Appendix – CrossOrders Category

Components

SideCrossLegGrp

TagNameReq’dDescription
1829NoCrossLegsN
→654LegRefIDNRequired if NoCrossLegs(1829) > 0.
→685LegOrderQtyNQuantity ordered for this leg as provided during order entry.
→690LegSwapTypeN
ComponentLegStipulationsN
→1366LegAllocIDN
ComponentLegPreAllocGrpN
→1817LegClearingAccountTypeNProvide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
→564LegPositionEffectNProvide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
→565LegCoveredOrUncoveredNProvide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
ComponentNestedParties3N
→587LegSettlTypeN
→588LegSettlDateN
→675LegSettlCurrencyN
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN
→1689LegShortSaleExemptionReasonNAvailable for optional use when LegSide(624) = 6(Sell short exempt) in InstrumentLeg component.

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
ComponentOrderQtyDataY
→376ComplianceIDN
→2404ComplianceTextN
→2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→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
→54SideYRequired if NoSides(552) > 0.
→2102ShortMarkingExemptIndicatorN
→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
ComponentPartiesN
ComponentSideCrossLegGrpN
→1690SideShortSaleExemptionReasonNAvailable for optional use when Side(54) = 6 (Sell short exempt).
→229TradeOriginationDateN
→75TradeDateN
→1AccountN
→660AcctIDSourceN
→581AccountTypeN
→589DayBookingInstN
→590BookingUnitN
→591PreallocMethodN
→70AllocIDNUse to assign an identifier to the block of preallocations
ComponentPreAllocGrpN
→854QtyTypeN
ComponentOrderQtyDataY
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→528OrderCapacityN
→529OrderRestrictionsN
→1724OrderOriginationN
→1725OriginatingDeptIDN
→1726ReceivingDeptIDN
→2883RoutingArrangmentIndicatorN
→1091PreTradeAnonymityN
→582CustOrderCapacityN
→121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
→120SettlCurrencyNConditionally required when ForexReq(121) = 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.
→1816ClearingAccountTypeN
→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
2422OrderRequestIDN
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
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
1300MarketSegmentIDN
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
1815TradingCapacityN
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
1685ThrottleInstN
ComponentStandardTrailerY

CrossOrderCancelReplaceRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = t (lowercase T)
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422OrderRequestIDNRequired if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
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
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
ComponentDisplayInstructionNInsert here the set of DisplayInstruction fields defined in common components of application messages
111MaxFloorN
1300MarketSegmentIDN
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
1815TradingCapacityN
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
1685ThrottleInstN
ComponentStandardTrailerY

CrossOrderCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = u (lowercase U)
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422OrderRequestIDNRequired if provided on the order being cancelled. Echo back the value provided by the requester.
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
1300MarketSegmentIDN
60TransactTimeYTime this order request was initiated/released by the trader, trading system, or intermediary.
ComponentStandardTrailerY

Appendix – MultilegOrders Category

Components

PreAllocMlegGrp

TagNameReq’dDescription
78NoAllocsN
→79AllocAccountNRequired if NoAllocs > 0. Must be first field in repeating group.
→661AllocAcctIDSourceN
→736AllocSettlCurrencyN
→467IndividualAllocIDN
→2727AllocLegRefIDN
ComponentNestedParties3NInsert here the set of NestedParties3 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80AllocQtyN
→1752CustodialLotIDNOnly used for specific lot trades.
→1753VersusPurchaseDateNOnly used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754VersusPurchasePriceNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755CurrentCostBasisNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

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.
2422OrderRequestIDN
526SecondaryClOrdIDN
583ClOrdLinkIDN
ComponentPartiesNThis is party information related to the submitter of the request.
ComponentTargetPartiesNIdentifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
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.
1805AuctionInstructionN
110MinQtyN
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
2676MaximumPricePercentageN
ComponentValueChecksGrpN
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
ComponentDisplayInstructionN
ComponentDisclosureInstructionGrpNSpecifies instructions to disclose certain order level information in market data.
111MaxFloorN
1300MarketSegmentIDN
100ExDestinationN
1133ExDestinationIDSourceN
2704ExDestinationTypeN
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.
2102ShortMarkingExemptIndicatorN
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
ComponentOrderQtyDataNConditionally 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).
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
1740TradePriceNegotiationMethodN
1741UpfrontPriceTypeN
1742UpfrontPriceNUpfront 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).
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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.
1806RefClOrdIDN
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528OrderCapacityN
529OrderRestrictionsN
1815TradingCapacityN
1091PreTradeAnonymityN
1390TradePublishIndicatorN
582CustOrderCapacityN
1724OrderOriginationN
ComponentOrderAttributeGrpN
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.
1816ClearingAccountTypeN
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.
1685ThrottleInstN
1803AuctionTypeNConditionally required for auction orders.
1804AuctionAllocationPctN
1819RelatedHighPriceN
1820RelatedLowPriceN
1821RelatedPriceSourceN
ComponentStandardTrailerY

MultilegOrderCancelReplace Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = AC
37OrderIDNUnique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
2422OrderRequestIDNRequired if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
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
ComponentPartiesNThis is party information related to the submitter of the request.
ComponentTargetPartiesNIdentifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
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.
1805AuctionInstructionN
110MinQtyN
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
2676MaximumPricePercentageN
ComponentValueChecksGrpN
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
ComponentDisplayInstructionN
ComponentDisclosureInstructionGrpNSpecifies instructions to disclose certain order level information in market data.
111MaxFloorN
1300MarketSegmentIDN
100ExDestinationN
1133ExDestinationIDSourceN
2704ExDestinationTypeN
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.
2102ShortMarkingExemptIndicatorN
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
ComponentOrderQtyDataNConditionally required when the OrderQtyData component is specified in the NewOrderMultileg(35=AB) message.
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
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528OrderCapacityN
529OrderRestrictionsN
1815TradingCapacityN
1091PreTradeAnonymityN
1390TradePublishIndicatorN
582CustOrderCapacityN
1724OrderOriginationN
ComponentOrderAttributeGrpN
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.
1816ClearingAccountTypeN
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
522OwnerTypeN
2679OrderOwnershipIndicatorNCan be used to request change of order ownership.
563MultiLegRptTypeReqNIndicates the method of execution reporting requested by issuer of the order.
1685ThrottleInstN
1803AuctionTypeNConditionally required for auction orders.
1804AuctionAllocationPctN
1819RelatedHighPriceN
1820RelatedLowPriceN
1821RelatedPriceSourceN
ComponentStandardTrailerY

Appendix – OrderMassHandling Category

Components

AffectedMarketSegmentGrp

TagNameReq’dDescription
1791NoAffectedMarketSegmentsN
→1792AffectedMarketSegmentIDNRequired when NoAffectedMarketSegments(1791) > 0.

AffectedOrdGrp

TagNameReq’dDescription
534NoAffectedOrdersN
→1824AffectedOrigClOrdIDNRequired 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.
→535AffectedOrderIDNContains the OrderID(37) assigned by the counterparty of an affected order. Conditionally required when AffectedOrigClOrdID(1824) = MANUAL.
→536AffectedSecondaryOrderIDNContains the SecondaryOrderID(198) assigned by the counterparty of an affected order.

NotAffectedMarketSegmentGrp

TagNameReq’dDescription
1793NoNotAffectedMarketSegmentsN
→1794NotAffectedMarketSegmentIDNRequired when NoNotAffectedMarketSegments(1793) > 0.

NotAffectedOrdGrp

TagNameReq’dDescription
1370NoNotAffectedOrdersN
→1372NotAffOrigClOrdIDNRequired 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.
→1371NotAffectedOrderIDNContains 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.
→1825NotAffSecondaryOrderIDNContains the SecondaryOrderID(198) assigned by the counterparty of an unaffected order. Not required as part of the repeating group.
→2677NotAffectedReasonNCan be used to provide a reason for excluding this order from the scope of the mass action.

OrderEntryAckGrp

TagNameReq’dDescription
2428NoOrderEntriesN
→39OrdStatusNRequired if NoOrderEntries(2428) > 0.
→150ExecTypeNRequired if NoOrderEntries(2428) > 0.
→2431ExecTypeReasonN
→2429OrderEntryActionN
→2430OrderEntryIDNConditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
→11ClOrdIDNConditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
→41OrigClOrdIDNClOrdID(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.
→37OrderIDNConditionally required when neither OrderEntryID(2430) nor ClOrdID(11) is provided.
→103OrdRejReasonN
→14CumQtyNUse to explicitly provide executed quantity.
→151LeavesQtyNUse to explicitly provide remaining quantity.
→84CxlQtyNUse to explicitly provide cancelled quantity.
→40OrdTypeN
→44PriceN
→54SideN
→59TimeInForceN
ComponentOrderQtyDataN
ComponentInstrumentN

OrderEntryGrp

TagNameReq’dDescription
2428NoOrderEntriesN
→2429OrderEntryActionNRequired if NoOrderEntries(2428) > 0.
→2430OrderEntryIDNUnique order entry identification across all entries of a single message. Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
→11ClOrdIDNConditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
→41OrigClOrdIDNConditionally required when OrderEntryAction(2429) is not 1 (Add), ClOrdID(11) was provided in original order, and message-chaining model is used.
→37OrderIDNConditionally required when OrderEntryAction(2429) is not 1 (Add) and neither OrderEntryID(2430) nor ClOrdID(11) is provided.
→40OrdTypeNConditionally 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.
→44PriceNConditionally required when OrdType(40) = 2 (Limit)
→54SideNConditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
→59TimeInForceNOnly subset of values permitted that do not require additional fields
ComponentOrderQtyDataNConditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
ComponentInstrumentNRequired if NoOrderEntries(2432) > 0.

TargetMarketSegmentGrp

TagNameReq’dDescription
1789NoTargetMarketSegmentsN
→1790TargetMarketSegmentIDNRequired when NoTargetMarketSegments(1789) > 0.

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
2675MassActionReasonNSpecifies the reason for the action taken.
1375MassActionResponseYIndicates the action taken by the counterparty order handling system as a result of the Action Request.
1376MassActionRejectReasonNIndicates why Order Mass Action Request was rejected
Required if MassActionResponse(1375) = 0 (Rejected).
533TotalAffectedOrdersNOptional field used to indicate the total number of orders affected by the Order Mass Action Request
2678TotalNotAffectedOrdersNOptional field used to indicate the total number of orders within the scope but not affected by the OrderMassActionRequest(35=CA).
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentAffectedOrdGrpNList of orders affected by the Order Mass Action Request.
ComponentNotAffectedOrdGrpNList of orders not affected by the Order Mass Action Request.
ComponentAffectedMarketSegmentGrpNList of market segments affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
ComponentNotAffectedMarketSegmentGrpNList of market segments not affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
1301MarketIDNMarketID for which orders are to be affected
1300MarketSegmentIDNMarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
ComponentTargetMarketSegmentGrpNMutually exclusive with MarketSegmentID(1300).
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
44PriceN
60TransactTimeNTime this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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
2675MassActionReasonNSpecifies the reason for the action requested.
1301MarketIDNMarketID for which orders are to be affected
1300MarketSegmentIDNMarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
ComponentTargetMarketSegmentGrpNList of market segments for which orders are to be affected. Mutually exclusive with MarketSegmentID(1300).
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
54SideNCan be used to filter for orders of a single instrument.
44PriceNCan be used to filter for orders of a single instrument.
60TransactTimeY
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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

MassOrder Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DJ
2423MassOrderRequestIDYUnique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
2427OrderResponseLevelN
1301MarketIDN
1300MarketSegmentIDN
ComponentPartiesNThis is party information related to the submitter.
1815TradingCapacityN
1816ClearingAccountTypeN
1AccountN
660AcctIDSourceN
581AccountTypeN
528OrderCapacityN
529OrderRestrictionsN
582CustOrderCapacityN
1028ManualOrderIndicatorN
1031CustOrderHandlingInstN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
1685ThrottleInstN
2432TotNoOrderEntriesNUsed to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryGrp across all messages with the same MassOrderRequestID(2423).
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentOrderEntryGrpY
ComponentStandardTrailerY

MassOrderAck Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType=DK
ComponentApplicationSequenceControlYFor use in drop copy applications. NOT FOR USE in transactional applications.
2423MassOrderRequestIDNUnique identifier of MassOrder(35=DJ) message as assigned by the submitter of the request.
2424MassOrderReportIDNUnique identifier of MassOrder(35=DJ) message as assigned by the receiver
2425MassOrderRequestStatusYMessage level request status
2426MassOrderRequestResultNMessage level request result
2427OrderResponseLevelNLevel of response requested from receiver of MassOrder (35=DJ) message.
1328RejectTextN
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
1301MarketIDN
1300MarketSegmentIDN
ComponentPartiesN
1815TradingCapacityY
1816ClearingAccountTypeN
1AccountN
660AcctIDSourceN
581AccountTypeN
528OrderCapacityN
529OrderRestrictionsN
582CustOrderCapacityN
1028ManualOrderIndicatorN
1031CustOrderHandlingInstN
60TransactTimeN
58TextN
354EncodedTextLenNMust be set if EncodedRejectText(355) field is specified and must immediately precede it.
355EncodedTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
797CopyMsgIndicatorN
2432TotNoOrderEntriesNUsed to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryAckGrp across all messages with the same MassOrderRequestID(2423).
893LastFragmentNIndicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ComponentThrottleResponseN
ComponentOrderEntryAckGrpN
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
ComponentNotAffectedOrdGrpNList 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.
→2102ShortMarkingExemptIndicatorN
→1688ShortSaleExemptionReasonNAvailable for optional use when Side(54) = 6(Sell short exempt).
→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
→2404ComplianceTextN
→2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
→2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
→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
→1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
→1916ExposureDurationUnitN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
→528OrderCapacityN
→529OrderRestrictionsN
→1091PreTradeAnonymityN
→582CustOrderCapacityN
ComponentOrderAttributeGrpN
→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
→1028ManualOrderIndicatorN

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.
2401ListManualOrderIndicatorN
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)
1685ThrottleInstN
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(1362) > 0.
→1364FillPxNPrice of this partial fill.
Required if NoFills(1362) > 0.
Refer to LastPx(31).
→1365FillQtyNQuantity (e.g. shares) bought/sold on this partial fill.
Required if NoFills(1362) > 0.
→2673FillMatchIDNCan be used to refer to the related match event.
→2674FillMatchSubIDNCan be used to refer to a price level (e.g. match step, clip) within the related match event.
→1443FillLiquidityIndN
→1622FillYieldTypeN
→1623FillYieldN
ComponentNestedParties4NContraparty information

InstrmtLegExecGrp

TagNameReq’dDescription
555NoLegsN
ComponentInstrumentLegNRequired if NoLegs(555) > 0.
→685LegOrderQtyNQuantity ordered for this leg as provided during order entry.
→687LegQtyNThe LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
→2346LegMidPxN
→690LegSwapTypeNInstead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
ComponentLegStipulationsN
→1366LegAllocIDN
ComponentLegPreAllocGrpN
→2680LegAccountN
→1817LegClearingAccountTypeNProvide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
→564LegPositionEffectNProvide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
→565LegCoveredOrUncoveredNProvide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
ComponentNestedParties3N
→654LegRefIDNUse of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
→587LegSettlTypeN
→588LegSettlDateNTakes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value.
Conditionally required when LegSettlType(587) = B(Broken date).
→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(1418) and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier(231) is required in this case.
→1689LegShortSaleExemptionReasonNAvailable for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
→1379LegVolatilityN
→1381LegDividendYieldN
→1383LegCurrencyRatioN
→1384LegExecInstN
→1418LegLastQtyNQuantity executed for this leg.
→2421FillRefIDNUse to reference the partial execution of a multi-leg order to which this leg execution belongs.

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.
→2383Nested4PartyRoleQualifierN
ComponentNstdPtys4SubGrpN

NstdPtys4SubGrp

TagNameReq’dDescription
1413NoNested4PartySubIDsN
→1412Nested4PartySubIDN
→1411Nested4PartySubIDTypeN

OrderEventGrp

TagNameReq’dDescription
1795NoOrderEventsN
→1796OrderEventTypeNRequired when NoOrderEvents(1795) > 0.
→1797OrderEventExecIDN
→1798OrderEventReasonN
→1799OrderEventPxN
→1800OrderEventQtyN
→1801OrderEventLiquidityIndicatorN
→1802OrderEventTextN

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.
2422OrderRequestIDNRequired if provided on the order message. Echo back the value provided in the order message.
2423MassOrderRequestIDNCan be used to link execution to the MassOrder(35=DJ) message.
198SecondaryOrderIDNCan be used to provide order id used by exchange or executing system. Can alternatively be used to convey implicit order priority.
526SecondaryClOrdIDN
527SecondaryExecIDN
11ClOrdIDNRequired 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)
1166QuoteMsgIDNIn 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)
41OrigClOrdIDNConditionally 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.
583ClOrdLinkIDN
278MDEntryIDNReference to the MDEntryID(278) of this order or quote in the market data.
693QuoteRespIDNRequired if responding to a QuoteResponse(35=AJ) message. Echo back the Initiator’s value specified in the message.
790OrdStatusReqIDNRequired if responding to and if provided on the OrderStatusRequest(35=H) message. Echo back the value provided by the requester.
584MassStatusReqIDNRequired if responding to a OrderMassStatusRequest(35=AF). 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 OrderMassStatusRequest(35=AF) to identify the total number of ExecutionReport(35=8) messages which will be returned.
912LastRptRequestedNCan 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.
ComponentPartiesNSpecifies party information related to the submitter.
ComponentTargetPartiesNSpecifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
229TradeOriginationDateN
ComponentContraGrpN
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(11)/OrigClOrdID(41) with OrderCancelReplaceRequest(35=G).
549CrossTypeN
2334RefRiskLimitCheckIDN
2335RefRiskLimitCheckIDTypeNConditionally required when RefRiskLimitCheckID(2334) is specified.
880TrdMatchIDN
1891TrdMatchSubIDN
17ExecIDYUnique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType(150) = I (Order Status)).
19ExecRefIDNRequired for ExecType(150) = H (Trade Cancel) and ExecType(150) = G (Trade Correct).
150ExecTypeYDescribes the purpose of the execution report.
2431ExecTypeReasonNCan be used to provide further detail for ExecType(150) field.
39OrdStatusYDescribes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
636WorkingIndicatorNFor optional use with OrdStatus = 0 (New)
2838CurrentWorkingPriceN
103OrdRejReasonNFor optional use with ExecType = 8 (Rejected)
1328RejectTextNReason description for rejecting the transaction request.
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
378ExecRestatementReasonNRequired for ExecType = D (Restated).
2667AlgorithmicTradeIndicatorN
828TrdTypeN
829TrdSubTypeN
855SecondaryTrdTypeN
2347RegulatoryTransactionTypeN
ComponentRegulatoryTradeIDGrpN
570PreviouslyReportedN
2524TradeReportingIndicatorNMay be used to bilaterally inform counterparty of trade reporting status.
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
ComponentInstrumentY
ComponentFinancingDetailsN
ComponentUndInstrmtGrpNNumber of underlyings
ComponentPaymentGrpN
54SideY
2102ShortMarkingExemptIndicatorN
1688ShortSaleExemptionReasonNAvailable for optional use when Side(54) = 6(Sell short exempt).
ComponentStipulationsN
854QtyTypeN
ComponentOrderQtyDataNConditionally 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.
1093LotTypeN
40OrdTypeN
423PriceTypeN
ComponentPriceQualifierGrpN
44PriceNRequired if specified on the order
1092PriceProtectionScopeN
99StopPxNRequired if specified on the order
ComponentTriggeringInstructionN
1823TriggeredN
ComponentPegInstructionsN
ComponentDiscretionInstructionsN
839PeggedPriceNThe current price the order is pegged at
1095PeggedRefPriceNThe reference price of a pegged order.
845DiscretionPriceNThe current discretionary price of the order
1740TradePriceNegotiationMethodN
1742UpfrontPriceNRequired if specified on the order
1741UpfrontPriceTypeN
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
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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(59) = 6 (GTD) and ExpireTime(126) is not specified.
126ExpireTimeNConditionally required if TimeInForce(59) = 6 (GTD) and ExpireDate(432) is not specified.
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
18ExecInstNCan contain multiple instructions, space delimited.
1805AuctionInstructionN
1057AggressorIndicatorN
528OrderCapacityN
529OrderRestrictionsN
1815TradingCapacityN
1091PreTradeAnonymityN
1390TradePublishIndicatorNApplies to trades resulting from the order.
582CustOrderCapacityN
ComponentOrderAttributeGrpN
32LastQtyNQuantity (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.
1056CalculatedCcyLastQtyNUsed 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.
1071LastSwapPointsNOptionally 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.
652UnderlyingLastQtyN
1828LastQtyVarianceN
31LastPxNPrice 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.
651UnderlyingLastPxN
669LastParPxNLast 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.
631MidPxN
194LastSpotRateNApplicable for F/X orders
195LastForwardPointsNApplicable for F/X orders
1743LastUpfrontPriceNUpfront 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).
2750ReportingPxN
2751ReportingQtyN
30LastMktNIf 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.
1430VenueTypeN
1300MarketSegmentIDN
100ExDestinationN
1133ExDestinationIDSourceN
2704ExDestinationTypeN
336TradingSessionIDN
625TradingSessionSubIDN
943TimeBracketN
29LastCapacityN
ComponentLimitAmtsNInsert here the set of LimitAmts fields defined in Common Components
151LeavesQtyYQuantity 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).
14CumQtyYCurrently executed quantity for chain of orders.
84CxlQtyNCan 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).
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(1362) across all messages with the same ExecID(17).
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 ExecutionReport(35=8), mutually exclusive with OrderEventGrp component.
ComponentOrderEventGrpNSpecifies the order events included in this ExecutionReport(35=8), mutually exclusive with FillsGrp component.
2830EventInitiatorTypeN
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(35=8) occurred.
113ReportToExchN
ComponentCommissionDataNNote: 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.
ComponentCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
ComponentSpreadOrBenchmarkCurveDataN
ComponentRelativeValueGrpN
ComponentYieldDataN
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
118NetMoneyNOn 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.
119SettlCurrAmtNUsed to report results of forex accommodation trade.
120SettlCurrencyNUsed to report results of forex accommodation trade.
Required for Non-Deliverable Forwards.
ComponentRateSourceN
2795OffshoreIndicatorN
155SettlCurrFxRateNForeign exchange rate used to compute SettlCurrAmt(119) from Currency(15) to SettlCurrency(120).
156SettlCurrFxRateCalcNSpecifies whether the SettlCurrFxRate(155) should be multiplied or divided.
21HandlInstN
110MinQtyN
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
2676MaximumPricePercentageN
ComponentValueChecksGrpN
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
2523CrossedIndicatorN
ComponentDisplayInstructionN
ComponentDisclosureInstructionGrpN
111MaxFloorN
1816ClearingAccountTypeN
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.
1385ContingencyTypeNFor contingency orders, the type of contingency as specified in the order.
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(39) = 1 of (Partially filled) or 2(Filled).
ComponentContAmtGrpN
ComponentInstrmtLegExecGrpNSpecifies the leg executions of a multi-leg order or quote.
797CopyMsgIndicatorN
ComponentMiscFeesGrpNRequired if any miscellaneous fees are reported.
1380DividendYieldN
1028ManualOrderIndicatorN
1029CustDirectedOrderN
1030ReceivedDeptIDN
1031CustOrderHandlingInstN
1032OrderHandlingInstSourceN
1724OrderOriginationN
2882ContraOrderOriginationNMay be used for cross orders submitted with single order messages.
1725OriginatingDeptIDN
1726ReceivingDeptIDN
2883RoutingArrangmentIndicatorN
2884ContraRoutingArrangmentIndicatorNMay be used for cross orders submitted with single order messages.
522OwnerTypeN
2679OrderOwnershipIndicatorNCan be used to highlight change of order ownership.
ComponentTrdRegTimestampsN
ComponentTrdRegPublicationGrpN
ComponentTradePriceConditionGrpN
1937TradeContinuationNMay 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.
2374TradeContinuationTextN
2372EncodedTradeContinuationTextLenNMust be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
2371EncodedTradeContinuationTextNEncoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
1188VolatilityN
1189TimeToExpirationN
1190RiskFreeRateN
811PriceDeltaN
1917CoverPriceN
ComponentThrottleResponseN
1080RefOrderIDN
1081RefOrderIDSourceN
1806RefClOrdIDN
1803AuctionTypeN
1804AuctionAllocationPctN
1808LockedQtyN
1809SecondaryLockedQtyN
1807LockTypeN
1810ReleaseInstructionN
1811ReleaseQtyN
1819RelatedHighPriceN
1820RelatedLowPriceN
1821RelatedPriceSourceN
ComponentStandardTrailerY

OrderCancelReject Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = 9
37OrderIDYIf CxlRejReason=Unknown order, specify NONE.
2422OrderRequestIDNRequired if provided on the order cancel or cancel/replace request. Echo back the value provided by the requester.
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
1328RejectTextNReason description for rejecting the transaction request.
1664EncodedRejectTextLenNMust be set if EncodedRejectText(1665) field is specified and must immediately precede it.
1665EncodedRejectTextNEncoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
100ExDestinationN
1133ExDestinationIDSourceN
ComponentPartiesN
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

ExecutionAck 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
ComponentOrderQtyDataNConditionally required if specified in the ExecutionReport(35=8).
32LastQtyNConditionally required if specified on the Execution Report
31LastPxNConditionally Required if specified on the Execution Report
423PriceTypeNConditionally required if specified on the Execution Report
ComponentPriceQualifierGrpN
669LastParPxNConditionally required if specified on the Execution Report
14CumQtyNConditionally required if specified on the Execution Report
6AvgPxNConditionally required if specified on the Execution Report
ComponentRegulatoryTradeIDGrpN
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.
2422OrderRequestIDN
526SecondaryClOrdIDN
583ClOrdLinkIDN
2829DuplicateClOrdIDIndicatorN
ComponentPartiesNThis is party information related to the submitter of the request.
ComponentTargetPartiesNIdentifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
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.
1805AuctionInstructionN
110MinQtyN
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
2676MaximumPricePercentageN
ComponentValueChecksGrpN
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
ComponentDisplayInstructionN
ComponentDisclosureInstructionGrpNSpecifies instructions to disclose certain order level information in market data.
111MaxFloorN
1300MarketSegmentIDN
100ExDestinationN
1133ExDestinationIDSourceN
2704ExDestinationTypeN
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
2102ShortMarkingExemptIndicatorN
1688ShortSaleExemptionReasonNAvailable for optional use when Side(54) = 6(Sell short exempt).
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
ComponentOrderQtyDataY
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.
2838CurrentWorkingPriceNMay be used for new (child) orders stemming from the split of a parent order. Refers to the working price of the parent order.
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
1740TradePriceNegotiationMethodN
1741UpfrontPriceTypeN
1742UpfrontPriceNUpfront 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).
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
377SolicitedFlagN
797CopyMsgIndicatorNMay 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.
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528OrderCapacityN
529OrderRestrictionsN
1815TradingCapacityN
1091PreTradeAnonymityN
1390TradePublishIndicatorNApplies to trades resulting from the order.
582CustOrderCapacityN
ComponentOrderAttributeGrpN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq=Y.
Required for NDFs.
ComponentRateSourceN
2795OffshoreIndicatorN
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).
1816ClearingAccountTypeN
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
1724OrderOriginationN
2882ContraOrderOriginationNMay be used for cross orders submitted with single order messages.
1725OriginatingDeptIDN
1726ReceivingDeptIDN
2883RoutingArrangmentIndicatorN
2884ContraRoutingArrangmentIndicatorNMay be used for cross orders submitted with single order messages.
522OwnerTypeN
ComponentTrdRegTimestampsN
1080RefOrderIDNRequired for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081RefOrderIDSourceNConditionally required if RefOrderID is specified.
1685ThrottleInstN
1806RefClOrdIDN
1803AuctionTypeNConditionally required for auction orders
1804AuctionAllocationPctN
ComponentStandardTrailerY

OrderCancelRequest Message

TagNameReq’dDescription
ComponentStandardHeaderYMsgType = F
2422OrderRequestIDNRequired if provided on the order being cancelled. Echo back the value provided by the requester.
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
1300MarketSegmentIDN
100ExDestinationNExecution 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.
1133ExDestinationIDSourceN
54SideY
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
ComponentOrderQtyDataNConditionally 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.
376ComplianceIDN
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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).
2422OrderRequestIDNRequired if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
ComponentPartiesNThis is party information related to the submitter of the request.
ComponentTargetPartiesNIdentifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
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
2829DuplicateClOrdIDIndicatorN
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).
1805AuctionInstructionN
110MinQtyN
1822MinQtyMethodN
1089MatchIncrementN
1090MaxPriceLevelsN
2676MaximumPricePercentageN
ComponentValueChecksGrpN
ComponentMatchingInstructionsN
2362SelfMatchPreventionIDNMay be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
ComponentDisplayInstructionN
ComponentDisclosureInstructionGrpNSpecifies instructions to disclose certain order level information in market data.
111MaxFloorN
1300MarketSegmentIDN
100ExDestinationN
1133ExDestinationIDSourceN
2704ExDestinationTypeN
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
2102ShortMarkingExemptIndicatorN
1688ShortSaleExemptionReasonNAvailable for optional use when Side(54) = 6(Sell short exempt).
60TransactTimeYTime this order request was initiated/released by the trader or trading system.
854QtyTypeN
ComponentOrderQtyDataYNote: OrderQty(38) 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.
2838CurrentWorkingPriceNMay be used to correct the initial working price of the parent order when this (child) order was entered.
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
2404ComplianceTextN
2351EncodedComplianceTextLenNMust be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
2352EncodedComplianceTextNEncoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
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
1629ExposureDurationNConditionally required when TimeInForce(59)=10 (Good for Time)
1916ExposureDurationUnitN
ComponentCommissionDataN
ComponentCommissionDataGrpNUse as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
528OrderCapacityN
529OrderRestrictionsN
1815TradingCapacityN
1091PreTradeAnonymityN
1390TradePublishIndicatorNApplies to trades resulting from the order.
582CustOrderCapacityN
ComponentOrderAttributeGrpN
121ForexReqNIndicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120SettlCurrencyNRequired if ForexReq=Y.
Required for NDFs.
ComponentRateSourceN
2795OffshoreIndicatorN
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.
1816ClearingAccountTypeN
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
1724OrderOriginationN
2882ContraOrderOriginationNMay be used for cross orders submitted with single order messages.
1725OriginatingDeptIDN
1726ReceivingDeptIDN
2883RoutingArrangmentIndicatorN
2884ContraRoutingArrangmentIndicatorNMay be used for cross orders submitted with single order messages.
522OwnerTypeN
2679OrderOwnershipIndicatorNCan be used to request change of order ownership.
ComponentTrdRegTimestampsN
1685ThrottleInstN
1803AuctionTypeNConditionally required for auction orders.
1804AuctionAllocationPctN
1810ReleaseInstructionN
1811ReleaseQtyN
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
1300MarketSegmentIDN
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

DisclosureInstructionGrp

TagNameReq’dDescription
1812NoDisclosureInstructionsN
→1813DisclosureTypeNRequired when NoDisclosureInstructions(1812) > 0.
→1814DisclosureInstructionN

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)

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
→2727AllocLegRefIDNThe field may not be used in NewOrderSingle(35=D), OrderCancelReplaceRequest(35=G), NewOrderList(35=E) or any other message where there are no legs.
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
→209AllocHandlInstN
→80AllocQtyN
→1752CustodialLotIDNOnly used for specific lot trades.
→1753VersusPurchaseDateNOnly used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
→1754VersusPurchasePriceNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
→1755CurrentCostBasisNOnly used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

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
1628TriggerScopeNConditionally required when TriggerAction(1101)=3 (Cancel).
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.