FIX Repository Extension Pack ReadMe file

This html page contains details of the changes applied by the service pack

New Tags added in this extension pack

TagFieldNameAbbrNameTypeDescPattern
1140MaxTradeVolMaxTrdVolQtyThe maximum order quantity that can be submitted for a security.
1141NoMDFeedTypesNoMDFeedTypesNumInGroupThe number of feed types and corresponding book depths associated with a security
1142MatchAlgorithmMtchAlgoStringThe types of algorithm used to match orders in a specific security. Possilbe value types are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calender.
1143MaxPriceVariationMxPxVarfloatThe maximum price variation of an execution from one event to the next for a given security.
1144ImpliedMarketIndicatorImpldMktIndintIndicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-in) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument. Commonly used in listed derivatives.
1145EventTimeTmUTCTimestampSpecific time of event. To be used in combination with EventDate [866]
1146MinPriceIncrementAmountMinPxIncAmtAmtMinimum price increment amount associated with the MinPriceIncrement ( tag 969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor(231).
1147UnitofMeasureQtyUOMQtyQtyUsed to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitofMeasureQty is required for UnitofMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitofMeasure(996) for more information on the use of UnitofMeasureQty.
1148LowLimitPriceLowLmtPxPriceAllowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
1149HighLimitPriceHighLmtPxPriceAllowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
1150TradingReferencePriceTrdgRefPxPriceReference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.
1151SecurityGroupSecGrpStringAn exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

Tags modified in this extension pack

Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'Tag = xxx'> where xxx is a tag number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.

TagFieldNameAbbrNameTypeDescPattern
Replace this, test is Tag = 996
996UnitofMeasureUOMStringPhysical unit of measure for Derivative products. NOTE: Additional values may be used by mutual agreement of the counterparties (http://www.unc.edu/~rowlett/units/index.html is a good source for units)
With this
996UnitofMeasureUOMStringThe unit of measure of the underlying commodity upon which the contract is based. Two groups of units of measure enumerations are supported. Fixed Magnitude UOMs are primarily used in energy derivatives and specify a magnitude (such as, MM, Kilo, M, etc.) and the dimension (such as, watt hours, BTU's) to produce standard fixed measures (such as MWh - Megawatt-hours, MMBtu - One million BTUs). The second group, Variable Quantity UOMs, specifies the dimension as a single unit without a magnitude (or more accurately a magnitude of one) and uses the UnitofMeasureQty(1147) field to define the quantity of units per contract. Variable Quantity UOMs are used for both commodities (such as lbs of lean cattle, bushels of corn, ounces of gold) and financial futures. Examples: For lean cattle futures contracts, a UnitofMeasure of 'lbs' with a UnitofMeasureQty(1147) of 40,000, means each lean cattle futures contract represents 40,000 lbs of lean cattle. For Eurodollars futures contracts, a UnitofMeasure of USD with a UnitofMeasureQty(1147) of 1,000,000, means a Eurodollar futures contract represents 1,000,000 USD. For gold futures contracts, a UnitofMeasure is oz_tr (Troy ounce) with a UnitofMeasureQty(1147) of 1,000, means each gold futures contract represents 1,000 troy ounces of gold.

New Enums added in this extension pack

TagNew EnumsGroup
2771 - Implied Trade
2795 - Overlay
292W - Succession Event
32624 - Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
32625 - Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
8272 - Expires at specified expiration as the eligibility
8657 - Last Eligible Trade Date
87123 - Price tick rules for security.
87124 - Trade type eligibility details for security.
11440 - Not implied
11441 - Implied-in - The existence of a multi-leg instrument is implied by the legs of that instrument
11442 - Implied-out - The existence of the underlying legs are implied by the multi-leg instrument
11443 - Both Implied-in and Implied-out

Enums modified in this extension pack

Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'Tag = xxx and Enum = yyy'> where xxx is a tag number and yyy is an enum string may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.

TagNew EnumsGroup
Replace this, test is Tag = 996 and Enum = 'MMBtu'
996MMBtu - One Million BTU
With this
996MMBtu - One Million BTUFixed Magnitude UOM
Replace this, test is Tag = 996 and Enum = 'MWh'
996MWh - Megawatt hours
With this
996MWh - Megawatt hoursFixed Magnitude UOM
Replace this, test is Tag = 996 and Enum = 'Bbl'
996Bbl - Barrels
With this
996Bbl - BarrelsVariable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'Gal'
996Gal - Gallons
With this
996Gal - GallonsVariable Quantity UOM
Replace this, test is Tag = 996 and Enum = 't'
996t - Metric Tons (aka Tonne)
With this
996t - Metric Tons (aka Tonne)Variable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'tn'
996tn - Tons (US)
With this
996tn - Tons (US)Variable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'MMbbl'
996MMbbl - Million Barrels
With this
996MMbbl - Million BarrelsFixed Magnitude UOM
Replace this, test is Tag = 996 and Enum = 'lbs'
996lbs - pounds
With this
996lbs - poundsVariable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'oz_tr'
996oz_tr - Troy Ounces
With this
996oz_tr - Troy OuncesVariable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'USD'
996USD - US Dollars
With this
996USD - US DollarsVariable Quantity UOM
Replace this, test is Tag = 996 and Enum = 'Bcf'
996Bcf - Billion cubic feet
With this
996Bcf - Billion cubic feetFixed Magnitude UOM
Replace this, test is Tag = 996 and Enum = 'Bu'
996Bu - Bushels
With this
996Bu - BushelsVariable Quantity UOM

New message contents in messages and components

NameIndTagReqdDescription
SecurityDefinition0SecurityTradingDefinitionNoNew block to contain all the security details related to trading the security in an electronic environment
SecurityDefinitionUpdateReport0SecurityTradingDefinitionNoNew block to contain all the security details related to trading the security in an electronic environment
Instrument01151NoAn exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.
Instrument01146NoMinimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]
Instrument01147No
0827NoManner in which the security trading eligibility will expire. New value allows previously specified last eligible trade date and time to be indicated
0561NoTrading lot size of security
0562NoThe minimum order quantity that can be submitted for an order
01140NoThe maximum order quantity that can be submitted for a security
01142NoThe type of algorithm used to match orders in a specific security on an electronic trading platform. Possible values are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calendar
0MDFeedTypesGrpNo
01143NoThe maximum price variation of an execution from one event to the next for a given security
01144NoCommonly used in listed derivatives. Indicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-out) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument
01148NoAllowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
01149NoAllowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
01150NoReference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.
SecListGrp1SecurityTradingDefinitionNoNew block to contain all the security details related to trading the security in an electronic environment
EvntGrp11145NoSpecific time of event. To be used in combination with EventDate [866]
SecLstUpdRelSymGrp1SecurityTradingDefinitionNoNew block to contain all the security details related to trading the security in an electronic environment
01141NoThe number of feed types and corresponding book depths associated with a security
11022NoDescribes a class of service for a given data feed
1264NoThe depth of book associated with a particular feed type

Modified existing elements in messages and components

Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx and Position = yyy'> where xxx is a MsgID number and yyy is an Position number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.

NameIndTagReqdDescription
Replace this, test is MsgID = 37 and Position = 9
SecurityDefinition015No
With this
SecurityDefinition015NoCurrency in which the price is denominated
Replace this, test is MsgID = 37 and Position = 17
SecurityDefinition0827No
With this
Message Contents deleted
Replace this, test is MsgID = 37 and Position = 18
SecurityDefinition0561No
With this
Message Contents deleted
Replace this, test is MsgID = 37 and Position = 19
SecurityDefinition0562No
With this
Message Contents deleted
Replace this, test is MsgID = 95 and Position = 2.6
SecurityDefinitionUpdateReport0827No
With this
Message Contents deleted
Replace this, test is MsgID = 95 and Position = 2.7
SecurityDefinitionUpdateReport0561No
With this
Message Contents deleted
Replace this, test is MsgID = 95 and Position = 2.8
SecurityDefinitionUpdateReport0562No
With this
Message Contents deleted
Replace this, test is MsgID = 2055 and Position = 17
SecListGrp1561No
With this
Message Contents deleted
Replace this, test is MsgID = 2055 and Position = 18
SecListGrp1562No
With this
Message Contents deleted
Replace this, test is MsgID = 2055 and Position = 21
SecListGrp1827No
With this
Message Contents deleted
Replace this, test is MsgID = 2087 and Position = 2.1
SecLstUpdRelSymGrp1561No
With this
Message Contents deleted
Replace this, test is MsgID = 2087 and Position = 2.2
SecLstUpdRelSymGrp1562No
With this
Message Contents deleted
Replace this, test is MsgID = 2087 and Position = 2.5
SecLstUpdRelSymGrp1827No
With this
Message Contents deleted

New messages added this EP

MsgTypeNameCategorySectionAbbreviation

Modified messages added this EP

Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx'> where xxx is a MsgID number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.

MsgTypeNameCategorySectionAbbreviation

New components added this EP

NameCategoryTypeAbbreviation
MDFeedTypesGrpMarketDataImplicitBlockRepeatingMDFeedTypesGrp
SecurityTradingDefinitionCommonBlockSecurityTradingDefinition

Modified components in this EP

Please note modification in the xsl that does not conform to the FPL pattern of <xsl:when test = 'MsgID = xxx'> where xxx is a MsgID number may not appear here. If it does appear here it actions may be inaccurately reported, check the underlying XSL for existance.

NameCategoryTypeAbbreviation