here the set of CommissionData fields defined in Common Components of Application Messages
528OrderCapacityN
529OrderRestrictionsN
1091PreTradeAnonymityN
582CustOrderCapacityN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq=Y.
Required for NDFs.
775BookingTypeNMethod 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.
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193SettlDate2NCan be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192OrderQty2NCan be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
640Price2NCan be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap.
77PositionEffectNFor use in derivatives omnibus accounting
203CoveredOrUncoveredNFor use with derivatives, such as options
210MaxShowN
114LocateReqdNRequired for short sell orders
480CancellationRightsNFor CIV – Optional
481MoneyLaunderingStatusN
513RegistIDNReference to Registration Instructions message for this Order.
494DesignationNSupplementary registration information for this Order
1028ManualOrderIndicatorN
1029CustDirectedOrderN
1030ReceivedDeptIDN
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
ComponentTrdRegTimestampsN
ComponentStandardTrailerY

OrderStatusRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = H
37OrderIDNConditionally required if ClOrdID(11) is not provided. Either OrderID or ClOrdID must be provided.
11ClOrdIDNThe 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.
526SecondaryClOrdIDN
583ClOrdLinkIDN
ComponentPartiesNInsert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
790OrdStatusReqIDNOptional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided.
1AccountN
660AcctIDSourceN
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentFinancingDetailsNInsert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
ComponentUndInstrmtGrpNNumber of underlyings
54SideY
ComponentStandardTrailerY

DontKnowTrade Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = Q
37OrderIDYBroker Order ID as identified on problem execution
198SecondaryOrderIDN
17ExecIDYExecution ID of problem execution
127DKReasonY
ComponentInstrumentYInsert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
ComponentUndInstrmtGrpNNumber of underlyings
ComponentInstrmtLegGrpNNumber of Legs
54SideY
ComponentOrderQtyDataYInsert here the set of OrderQtyData fields defined in Common Components of Application Messages
32LastQtyNRequired if specified on the ExecutionRpt
31LastPxNRequired if specified on the ExecutionRpt
58TextN
354EncodedTextLenNMust be set if EncodedText field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ComponentStandardTrailerY

Appendix – Common Category

Components

DiscretionInstructions

TagNameReq’dDescription
388DiscretionInstNWhat the discretionary price is related to (e.g. primary price, display price etc)
389DiscretionOffsetValueNAmount (signed) added to the related to price specified via DiscretionInst, in the context of DiscretionOffsetType
841DiscretionMoveTypeNDescribes whether discretion price is static/fixed or floats
842DiscretionOffsetTypeNType of Discretion Offset (e.g. price offset, tick offset etc)
843DiscretionLimitTypeNSpecifies the nature of the resulting discretion price (e.g. or better limit, strict limit etc)
844DiscretionRoundDirectionNIf the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive)
846DiscretionScopeNThe scope of related to price of the discretion (e.g. local, global etc)

LegPreAllocGrp

TagNameReq’dDescription
670NoLegAllocsN
→671LegAllocAccountN
→672LegIndividualAllocIDN
ComponentNestedParties2N
→673LegAllocQtyN
→674LegAllocAcctIDSourceN
→1367LegAllocSettlCurrencyN

NestedParties3

TagNameReq’dDescription
948NoNested3PartyIDsN
→949Nested3PartyIDNUsed to identify source of Nested3PartyID. Required if Nested3PartyIDSource is specified. Required if NoNested3PartyIDs > 0.
→950Nested3PartyIDSourceNUsed to identify class source of Nested3PartyID value (e.g. BIC). Required if Nested3PartyID is specified. Required if NoNested3PartyIDs > 0.
→951Nested3PartyRoleNIdentifies the type of Nested3PartyID (e.g. Executing Broker). Required if NoNested3PartyIDs > 0.
ComponentNstdPtys3SubGrpNRepeating group of Nested3Party sub-identifiers.

NstdPtys3SubGrp

TagNameReq’dDescription
952NoNested3PartySubIDsN
→953Nested3PartySubIDN
→954Nested3PartySubIDTypeN

PegInstructions

TagNameReq’dDescription
211PegOffsetValueNAmount (signed) added to the peg for a pegged order in the context of the PegOffsetType
1094PegPriceTypeNDefines the type of peg.
835PegMoveTypeNDescribes whether peg is static/fixed or floats
836PegOffsetTypeNType of Peg Offset (e.g. price offset, tick offset etc)
837PegLimitTypeNSpecifies nature of resulting pegged price (e.g. or better limit, strict limit etc)
838PegRoundDirectionNIf the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive)
840PegScopeNThe scope of the related to price of the peg (e.g. local, global etc)
1096PegSecurityIDSourceNRequired if PegSecurityID is specified.
1097PegSecurityIDNRequires PegSecurityIDSource if specified.
1098PegSymbolN
1099PegSecurityDescN

PreAllocGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs > 0. Must be first field in repeating group.
→661AllocAcctIDSourceN
→736AllocSettlCurrencyN
→467IndividualAllocIDN
ComponentNestedPartiesNInsert 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
→80AllocQtyN

StrategyParametersGrp

TagNameReq’dDescription
957NoStrategyParametersN
→958StrategyParameterNameNName of parameter
→959StrategyParameterTypeNDatatype of the parameter.
→960StrategyParameterValueNValue of the parameter

TriggeringInstruction

TagNameReq’dDescription
1100TriggerTypeNRequired if any other Triggering tags are specified.
1101TriggerActionN
1102TriggerPriceNOnly relevant and required for TriggerAction = 1
1103TriggerSymbolNOnly relevant and required for TriggerAction = 1
1104TriggerSecurityIDNRequires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1105TriggerSecurityIDSourceNRequires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1106TriggerSecurityDescN
1107TriggerPriceTypeNOnly relevant for TriggerAction = 1
1108TriggerPriceTypeScopeNOnly relevant for TriggerAction = 1
1109TriggerPriceDirectionNOnly relevant for TriggerAction = 1
1110TriggerNewPriceNShould be specified if the order changes Price.
1111TriggerOrderTypeNShould be specified if the order changes type.
1112TriggerNewQtyNRequired if the order should change quantity
1113TriggerTradingSessionIDNOnly relevant and required for TriggerType = 2.
1114TriggerTradingSessionSubIDNRequires TriggerTradingSessionID if specified. Relevant for TriggerType = 2 only.