FIX Version FIX.5.0SP2 Extension Pack EP253

Approval Date 2019-11-15T12:00:00

Description CAT Phase 1 Extensions

Field Changes

Updated Fields

Tag	Name	Type	AssociatedDataTag	AbbrName	BaseCategory	BaseCategoryAbbrName	NotReqXML	EnumDatatype	UnionDataType	Description	Elaboration	Deprecated
1081										Used to specify the source for the identifier in RefOrderID(1080). This can be an identifier provided in order depth market data when hitting (taking) a specific order or to identify what type of order or quote reference is being provided when seeking credit limit check. In the context of US CAT this can be used to identify related orders and quotes which are parent, previous, or manual orders or quotes. Previous relates to orders changing their unique system assigned order identifier.
770										Trading / Regulatory timestamp type. Note of applicability: Values are required in various regulatory environments: required for US futures markets to support computerized trade reconstruction, required by MiFID II / MiFIR for transaction reporting and publication, and required by FINRA for reporting to the Consolidated Audit Trail (CAT).
59										Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders.

New Fields

Tag	Name	Type	AbbrName	Description	Elaboration
2828	CurrentDisplayPrice	Price	CurDspPx	Price at which the order is currently displayed to the market. Can be used on order messages, e.g. NewOrderSingle(35=D), to provide the current displayed price of a parent order when splitting it into smaller child orders.	In the context of US CAT this is used when reporting new child orders.
2829	DuplicateClOrdIDIndicator	Boolean	DupClOrdIDInd	Used to indicate that a ClOrdID(11) value is an intentional duplicate of a previously sent value. Allows to avoid the rejection of an order with OrdRejReason(103) = 6 (Duplicate Order).	In the context of US CAT this can be used when the recipient of a previously routed order requires the same identifier to be re-used for a new route.
2830	EventInitiatorType	char	EvntInitrTyp	Indicates the type of entity who initiated an event, e.g. modification or cancellation of an order or quote.
2831	NBBOEntryType	int	NBBOTyp	Type of NBBO information.
2832	NBBOPrice	Price	NBBOPx	Price related to NBBO. NBBOEntryType(2831) may be used to indicate entry type, e.g. bid or offer.
2833	NBBOQty	Qty	NBBOQty	Quantity related to NBBO. NBBOEntryType(2831) may be used to indicte entry type, e.g. bid or offer.
2834	NBBOSource	int	NBBOSrc	Source of NBBO information.
2835	OrderOriginationFirmID	String	OrigntnFirmID	Identifier for the original owner of an order as part of the OrderAggregationGrp component. Use the Parties component with PartyRole(452) = 13 (Order Origination Firm) to identify the original owner of an individual order outside of an aggregation.
2836	OrderTime	UTCTimestamp	Tm	Timestamp for the assignment of a (unique) identifier to an order.
2837	SingleQuoteIndicator	Boolean	SnglQteInd	Used to indicate whether the quoting system allows only one quote to be active at a time for the quote issuer or market maker.
2838	CurrentWorkingPrice	Price	CurWrkngPx	Current working price of the order relative to the state of the order.	In the context of US CAT this can be used for the current price of the parent order when reporting a split into new (child) orders.
2839	TrdRegTimestampManualIndicator	Boolean	ManInd	Indicates whether a given timestamp was manually captured.

Enumerations

Updated Enumerations

Tag	Value	SymbolicName	Description	Elaboration
522	20			In the context of US CAT this is a non-broker-dealer foreign affiliate or non-reporting foreign broker-dealer.
2594	1		Order pending allocation
2594	8		Large in scale order
2594	9		Hidden order
59	0			A buy or sell order that, if not executed expires at the end of the trading day on which it was entered.
59	1			An order to buy or sell that remains in effect until it is either executed or canceled; sometimes called an “open order”.
59	2			A market or limit-price order to be executed at the opening of the stock or not at all; all or part of any order not executed at the opening is treated as canceled.
59	3			A market or limit-price order that is to be executed in whole or in part as soon as it is available in the market; any portion not so executed is to be canceled.
59	4			A market or limit-price order that is to be executed in its entirety as soon as it is available in the market; if not so executed, the order is to be canceled.
59	5			An order to buy or sell that is canceled prior to the market entering into an auction or crossing phase.
59	6			An order to buy or sell that remains in effect until it expires, defined by ExpireDate(432) or ExpireTime(126).
59	7			Indicated price is to be around the closing price, however, not held to the closing price.
59	8			An order that is valid up till and including a crossing phase.]
59	9			An order that is valid only during crossing (auction) phases. The order is valid during the day or up to and including a specified trading (sub) session.
59	A			An order that is valid for a pre-defined time period expressed with ExposureDuration(1629) and (optionally) ExposureDurationUnit(1916).
59	B		Good for Auction (GFA)	An order that is valid for an auction initiated by a trading firm (see AuctionType(1803) for examples.
770	1			Timestamp for the order execution. In the context of US futures markets (CFTC regulated) this is the non-qualified reporting time of order execution.
770	2			Timestamp for receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp of when the order was received on the trading floor (booth).
770	3			Timestamp for sending an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp when the trade was received from the pit.
770	4			Timestamp for a broker receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the time at which the broker received the order.
770	5			Timestamp for the broker executing an order. In the context of US futures markets (CFTC regulated) this is the time at which a broker executed the order for another broker.
770	6			Timestamp for the transmission of an order to an internal desk or department on the same day the firm received the order.
770	7			The timestamp when the trade was officially acknowledged by the Clearing House.
770	8			A timestamp (manually or electronically) assigned by a market to specify time priority for an order or quote.
300	15	PriceExceedsCurrentPriceBandDepr
452	14	GiveupClearingFirmDepr
1939	47	OtherC10

Enumerations Added

Tag	Value	SymbolicName	Sort	Description	Elaboration
2829	N	UniqueClOrdID	1	Unique ClOrdID(11)
2829	Y	DuplicateClOrdID	2	Duplicate ClOrdID(11)
2830	C	CustomerOrClient	12	Customer or client
2830	E	ExchangeOrExecutionVenue	14	Exchange or execution venue
2830	F	FirmOrBroker	15	Firm or broker
2831	0	Bid	0	Bid	May apply to price or quantity.
2831	1	Offer	1	Offer	May apply to price or quantity.
2831	2	MidPrice	2	Mid-price
2834	0	NotApplicable	0	Not applicable	Default if not specified. NBBO information is not applicable. NBBOEntryType(2831), NBBOPrice(2832), and NBBOQty(2833) must be omitted.
2834	1	Direct	1	Direct	Information is retrieved directly from an exchange or other electronic execution venue. There may be a performance advantage compared to retrieving the information from a source consolidating multiple feeds.
2834	2	SIP	2	Securities Information Processor	The Securities Information Processor (SIP) links the U.S. markets by processing and consolidating all protected bid/ask quotes and trades from every trading venue into a single, easily consumed data feed.
2834	3	Hybrid	3	Hybrid	A combination of two or more data feeds is used as NBBO source. In the context of US CAT this is used for a combination of direct and SIP feeds.
2837	N	MultipleQuotesAllowed	1	Multiple quotes allowed
2837	Y	OnlyOneQuoteAllowed	2	Only one quote allowed
2839	N	NotManuallyCaptured	1	Not manually captured
2839	Y	ManuallyCaptured	2	Manually captured
522	22	FirmAgencyAveragePriceAccount	22	Firm agency average price account
2594	12	RepresentativeOrder	12	Representative order	Order was originated to represent an order received by the broker from a customer/client.
2594	13	LinkageType	13	Linkage type	Order is subject to regulatory linkage requirements related to customer/client orders. Can be used for US CAT order and trade level linkages between customer/client orders and representative orders.
2707	3	QuoteIssuerStatus	3	Quote issuer status	Indicate whether quote issuer is available or not. Can be used in the context of US CAT to indicate if a market maker’s quote is open (O) or closed (C) whenever the quote is sent to an inter-dealer quotation system.
2707	4	BidOrAskRequest	4	Bid or ask request	Indicate explicitly whether a request for a quote is a request for a bid or an ask.
1081	7	PreviousOrderIdentifier	7	Previous order identifier	Can be used when previously assigned (unique) system order identifier has changed.
1081	8	PreviousQuoteIdentifier	8	Previous quote identifier	Can be used when previously assigned (unique) quote identifier has changed.
1081	9	ParentOrderIdentifier	9	Parent order identifier	Can be used where orders are split into child orders and need to refer back to their parent order.
1081	A	ManualOrderIdentifier	10	Manual order identifier	Can be used to refer to a manually received order that is being replaced by an electronically received order.
1934	22	Order	22	Order	Report for order handling events to enter, change or delete orders. In the context of US CAT this is used for the event types MENO, MEOM, MEOJ, and MEOC.
1934	23	ChildOrder	23	Child order	Report for child order handling events to enter, change or delete child orders. Child orders are created when a (parent) order is split into multiple (child) orders. In the context of US CAT this is used for the event types MECO, MECOM, and MECOC.
1934	24	OrderRoute	24	Order route	Reported when an order is routed between market participants and/or execution venues such as an exchange. In the context of US CAT this is used for the event types MEOR, MEOA and MEIR.
1934	25	Trade	25	Trade	Report for trade handling events to enter, change or delete trades. In the context of US CAT this is used for the event types MEOT, MEOF and MEFA.
1934	26	Quote	26	Quote	Report for quote handling events to enter, change or delete quotes. In the context of US CAT this is used for the event types MENQ, MEQR, and MEQC.
1934	27	Supplement	27	Supplement	Reported when an order, quote or trade report is split across multiple messages. The recipient must be able to create the full report by combining the initial and supplement reports. In the context of US CAT this is used for the event types MENOS, MEOMS and MEOTS.
59	C	GoodForMonth	13	Good for this Month (GFM)	An order that is valid until the end of the current month, i.e. from the time of order submission until the end of the last trading day of the current month.
2669	3	OrderLevelPublicationToSubscribers	3	Order level publication to subscribers	Individual orders are displayed outside of the execution venue but only to subscribers.
2669	4	PriceLevelPublicationToSubscribers	4	Price level publication to subscribers	Aggregated orders are displayed outside of the execution venue but only to subscribers.
2669	5	OrderLevelPublicationToThePublic	5	Order level publication to the public	Individual orders are displayed outside of the execution venue via public quotation.
2669	6	PublicationInternalToExecutionVenue	6	Publication internal to execution venue	Orders are not displayed outside of the execution venue.
770	27	IdentifierAssigned	27	Identifier assigned	Timestamp for the assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
770	28	PreviousIdentifierAssigned	28	Previous identifier assigned	Timestamp of previous assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
770	29	OrderCancellationTime	29	Order cancellation time	Timestamp for the cancellation of an order or quote.
770	30	OrderModificationTime	30	Order modification time	Timestamp for the modification of an order or quote.
770	31	OrderRoutingTime	31	Order routing time	Timestamp for the routing of an order to another broker or electronic execution venue.
770	32	TradeCancellationTime	32	Trade cancellation time	Timestamp for the cancellation of an execution (ExecType(150) = H (Trade Cancel)) or trade (TradeReportType(856) = 6 (Trade Report Cancel)).
770	33	TradeModificationTime	33	Trade modification time	Timestamp for the modification of an execution (ExecType(150) = G (Trade Correct)) or trade (TradeReportType(856) = 5 (No/Was)).
770	34	ReferenceTimeForNBBO	34	Reference time for NBBO	Timestamp for an NBBO reference price.
2670	13	ExceptionDueToReportByPaper	13	Exception due to report by paper	Incomplete report due to submission by paper (form). In the context of US CAT this is Form T pursuant to FINRA Trade Reporting Rules.
2670	14	ExceptionDueToTradeExecutedWithNonReportingParty	14	Exception due to trade with non-reporting party	Incomplete report due to counterparty of the reporting party being absent. In the context of US CAT this is when a trade was executed by a non-FINRA member and reported to the TRF by the FINRA member counterparty.
2670	15	ExceptionDueToIntraFirmOrder	15	Exception due to intra-firm order	Incomplete report due to intra–firm order filled from firm’s proprietary account.

Components

Components Changed

ComponentID	ComponentType	CategoryID	Name	AbbrName	NotReqXML	Volume	Description	Elaboration	Deprecated
4041	BlockRepeating
4065	BlockRepeating
4076	BlockRepeating
4348	BlockRepeating
4363	BlockRepeating
4399	BlockRepeating
4371	BlockRepeating
4372	BlockRepeating
4407	BlockRepeating
4409	BlockRepeating

Message/Component Content

Message/Components Content Changes

ComponentID	TagText	Description
1020	769	Required if NoTrdRegTimestamps(768) > 0.
1020	770	Required if NoTrdRegTimestamps(768) > 0.
1020	1033

Messages/Components Content Added

ComponentID	TagText	Indent	Position	Description
14	2829	0	4.5
14	2838	0	48.05	May be used for new (child) orders stemming from the split of a parent order. Refers to the working price of the parent order.
14	797	0	54.5	May be used when intentionally sending an order more than once, e.g. an order being received manually as well as electronically in conjunction with a regulatory requirement to report both events.
17	2829	0	9.5
17	2838	0	50.05	May be used to correct the initial working price of the parent order when this (child) order was entered.
9	2838	0	30.5
9	2830	0	91.6
27	2837	0	5.5
27	522	0	26.4
27	377	0	26.7
68	2830	0	33.5
1029	2828	0	2.6
1020	2839	1	4.04
1020	2831	1	5	May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
1020	2832	1	6	May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
1020	2833	1	7	May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
1020	2834	1	8	May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
1078	2836	1	6
1078	2835	1	7	May be used when aggregating orders that were originally submitted by different firms, e.g. due to a merger or acquisition.
2061	522	1	11.05