Skip to main content
All CollectionsBequant Global ExchangeBequant Global Connectivity
FIX 5.0 Trading Gateway
FIX 5.0 Trading Gateway
Updated over 3 weeks ago

1. Introduction

1.1. Scope

This document contains descriptions of all the functionalities, even if some of them are not available for users of a particular client. That must be taken into account during communicating with users.

1.2. Overview

The FIX5 Trading Gateway enables clients to submit orders and to receive real-time information on executed trades. The interface is a point-to-point service based on the technology and industry standards TCP/IP, FIXT, and FIX. The session and application event models and messages are based on versions 1.1 and 5.0 (Service Pack 2) of the FIXT and FIX protocols respectively.

1.3. Conventions

Required key:

Key

Description

Y

Required

N

Not required

C

Conditionally required. For conditions, refer to the test in Conditions inside the field description.

Field properties:

Property

Description

Conditions

Conditions for:

  • parameter being required if it has C in the Req column;

  • parameter being omitted if it has C in the Req column;

  • parameter being specified if it has N in the Req column;

  • field arriving in a response (message);

  • field or parameter having a specific value;

  • parameter being immutable by update requests.

All items listed under this category are mutually exclusive options. If occurrence of a parameter or a field depends on a combination of conditions, those will be placed in a single item with "AND" conjunction.

Format

Standard, pattern or a custom type that the value must satisfy. It may include the following:

  • length;

  • allowed characters.

Default

Default value of a parameter. May be specified if it has N in the Req column.

Values

Accepted values of a parameter or possible values of a response (message) including the only possible value.

Placeholders:

Placeholder

Description

ID

User exchange account identifier.

Format: integer

All placeholders are series of upper case letters with words separated by underscores (_). For example: in user_ACCOUNT_ID pattern, user_ is the constant part and ACCOUNT_ID is a placeholder.

1.4. Data Types

Type

Description

String

Alpha-numeric free format strings. It can include any character or punctuation except the delimiter. All String fields are case-sensitive.

> Currency

String field representing a currency code.

> LocalMktDate

String field representing a Date of Local Market (as opposed to UTC) in YYYYMMDD format. This is the "normal" date field used by the FIX Protocol.

Format: YYYY: 0000 – 9999, MM: 01 – 12, DD: 01 – 31

> MultipleCharValue

String field containing one or more space delimited single character values.

> UTCDateOnly

String field representing a date in UTC format in YYYYMMDD format.

Format: YYYY: 0000 – 9999, MM: 01 – 12, DD: 01 – 31

> UTCTimestamp

String field representing date and time combination represented in UTC in either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss (milliseconds) format, colons, dash, and period required.

Format:

  • (without milliseconds) YYYY: 0000 – 9999, MM: 01 – 12, DD: 01 – 31, HH: 00 – 23, MM: 00 – 59, SS: 00 – 60 (60 only if UTC leap second) ;

  • (indicating milliseconds) YYYY: 0000 – 9999, MM: 01 – 12, DD: 01 – 31, HH: 00 – 23, MM: 00 – 59, SS: 00 – 60 (60 only if UTC leap second), sss: 000 – 999.

char

Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case-sensitive.

The following fields are based on char.

> Boolean

Char field containing a boolean.

Values:

  • Y—True/Yes

  • N—False/No

float

Sequence of digits with optional decimal point and sign character. The absence of the decimal point within the string will be interpreted as the float representation of an integer value.

Format: -, 0 – 9, .

NOTE: Fields which are derived from float may contain negative values unless explicitly specified otherwise. The following data types are based on float.

> Amt

Amount in quote currency.

> Percentage

Float field representing a percentage (e.g., 0.0001 represents 0.01%).

> Price

Price in quote currency.

> Qty

Quantity in lots.

int

Sequence of digits without commas or decimals and optional sign character.

Format: -, 0 – 9

NOTE: int values may contain leading zeros.

The following data types are based on int.

> Length

int field representing the length in bytes.

Values: ≥ 0

> NumInGroup

int field representing the number of entries in a repeating group.

Values: ≥ 0

> SeqNum

int field representing a message sequence number.

Values: ≥ 0

2. Connectivity

2.1. CompID

The CompID of each client must be registered before FIX communications can begin. A single client may have multiple connections to the server (i.e., multiple FIX sessions, or logins, each with its own CompID).

The CompID of the server is ME. The messages sent to the server should contain the CompID assigned to the client in the field SenderCompID(49) and ME in the field TargetCompID(56). The messages sent from the server to the client will contain ME in the field SenderCompID(49) and the CompID assigned to the client in the field TargetCompID(56). The client may also specify ME_MD in the field TargetCompID(56) in order to differentiate connections between FIX5 Trading Gateway and FIX5 Market Data Gateway. In that case, requests with TargetCompID(56) = ME will be processed on FIX5 Trading Gateway only and with TargetCompID(56) = ME_MD—on FIX5 Market Data Gateway or otherwise rejected. Once chosen the same TargetCompID(56) value must be used in all request throughout the entire session.

2.2. Password

Each new CompID will be assigned a username and a password on registration.

2.3. Message Rate Throttling

A scheme for throttling message traffic is implemented, where each CompID is only permitted to submit up to a specified number of messages per second:

  • soft throttle limit—applied to all request messages but OrderCancelRequest(35=F);

  • hard throttle limit—applied to all request messages without exceptions.

To get acquainted with the exact values of the throttle limits, the client must address a request to their provider.

The soft throttle limit does not affect OrderCancelRequest(35=F) messages and causes rejection of an OrderCancelReplaceRequest(35=G) and placing an OrderCancelRequest(35=F) instead. As a result, the client receives one ExecutionReport(35=8) with rejection to the CancelReplaceRequest(35=G) and another—to the OrderCancelRequest(35=F) which can be either successful or not.

Any other messages will be rejected via a BusinessMessageReject(35=j) (with BusinessRejectReason(380) = 8 (Throttle limit exceeded) and Text(58) specifying the reason for the rejection.

Every message which exceeds the hard throttle limit of a CompID will be rejected via a BusinessMessageReject (with BusinessRejectReason(380) = 8 (Throttle limit exceeded) and Text(58) specifying the reason for the rejection.

Client Heartbeat(35=0) messages, reject messages, and any other client–initiated administrative messages are not counted towards the throttling limits.

2.4. Mass Cancellation on Disconnect

The client may request to cancel all orders submitted through a FIX session. In a Logon(35=A) message, the value of CancelOnDisconnect(10001) field defaults to N.

If it is set to Y, then as soon as the gate detects that the client has disconnected (intentionally or due to a connection loss), it will send requests to cancel working orders. If the connection is lost, the gate can detect a disconnection with a delay of several seconds when Heartbeat(35=0) messages do not come from the client.

If the CancelOnDisconnect(10001) flag was not set in the Logon(35=A) message, then canceling on disconnect can be activated for any new order. To do this, in the NewOrderSingle(35=D) message in the ExecInst(18) field add the value o (Cancel on connection loss).

3. Connections and Sessions

3.1. Establishing Connection

FIX connections and sessions between the client and server are maintained as specified in the FIX protocol.

Each client will use the assigned IP address and port to establish a TCP/IP session with the server. The client will initiate a FIX session by sending the Logon(35=A) message. The client will identify itself using the SenderCompID(49) field. At each connection MsgSeqNum(34) is reset to 1, the client should set ResetSeqNumFlag(141) to Y. The server will validate the CompID, password and IP address of the client. Once the client is authenticated, the server will respond with a Logon message.

The client must wait for the server Logon response before sending additional messages. If the client sends messages prior to sending the Logon(35=A) message or prior to receiving the Logon(35=A) response, the server will break the TCP/IP connection with the client without sending any message.

If a logon attempt fails (due to an invalid SenderCompID(49), invalid TargetCompID(56), invalid IP address, invalid password or not having the appropriate privileges to log in to the gateway, or if the user sends a Logon(35=A) message with duplicated tags), the server will break the TCP/IP connection with the client without sending a Logout(35=5) or Reject(35=3) message.

If during a logon of a sender, the server receives a second connection attempt while a valid FIX session is already underway for that same SenderCompID(49), the server will break the TCP/IP connection with the second connection without sending a Logout(35=5) or Reject(35=3) message.

3.2. Maintaining Session

3.2.1. Message Sequence Numbers

As outlined in the FIX protocol, the client, and server will each maintain a separate and independent set of incoming and outgoing message sequence numbers. Sequence numbers should be initialized to 1 (one) at the start of the FIX session and be incremented throughout the session.

If any message sent by the client contains a sequence number that is less than what is expected and the PossDupFlag(43) is not set to Y, the server will send a Logout message and terminate the FIX connection. The Logout will contain the next expected sequence number as well as the received sequence number in the Text(58) field.

3.2.2. Heartbeats

The client and server will use the Heartbeat(35=0) message to exercise the communication line during periods of inactivity and to verify that the interfaces at each end are available. The heartbeat interval will be the HeartBtInt(108) specified in the client Logon(35=A) message.

The server will send a Heartbeat(35=0) anytime it has not transmitted a message for the heartbeat interval. The client is expected to employ the same logic.

As a safety mechanism, the system will not allow the user to login if HeartBtInt(108) = 0.

If the server detects inactivity for a period longer than the heartbeat interval plus a reasonable transmission time, it will send a TestRequest(35=1) message to force a Heartbeat(35=0) from the client. If a response to the TestRequest(35=1) is not received by a reasonable transmission time, the server will send a Logout(35=5) and break the TCP/IP connection with the client. The client is expected to employ similar logic if inactivity is detected on the part of the server.

3.2.3. Increasing Expected Sequence Number

The client or server may use the SequenceReset(35=4) message in gap-fill mode if it wishes to increase the expected incoming sequence number of the other party.

The client or server may also use the SequenceReset(35=4) message in SequenceReset(35=4) mode if it wishes to increase the expected incoming sequence number of the other party. The SequenceReset(35=4) mode should only be used to recover from an emergency situation. It should not be relied upon as a regular practice.

3.2.4. Terminating Connection

The client will terminate a connection by sending the Logout(35=5) message. The server will respond with a Logout(35=5) to confirm the termination. The client will then break the TCP/IP connection with the server.

All open TCP/IP connections will be terminated by the server when it shuts down (a Logout(35=5) will be sent). Under exceptional circumstances the server may initiate the termination of a connection during the trading day by sending the Logout(35=5) message.

3.2.5. Re-establishing Session

If a FIX connection is terminated during the trading day it may be re-established via an exchange of Logon(35=A) messages.

4. Single Order Handling

4.1. Order Types

Order types:

Type

Description

Market

An order that will be executed at the "best" available price.

Limit

An order that will be executed at or better than the specified price. The remainder, if any, is added to the order book or expired by terms of its Time-In-Force instruction.

Stop market

A market order that remains inactive until the market crosses a specified stop price (for sell orders—falls below, for buy orders—rises above).

Stop limit

A limit order that remains inactive until the market crosses a specified stop price (for sell orders—falls below, for buy orders—rises above).

Take-profit market

A market order that remains inactive until the market crosses a specified stop price (for sell orders—rises above, for buy orders—falls below).

Take-profit limit

A limit order that remains inactive until the market crosses a specified stop price (for sell orders—rises above, for buy orders—falls below).


​

Day, GTD, GTC types are not allowed for market orders.

4.2. Order Statuses

Order statuses:

Status

Description

New

An active order displayed in the order book.

Suspended

Inactive order parked until the market or order in an orders list meet certain conditions.

Partially filled

A part of an active order has been executed.

Filled

The entire quantity has been executed, and it has been removed from the order book.

Canceled

An active or inactive order has been canceled either by the user or the system.

Rejected

An order request has been rejected before any order being parked or activated.

Expired

An active or inactive order that does not satisfy its conditions.

4.3. Time in Force

Time If Force types:

Type

Description

Day

An order that will expire at the end of the day. Day (session) orders automatically expire at UTC 00:00.

Immediate or Cancel (IOC)

An order that will be executed on receipt and the remainder, if any, immediately expired.

Fill or Kill (FOK)

An order that will be fully executed on receipt or immediately expired.

Good Till Date (GTD)

An order that will expire at the specified date and time.

Good Till Cancel (GTC)

An order that remains in effect until it is either executed or canceled.

4.4. Post-only Mode

Orders for which the client has placed 6 (Participate do not initiate) in the ExecInst(18) field of NewOrderSingle(35=D) will be in the order book only if they do not trigger a single transaction. Otherwise, two ExecutionReport(35=8) messages will be returned to the client:

  • ExecType(150) = 0 (New);

  • ExecType(150) = C (Expired).

4.5. Reduce-only Mode

Requests with ExecInst(18) = E (Do not increase) place new orders that, being filled, are guaranteed not to put the position quantity to the point when the position changes its direction, given the quantity of regular close and existing reduce-only orders which are "closer" to the spread. If reduce-only orders in total tend to “flip” the position, the ones farther from the spread may be reduced in size up to the cancellation. If a new reduce-only order is the “farthest” from the spread, then its size is being reduced as well, or an ExecutionReport(35=8) is sent with OrdRejReason(103) = 99 (Other).

This option is available only for margin positions.

4.6. Fat-finger Protection

A limit order request may be rejected to prevent input errors ("Fat-finger" errors) if the following conditions are met concurrently:

  • order book is not empty;

  • order price differs more than for 10% from the "worst" of two:

    • current market price;

    • the "best" available price.

  • order quantity is greater than "best" ask or "best" bid size for bids and asks, respectively.

The maximum acceptable difference between order price and the current market price is called the "Fat-finger" limit (10%).

The system will reject a stop limit or take-profit limit order request before order activation if the difference between the limit price and the stop price goes beyond the "Fat-finger" limit.

If the price of a market order exceeds the "Fat-finger" limit, it will be adjusted to the "best" price level accepted by the limit.

A cancel/replace request, failed to satisfy the rule, will be rejected and cancel an existing order without placing a new one.

4.7. Cancel Order

The remainder of a live order may be canceled via the OrderCancelRequest(35=F) message. The server will respond with an ExecutionReport(35=8) or OrderCancelReject(35=9) to confirm or reject the cancellation request respectively.

In a scenario where the OrderCancelRequest(35=F) message is submitted under a different SenderCompID(49) than the SenderCompID(49) of the original order, the ExecutionReport(35=8) will be sent to the canceling SenderCompID(49). If the user canceling the order does not have permissions to cancel orders, the cancel request will be rejected.

The client should identify the order being canceled by its OrigClOrdID(41).

If an order submitted by a different user (PartyID(448)) is being canceled, the OrderCancelRequest(35=F) should include its OrigClOrdID(41).

4.8. Cancel/Replace Order

The following attributes of a live order may be amended via the OrderCancelReplaceRequest(35=G) message:

  • quantity;

  • price;

  • stop price.

The server will respond with an ExecutionReport(35=8) or OrderCancelReject(35=9) to confirm or reject the amendment request respectively.

In a scenario where the OrderCancelReplaceRequest(35=G) message is submitted by a different SenderCompID(49) than the SenderCompID(49) who submitted the original order, the ExecutionReport(35=8) or OrderCancelReject(35=9) will be sent to the modifying SenderCompID(49). If the user amending the order does not have permissions to modify orders on behalf of the firm, the amend request will be rejected.

The client should identify the order being amended by its OrigClOrdID(41).

If an order submitted under a different SenderCompID(49) is being amended, the OrderCancelReplaceRequest(35=G) should include its OrigClOrdID(41). If the amendment is successful, the order will be treated as one submitted under the SenderCompID(49) that sent the Order OrderCancelReplaceRequest(35=G).

The stop price of a stop market, stop limit, take-profit market, take-profit limit order cannot be amended once the order has been injected into the order book.

If an order receives one or more fills while an amendment request is in flight, the system will not reject the incoming amendment request if its quantity after amending will be greater than the filled quantity. Otherwise, the amendment request will be rejected.

An order will lose time priority in the order book if any of its parameters are amended.

4.9. Order Execution Report

The ExecutionReport(35=8) message is used to inform customers of up-to-date information about order status immediately after any occurred event. This message contains the fields:

  • OrdStatus(39)—this field is used to convey the current state of an order;

  • ExecType(150)—the type of occurred event is indicated.

The list of event types is given in the table below.

Execution type:

Execution type

Description

0 (New)

Indicates that a new order has been accepted. This message will also be sent when a suspended order is injected and added to the order book.

4 Canceled

Indicates that an order cancel request has been accepted and successfully processed. This message will also be sent unsolicited if the system canceled the order.

5 (Replaced)

Indicates that an order cancel/replace request has been accepted and successfully processed.

8 (Rejected)

Indicates that an order has been rejected.

9 (Suspended)

Indicates that an order has been parked by the system without adding it to the order book.

L (Triggered or
Activated by System)

Indicates that secondary orders in a One-Triggers-One-Cancels-Other order list have been placed after the execution of the primary one.

C (Expired)

Indicates that an order has expired in terms of its time qualifier; or it is IOC, FOK; or ExecInst(18) contains 6 (Participate do not initiate).

F (Trade)

Indicates that an order has been partially or fully filled. The execution details (e.g., price and quantity) are specified.

I (OrderStatus)

This value is used if the ExecutionReport(35=8) is sent in response to OrderStatusRequest(35=H) or OrderMassStatusRequest(35=AF).

4.10. Order Identifiers

4.10.1. Client Order Identifier

Clients should comply with the FIX protocol and ensure unique ClOrdID(11) across all messages (e.g., NewOrderSingle(35=D), OrderCancelRequest(35=F), etc.) sent under a particular SenderCompID(49). Given that the server supports GTD orders, clients should also ensure that their ClOrdIDs are unique across trading days (e.g., embed the date within the ClOrdID(11)).

Clients must, in terms of the FIX protocol, specify the ClOrdID(11) when submitting an OrderCancelRequest(35=F) or OrderCancelReplaceRequest(35=G).

Adding a SenderCompID(49) to ClOrdID(11) is recommended.

Example:

49=login_00119485^11=001194853fec1f8430da0ec0247ebc6a

The system will accept a maximum length of 32 characters. If the identifier is longer than 32 characters then it will be rejected.

This is valid for the following:

  • NewOrderSingle(35=D)—ClOrdID(11);

  • OrderCancelRequest(35=F)—OrigClOrdID(41);

  • OrderCancelReplaceRequest(35=G)—OrigClOrdID(41);

  • RequestForPositions(35=AN)—PosReqID(710);

  • OrderStatusRequest(35=H)—OrdStatisReqID(790);

  • OrderMassStatusRequest(35=AF)—MassStatusReqID(584).

ClOrdID(11) may contain delimiters as desired by the client.

Example:

3fec1f8430da0ec0247ebc6a

4.10.2. Order Identifier

The server will use the OrderID(37) field of the ExecutionReport(35=8) to keep track of orders within the matching system. Order IDs will be unique across trading days.

4.10.3. Execution Identifier

The server will use the ExecID(17) field to affix a unique identifier for each ExecutionReport(35=8). ExecIDs will be unique across trading days.

5. List Trading

Each order on an order list has a full set of orders parameters and unique client identifier.

5.1. All Or None

All Or None (AON) order lists allow execution of all orders in a set immediately, or expire all of them.

An AON order list can contain orders of the following types:

  • Market;

  • Limit.

The following conditions must be met:

  • there are only FOK orders on the list: all orders are either filled simultaneously or get canceled if some of them cannot be filled;

  • each order on an order list must have a unique symbol field.

5.2. One Cancel Other

One Cancel Other (OCO) order lists allow to cancel all orders in a set if one of them was executed.

An OCO order list can contain orders of the following types:

  • Limit;

  • Stop market;

  • Take-profit market;

  • Stop limit;

  • Take-profit limit.

The following conditions must be met:

  • no more than one limit order;

  • the Time-In-Force instruction cannot be FOK or IOC.

Orders from the OCO order list are canceled if one of the following cases:

  • A limit order has been filled (partially or fully).

  • One of the stop orders has been activated.

  • Any order from the list has expired.

  • Any order from the list has been canceled due to user actions, disconnection or an unsuccessful replacement.

Orders in an order list may on different symbols.

5.3. One Trigger Other

One Trigger Other (OTO) order lists allow activating all orders in the list after the first (primary) order has been partially or fully executed.

An OTO list has two parts:

  1. Primary order, which is always placed first on the list.

  2. Secondary orders that will be activated after a partial or a full execution of the primary order. The number of secondary orders within a list is limited. This limit is defined in the configuration.

All orders from an OTO list may have any type and Time-In-Force instruction.

Orders with the suspended status do not support Cancel/Replace requests.

Cancellation or expiration of any order on the list (primary or secondary) results in the cancellation of the all order list.

5.4. One Trigger One Cancel Other

One Trigger One Cancel Other (OTOCO) order lists allow placing a One-Cancel-Other order list after the first (primary) order has been partially or fully executed.

An OTOCO list has two parts:

  1. Primary order, which is always placed first on the list. This order can have any type and time_in_force values.

  2. Secondary orders that will be combined into an OCO list after a partial or a full execution of the primary order.

The rules for these orders are similar to the OCO order list rules.

The OTOCO order list must contain at least 3 orders including a single primary order and a number of secondary ones. The number of secondary orders within a list is limited. This limit is defined in the configuration.

Orders from the OTOCO list with the suspended status do not support Cancel/Replace requests.

Cancellation or expiration of any order on the list (primary or secondary) results in the cancellation of the all order list.

6. Recovery

6.1. Resend Requests

Sending and processing ResendRequest(35=2) is not supported. In response to the incoming ResendRequest(35=2) the Reject(35=3) message is sent.

6.2. Possible Duplicates

The server handles possible duplicates according to the FIX protocol. The client and server will use the PossDupFlag(43) field to indicate that a message may have been previously transmitted with the same MsgSeqNum(34).

7. Messages

This section provides details on the header and trailer, administrative and application messages utilized by the server. Client-initiated messages not included in this section are rejected by the server via a Reject(35=3) or BusinessMessageReject(35=j).

7.1. Message Types

7.1.1. Administrative Messages

All administrative messages are initiated by either the client or the server.

MsgType(35)

Name

Description

A

Logon

Allows the client and server to establish a FIX session.

5

Logout

Allows the client and server to terminate a FIX session.

0

Heartbeat

Allows the client and server to exercise the communication line during periods of inactivity and verify that the interfaces at each end are available.

1

TestRequest

Allows the client or server to request a response from the other party if inactivity is detected.

2

ResendRequest

Allows for the recovery of messages lost during a malfunction of the communications layers.

3

Reject

Used to reject a message that does not comply with FIXT.

4

SequenceReset

Allows the client or server to increase the expected incoming sequence number of the other party.

7.1.2. Application Messages

Client-initiated:

MsgType(35)

Name

Description

D

NewOrderSingle

Submit a new order.

E

NewOrderList

Submit a new order list.

F

OrderCancelRequest

Cancel an order.

G

OrderCancelReplaceRequest

Replace an order.

H

OrderStatusRequest

Request order status for a submitted order.

AF

OrderMassStatusRequest

Allows to request the status for all orders of the client.

E

NewOrderList

Allows the client to submit a new order list.

AN

RequestForPositions

Allows the client to request a PositionReport(35=AP) about balance.

USM

SetMargin

Allows the client to change margin account settings.

USL

SetLeverage

Allows the client to change margin account leverage.

UCMP

CloseMarginPosition

Allows the client to close a position.

Server-initiated:

MsgType(35)

Name

Description

8

ExecutionReport

Indicates one of the following events:

  • new order placed;

  • order canceled;

  • order replaced;

  • order request rejected;

  • order suspended;

  • order expired;

  • trade;

  • order status returned.

9

OrderCancelReject

Indicates that an OrderCancelRequest(35=F) or OrderCancelReplaceRequest(35=G) has been rejected.

N

ListStatus

Comes in response when a NewOrderList(35=E) request fails.

AO

RequestForPositionsAck

Comes in response when requesting position details via RequestForPositions(35=AN).

AP

PositionReport

Comes in response when requesting position details via RequestForPositions(35=AN).

UMAR

MarginAccountReport

Comes in response when requesting margin account details via RequestForPositions(35=AN).

UMR

MarginReject

Indicates that a RequestForPositions(35=AN) has been rejected.

7.1.3. Business Rejects

Server-initiated:

MsgType(35)

Name

Description

j

BusinessMessageReject

Indicates that an application message could not be processed.

7.1.4. Message Format

A standard message includes message header, message body, and message trailer. Fields inside the header, body, and trailer consist of TAG=VALUE pairs, and, unless otherwise noted, these fields can be defined in any order.

During formation of a request message, it is necessary to follow the order of tags exactly as given in this specification.

Tags in the range from 10000 to 10100 are custom. Any of them may be ignored if it doesn’t occur in this specification.

7.1.5. Message Body

The message body fields can be defined in any order, except NoFIELD tags (where FIELD is a field being counted). These tags start repeating data groups. The fields inside these groups must be defined in the order specified in this document.

7.1.6. StandardHeader

The message header fields are given in the table below. The first three fields in the header must be BeginString(8), BodyLength(9) and MsgType(35). Other fields can be defined in any order.

Tag

Name

Type

Req

Description

8

BeginString

String

Y

Identifies beginning of new message and protocol version.

Values: FIXT.1.1

Conditions:

  • first field;

  • unencrypted.

9

BodyLength

Length

Y

Message length, in bytes, forward to the CheckSum(10) field.

Conditions:

  • second field;

  • unencrypted.

35

MsgType

String

Y

Message type.

A U as the first character in the MsgType(35) field indicates that the message format is privately defined between the sender and receiver.

Conditions:

  • third field;

  • unencrypted.

Values: refer to Message Types

49

SenderCompID

String

Y

CompID of the party the message is sent from.

Values:

  • client–initiated: login_ID;

  • server–initiated:

    • ME—FIX5 Trading Gateway;

    • ME_MD—FIX5 Market Data Gateway.

56

TargetCompID

String

Y

CompID of the party the message is sent to.

Values:

  • server–initiated: login_ID;

  • client–initiated:

    • ME—FIX5 Trading Gateway;

    • ME_MD—FIX5 Market Data Gateway.

34

MsgSeqNum

SeqNum

Y

Integer message sequence number.

43

PossDupFlag

Boolean

N

Flag indicating possible retransmission of a message with this MsgSeqNum(34)

Default: N

Values:

  • Y—Possible duplicate

  • N—Original transmission

52

SendingTime

UTCTimestamp

Y

Time of message transmission.

122

OrigSendingTime

UTCTimestamp

C

Original time of message transmission when transmitting orders as the result of a resend request.

If the original time is not available, this should be the same value as SendingTime(52).

Conditions: PossDupFlag(43) = Y (Possible duplicate)

7.1.7. StandardTrailer

Tag

Name

Type

Req

Description

10

CheckSum

String

Y

Three byte, simple checksum.

Format: 3 characters

Conditions:

  • last field;

  • unencrypted.

7.2. Administrative Messages

7.2.1. Logon

The Logon(35=A) message authenticates the client establishing a connection to the FIX Server. In addition to the standard fields, clients will need to populate two additional fields—Username(553) and Password(554).

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = A

98

EncryptMethod

int

Y

Method of encryption.

Values:

0—None/Other

108

HeartBtInt

int

Y

Indicates the heartbeat interval in seconds.

Values: ≥ 1

141

ResetSeqNumFlag

Boolean

Y

Flag indicating that the both sides of the FIX session should reset sequence numbers.

Values:

  • Y = Yes, reset sequence numbers

N (No) is not supported.

383

MaxMessageSize

Length

N

Maximum number of bytes supported for a single message.

If a message is received from the client, where BodyLength(9) is greater than MaxMessageSize(383), the connection will be closed.

This field is sent by the server; if sent by the client, it will be ignored.

553

Username

String

C

Username assigned to the CompID.

Conditions: client-initiated message

554

Password

String

C

Password assigned to the CompID.

Conditions: client-initiated message

1137

DefaultApplVerID

String

Y

Flag indicating the service pack release being applied, by default, to message at the session level.

Values:

  • 9—FIX50SP2

10001

CancelOnDisconnect

Boolean

N

Flag indicating whether cancel on disconnect functionality is enabled for all orders placed through this session that allows users to have this orders automatically canceled upon an unintentional loss of session connectivity.

Conditions: client-initiated message

Component

StandardTrailer

Y

7.2.2. Logout

The Logout(35=5) message initiates or confirms the termination of a FIX session. It can optionally contain the Text(58) field which is populated with the reason for the logout.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 5

1409

SessionStatus

int

N

Status of a FIX session.

Conditions: server-initiated message

Values:

  • 4—Session logout complete

  • 5—Invalid username or password

  • 6—Account locked

  • 7—Logons are not allowed at this time

  • 8—Password expired

  • 9—Received MsgSeqNum(34) is too low

  • 10—Received NextExpectedMsgSeqNum(789) is too high

58

Text

String

N

The field will contain the next expected sequence number as well as the received sequence number if the server terminated the connection after receiving a sequence number that was less than what was expected. In other cases the field will contain the reason for logout.

Component

StandardTrailer

Y

7.2.3. Heartbeat

The Heartbeat(35=0) message monitors the status of the communication link and identifies when the last of a string of messages was not received. A Heartbeat(35=0) is sent every HeartBtInt(108) seconds, as defined in the Logon(35=A) message, as well as in response to a TestRequest(35=1) message.

Inclusion of the optional TestReqID(112) field indicates that this Heartbeat(35=0) is a response to a TestRequest(35=1) message.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 0

112

TestReqID

String

C

Identifier included in an initial TestRequest(35=1) message.

Conditions: response to TestRequest(35=1)

Values: TestReqID(112) in TestRequest(35=1)

Component

StandardTrailer

Y

7.2.4. TestRequest

The TestRequest(35=1) message forces a heartbeat from the opposing application. It can be initiated both from the client and from the server.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 1

112

TestReqID

String

Y

Identifier included in TestRequest(35=1) message to be returned in resulting Heartbeat(35=0).

Component

StandardTrailer

Y

7.2.5. ResendRequest

This function is used if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 2

7

BeginSeqNo

SeqNum

Y

Message sequence number of first message in range to be resent.

16

EndSeqNo

SeqNum

Y

Message sequence number of last message in range to be resent.

If the request is for a single message, BeginSeqNo(7) = EndSeqNo(16).

If the request is for all messages after a particular message, EndSeqNo(16) = 0 (representing infinity).

Component

StandardTrailer

Y

7.2.6. Reject

A Reject(35=3) message is issued when a message is received but cannot be properly processed due to a session-level rule violation. Whenever possible, it is strongly recommended to describe the cause of the failure in the Text(58) field.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 3

45

RefSeqNum

SeqNum

Y

Reference message sequence number.

372

RefMsgType

String

N

The MsgType(35) of the FIX message being referenced.

371

RefTagID

int

N

The tag number of the FIX field being referenced.

If a message is rejected due to an issue with a particular field, its tag number will be indicated.

373

SessionRejectReason

int

N

Code to identify reason for a session-level Reject(35=3) message.

Values:

  • 0—Invalid tag number

  • 1—Required tag missing

  • 2—Tag not defined for this message type

  • 3—Undefined tag

  • 4—Tag specified without a value

  • 5—Value is incorrect (out of range) for this tag

  • 6—Incorrect data format for value

  • 8—Signature problem

  • 9—CompID problem

  • 10—SendingTime accuracy problem

  • 11—Invalid MsgType(35)

  • 12—XML validation error

  • 13—Tag appears more than once

  • 14—Tag specified out of required order

  • 15—Repeating group fields out of order

  • 16—Incorrect NumInGroup count for repeating group

  • 17—Non "Data" value includes field delimiter (<SOH> character)

  • 18—Invalid/unsupported application version

  • 99—Other

58

Text

String

N

Text specifying the reason for the rejection.

Component

StandardTrailer

Y

7.2.7. SequenceReset

A SequenceReset(35=4) message instructs the receiving party to set the next expected message sequence number to a new value, which is contained in the FIX message in the NewSeqNo(36) field.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 4

36

NewSeqNo

SeqNum

Y

New sequence number.

123

GapFillFlag

Boolean

N

Flag indicating that the SequenceReset(35=4) message is replacing administrative or application messages which will not be re-sent.

Default: N

Values:

  • N—Sequence reset

  • Y—Gap fill message

Component

StandardTrailer

Y

7.3. Trading

7.3.1. Single Order Handling

7.3.1.1. NewOrderSingle

The NewOrderSingle(35=D) message is used by clients wishing to electronically submit orders to the exchange for execution.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = D

1

Account

String

Y

User identifier.

Format: account_ID

40

OrdType

char

Y

Order type (refer to Order Types).

Values:

  • 1—Market

  • 2—Limit

  • 3—Stop Market

  • 4—Stop Limit

  • J—Take Profit Market

  • W—Take Profit Limit

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

60

TransactTime

UTCTimestamp

N

Ignored.

38

OrderQty

Qty

Y

Quantity ordered.

152

CashOrderQty

Amt

C

Minimum desired value received for selling commodity or maximum value paid when buying commodity.

Conditions:

  • OrdType(40) = 1, 3, J;

  • OrderQty(38) is omitted.

77

PositionEffect

char

N

Flag indicating a stop market order must close a margin position when executed or be canceled otherwise.

Conditions:

  • OrdType(40) = 3, J;

  • CashOrderQty(152) is omitted;

  • ExecInst(18) != E;

  • OrderQty(38) is omitted;

  • CashMargin(544) = 2, a.

Values:

  • C—Close

55

Symbol

String

Y

Ticker symbol.

54

Side

char

Y

Side of order.

Values:

  • 1—Buy

  • 2—Sell

59

TimeInForce

char

Y

Time qualifier of the order (refer to Time in Force).

Default:

  • OrdType(40) = 1, 3, J:

    • 4—FOK

  • OrdType(40) = 2, 4, W:

    • 6—GTD

Values:

  • OrdType(40) = 1, 3, J:

    • 3—IOC

    • 4—FOK

  • OrdType(40) = 2, 4, W:

    • 0—Day

    • 1—GTC

    • 3—IOC

    • 4—FOK

    • 6—GTD
      ​

11

ClOrdID

String

Y

Unique identifier for the order as assigned by the client. If omitted, will be generated by the server.

Format: 8 – 32 characters, a-z, A-Z, 0-9, _, -

Conditions: uniqueness must be guaranteed until the last order with the same client order identifier becomes inactive (canceled, expired, or fully executed) and some time after that.

99

StopPx

Price

C

Stop price.

Conditions: OrdType(40) = 3 (Stop Market), 4 (Stop Limit), J (Take Profit Market), W (Take Profit Limit).

126

ExpireTime

UTCTimestamp

C

Date and time of order expiration.

Conditions: TimeInForce(59) = 6 (GTD)

44

Price

Price

C

Limit price.

Conditions: OrdType(40) = 2 (Limit), 4 (Stop Limit), W (Take Profit Limit)

18

ExecInst

MultipleCharValue

N

Instructions for order handling on the exchange trading floor.

Values:

  • 6—Participate do not initiate

  • o—Cancel on connection loss

  • E—Do not increase

544

CashMargin

char

C

Margin mode.

Conditions: margin order

Default: 1

Values:

  • 1—Cash

  • 2—Margin open

  • a—Margin cross

168

EffectiveTime

UTCTimestamp

N

Time the details within the message should take effect.

1138

DisplayQty

Qty

N

The visible part of the hidden order quantity.

Values: 0

67

ListSeqNo

int

C

Sequence of individual order within list.

Conditions: orders in order list.

Component

StandardTrailer

Y

7.3.1.2. OrderStatusRequest

The OrderStatusRequest(35=H) message is used by clients to request order status for one of their orders. Server will respond with an ExecutionReport(35=8) message with ExecType(150) = I (Order Status).

In case of any errors for example if the order is not found, server will respond with an ExecutionReport, where ExecType(150) = I (Order Status), OrdStatus(39) = 8 (Rejected), OrdRejReason(103) and Text(58) will contain the error code and its description.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = H

790

OrdStatusReqID

String

N

Unique identifier for the status request as assigned by the client. Echoed back on ExecutionReport(35=8) if provided. If omitted, it will be generated by the system.

Format: 8 – 32 characters, a-z, A-Z, 0-9, _, -

11

ClOrdID

C

The ClOrdID(11) of the order which status is being requested. Either OrderID(37) or ClOrdID(11) must be provided.

Conditions:

  • OrderID(37) omitted;

  • OrderID(37) or ClOrdID(11) required.

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

55

Symbol

String

N

Ticker symbol.

54

Side

char

N

Side of order.

Values:

  • 1—Buy

  • 2—Sell

37

OrderID

String

C

Unique identifier for order as assigned by the server.

Conditions:

  • ClOrdID(37) omitted;

  • OrderID(37) or ClOrdID(11) required.

Component

StandardTrailer

Y

7.3.1.3. OrderCancelRequest

The OrderCancelRequest(35=F) message requests the cancellation all of the remaining quantity of an existing order.

Each OrderCancelRequest(35=F) is assigned a unique identifier in the ClOrdID(11) field, and is subsequently treated as a separate entity. If rejected, the ClOrdID(11) of the cancel request will be sent in the OrderCancelReject(35=9) message ClOrdID(11) field, whereas the ClOrdID(11) of the actual order in the OrigClOrdID(41) field. The ClOrdID(11) assigned to the cancel request must be unique among the ClOrdID(11) fields assigned to regular orders and replacement orders.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = F

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

41

OrigClOrdID

String

Y

ClOrdID(11) of the previous non-rejected order when canceling an order.

11

ClOrdID

String

Y

Unique identifier of cancel request as assigned by the server.

55

Symbol

String

Y

Ticker symbol.

54

Side

char

Y

Side of order.

Values:

  • 1—Buy

  • 2—Sell

60

TransactTime

UTCTimestamp

N

Ignored.

Component

StandardTrailer

Y

7.3.1.4. OrderCancelReplaceRequest

The OrderCancelReplaceRequest(35=G) message can be used to change the details of an existing limit order.

When processing a cancel/replace request, the existing order is canceled and a new order is placed on the order book. This is executed as a single atomic transaction. However, the newly-placed order loses its order book time priority. Hence, if the intention is to increase the quantity of an existing order, it is recommended that clients send a NewOrderSingle(35=D) message for the increased quantity rather than an OrderCancelReplaceRequest(35=G).

Clients should not use this message to cancel the remaining quantity of an outstanding order. Instead, they should send an OrderCancelReplaceRequest(35=G) message.

The OrderCancelReplaceRequest(35=G) will only be accepted if the order can successfully be pulled back from the exchange without executing. Requests which cannot be processed will be rejected using the OrderCancelReject(35=9) message.

A OrderCancelReject(35=9) message and an ExecutionReport(35=8) with ExecType(150) = 4 (Canceled) and OrdStatus(39) = 4 (Canceled) may arrive in an arbitrary order caused by either of following reasons:

  • after request processing, the remaining quantity reduces to zero;

  • client funds are insufficient for placing an order with requested quantity.

Each cancel/replace request is assigned a unique identifier in the ClOrdID(11) field, and is subsequently treated as a separate entity. If rejected, the ClOrdID(11) of the cancel request will be sent in the OrderCancelReject(35=9) message ClOrdID(11) field, whereas the ClOrdID(11) of the actual order in the OrigClOrdID(41) field. The ClOrdID(11) assigned to the OrderCancelReplaceRequest(35=G) must be unique among the ClOrdID(11) fields assigned to regular orders and replacement orders.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = G

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

60

TransactTime

UTCTimestamp

N

Ignored.

55

Symbol

String

Y

Ticker symbol.

54

Side

char

Y

Side of order.

41

OrigClOrdID

String

Y

ClOrdID(11) of the previous non-rejected order when replacing an order.

11

ClOrdID

String

Y

Unique identifier of cancel/replace request as assigned by the server.

99

StopPx

Price

C

Stop price.

Conditions:
​OrdType(40) = 3 (Stop Market), 4 (Stop Limit), J (Take Profit Market), W (Take Profit Limit)
AND
OrdStatus(39) = 9 (Suspended)

126

ExpireTime

UTCTimestamp

C

Date and time of order expiration.

Conditions: TimeInForce(59) = 6 (GTD)

44

Price

Price

C

Limit price.

Conditions: OrdType(40) = 2 (Limit), 4 (Stop Limit), W (Take Profit Limit)

38

OrderQty

Qty

Y

Quantity ordered.

Conditions:
OrdType(40) = 2 (Limit), 3 (Stop Market), J (Take Profit Market), 4 (Stop Limit), W (Take Profit Limit)
AND
PositionEffect(77) is omitted

40

OrdType

char

N

Ignored.

168

EffectiveTime

UTCTimestamp

N

Time the details within the message should take effect.

Component

StandardTrailer

Y

7.3.1.5. OrderCancelReject

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 9

434

CxlRejResponseTo

char

Y

Type of request being rejected.

Values:

  • 1 = Order cancel request

  • 2 = Order cancel/replace request

11

ClOrdID

String

Y

ClOrdID(11) that was submitted with the order cancel or cancel/replace request being rejected.

41

OrigClOrdID

String

Y

Value of the parameter is equal to the value of OrigClOrdID(41) of the cancel request preceding.

39

OrdStatus

char

Y

Current status of order.

Values:

  • 8—Rejected

102

CxlRejReason

int

Y

Code specifying the reason for the rejection.

Values:

  • 0—Too late to cancel

  • 1—Unknown order

  • 6—Duplicate ClOrdID(11) received

  • 99—Other

58

Text

String

N

Text specifying the reason for the rejection.

Component

StandardTrailer

Y

7.3.1.6. ExecutionReport

The ExecutionReport(35=8) message is used to:

  • confirm the receipt of an order;

  • confirm changes to an existing order (i.e., accept cancel and replace requests);

  • relay order status information;

  • relay fill information on working orders;

  • reject orders.

Each execution report contains two fields which are used to communicate both the current state of the order as understood by the client, OrdStatus(39), and the purpose of the message—ExecType(150).

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = 8

11

ClOrdID

String

C

Client-specified identifier of the order.

Conditions: omitted if this message is sent in reply to an OrderStatusRequest(35=H) message and an order with the specified ClOrdID(11) is missing

41

OrigClOrdID

String

C

ClOrdID(11) of the previous non-rejected order when replacing an order.

Will be filled with the actual ClOrdID(11) of the order regardless of whether OrigClOrdID(41) was specified (valid or invalid value) in the OrderCancelRequest(35=F) or OrderCancelReplaceRequest(35=G) message.

Conditions:

  • reply to OrderCancelRequest(35=F);

  • reply to OrderCancelReplaceRequest(35=G).

41

OrigClOrdID

String

C

ClOrdID(11) of the previous non-rejected order when canceling an order.

37

OrderID

String

Y

Unique identifier for order as assigned by the server.

17

ExecID

String

Y

Unique identifier of execution message.

790

OrdStatusReqID

String

C

Unique identifier of a specific OrderStatusRequest(35=H) message.

Conditions: reply to OrderStatusRequest(35=H)

584

MassStatusReqID

String

C

Value assigned by issuer of OrderMassStatusRequest(35=AF) to uniquely identify the request.

Conditions: reply to OrderMassStatusRequest(35=AF)

911

TotNumReports

int

C

Total number of reports returned in response to a request.

Conditions: reply to OrderMassStatusRequest(35=AF)

912

LastRptRequested

Boolean

C

Flag indicating whether this message is that last report message in response to a request, such as OrderMassStatusRequest(35=AF).

Conditions: reply to OrderMassStatusRequest(35=AF)

150

ExecType

char

Y

Reason the execution report was generated (refer to Order Execution Report).

Values:

  • 0—New

  • 4—Canceled

  • 5—Replaced

  • 8—Rejected

  • 9—Suspended

  • C—Expired

  • F—Trade

  • I—Order status

  • L—Triggered or activated by system

39

OrdStatus

char

Y

Current status of the order.

Values:

  • 0—New

  • 1—Partially filled

  • 2—Filled

  • 4—Canceled

  • 8—Rejected

  • C—Expired

  • 9—Suspended

103

OrdRejReason

int

C

Code to identify reason for order rejection.

Conditions: ExecType(150) = 8 (Rejected), C (Expired)

Values:

  • 1—Unknown symbol

  • 2—Exchange closed

  • 3—Order exceeds limit

  • 4—Too late to enter

  • 5—Unknown order

  • 6—Duplicate order

  • 8—Stale order

  • 11—Unsupported order characteristic

  • 13—Incorrect quantity

  • 15—Unknown account

  • 16—Price exceeds current price band

  • 99—Other

58

Text

String

N

Text specifying the reason for the rejection, cancellation, or expiration.

Conditions: ExecType(150) = 4 (Canceled), 8 (Rejected), C (Expired)

151

LeavesQty

Qty

Y

Quantity open for further execution.

If the OrdStatus(39) = 4 (Canceled), 8 (Rejected), C (Expired), then LeavesQty(151) could be 0, otherwise LeavesQty(151) = OrderQty(38) - CumQty(14).

14

CumQty

Qty

Y

Total quantity filled.

55

Symbol

String

C

Ticker symbol.

Conditions:

  • omitted if OrdStatus(39) = 8 (Rejected);

  • omitted if reply to OrderMassStatusRequest(35=AF) when no orders were found.

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

40

OrdType

char

C

Order type (refer to Order Types).

Values:

  • 1—Market

  • 2—Limit

  • 3—Stop Market

  • 4—Stop Limit

  • J—Take Profit Market

  • W—Take Profit Limit

Conditions:

  • omitted if OrdStatus(39) = 8 (Rejected);

  • reply to an OrderMassStatusRequest(35=AF) when no orders were found.

59

TimeInForce

char

C

Time qualifier of the order (refer to Time in Force).

Default: 6

Values:

  • 0—Day

  • 1—GTC

  • 3—IOC

  • 4—FOK

  • 6—GTD

Conditions:

  • omitted if OrdStatus(39) = 8 (Rejected);

  • reply to an OrderMassStatusRequest(35=AF) when no orders were found.

126

ExpireTime

UTCTimestamp

C

Date and time of order expiration.

Conditions: TimeInForce(59) = 6 (GTD)

54

Side

char

C

Side of order.

Values:

  • 1—Buy

  • 2—Sell

Conditions:

  • omitted if OrdStatus(39) = 8 (Rejected);

  • reply to an OrderMassStatusRequest(35=AF) when no orders were found.

38

OrderQty

Qty

C

Quantity ordered.

152

CashOrderQty

Amt

C

Minimum desired value received for selling commodity or maximum value paid when buying commodity.

Conditions: OrdType(40) = 1, 3, J

151

LeavesQty

Qty

Y

Quantity open for further execution.

Conditions:

  • PositionEffect(77) is omitted;

  • OrdStatus(39) = 0, 1, 2
    AND
    PositionEffect(77) = C.

If the OrdStatus(39) = 4 (Canceled), 8 (Rejected), C (Expired), then LeavesQty(151) could be 0, otherwise LeavesQty(151) = OrderQty(38) - CumQty(14).

44

Price

Price

C

Limit price.

Conditions:

  • OrdType(40) = 2 (Limit), 4 (Stop Limit), W (Take Profit Limit);

  • omitted if OrdStatus(39) = 8 (Rejected);

  • reply to an OrderMassStatusRequest(35=AF) when no orders were found.

99

StopPx

Price

C

Stop price.

Conditions:

  • OrdType(40) = 3 (Stop Market), 4 (Stop Limit), J (Take Profit Market), W (Take Profit Limit);

  • omitted if OrdStatus(39) = 8 (Rejected);

  • reply to an OrderMassStatusRequest(35=AF) when no orders were found.

18

ExecInst

MultipleCharValue

N

Instructions for order handling on exchange trading floor.

Values:

  • 6—Participate do not initiate

  • o—Cancel on connection loss

  • E—Do not increase

544

CashMargin

char

N

Margin mode.

Conditions: margin order

Default: 1

Values:

  • 1—Cash

  • 2—Margin open

  • a—Margin cross

377

SolicitedFlag

Boolean

N

Flags indicating whether the order was solicited.

All execution reports for orders, placed to liquidate a margin position (sent to the holder of a bankrupt position liquidated and also to the holder of a deleveraged one), will have SolicitedFlag(377) = N (Was not solicited).

Values:

  • Y—Was solicited

  • N—Was not solicited

1138

DisplayQty

Qty

N

The visible part of the hidden order quantity.

Conditions: hidden order

Values: 0

1385

ContingencyType

int

C

Type of the order list.

Values:

  • 1—One Cancels Other (OCO)

  • 2—One Triggers Other(OTO)

  • 100—All Or None (AON)

  • 101—One Triggers One Cancels Other (OTOCO)

60

TransactTime

UTCTimestamp

C

Timestamp when the business transaction represented by the message occurred.

Conditions:

  • omitted if OrdStatus(39) = 8 (Rejected);

  • omitted if reply to OrderMassStatusRequest(35=AF) when no orders found.

851

LastLiquidityInd

int

C

Flag indicating whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.

Conditions: ExecType(150) = F (Trade)

Values:

  • 1—Added liquidity

  • 2—Removed liquidity

880

TrdMatchID

String

C

Identifier assigned to a trade by a matching system.

Conditions: ExecType(150) = F (Trade)

6

AvgPx

Price

C

Calculated average price of all fills on this order.

Conditions: CumQty(14) ≠ 0

31

LastPx

Price

C

Price of this (last) fill.

Conditions: ExecType(150) = F (Trade)

32

LastQty

Qty

C

Quantity bought/sold on this (last) fill.

Conditions: ExecType(150) = F (Trade)

Component

MiscFeesGrp

C

Details of trade fees.

Conditions: ExecType(150) = F (Trade)

136

NoMiscFees

NumInGroup

Y

Number of repeating groups of miscellaneous fees.

> 137

MiscFeeAmt

Amt

Y

Miscellaneous fee value.

> 138

MiscFeeCurr

Currency

Y

Currency of miscellaneous fee.

> 139

MiscFeeType

String

Y

Type of miscellaneous fee.

Values:

  • 4—Exchange fees

66

ListID

String

C

Unique identifier for list as assigned by server, used to associate multiple individual orders.

Conditions: reply to NewOrderList(35=E)

Component

AccBalancesGrp

C

Details of account balance.

Conditions: ExecType(150) = F (Trade)

10021

NoAccBalance

NumInGroup

Y

Number of repeating groups of the following account balances:

  • T (currency total balance);

  • A (currency available balance);

  • T (commodity total balance);

  • A (commodity available balance).

Values: 4

> 10022

AccBalanceType

char

Y

Account balance type.

Values:

  • T—Total balance

  • A—Available balance

> 10023

AccBalanceCurrency

Currency

Y

Account balance instrument.

> 10024

AccBalanceAmt

Amt

Y

Account balance expressed in units of instrument specified in AccBalanceCurrency(10023).

636

WorkingIndicator

Boolean

C

Flag indicating whether a secondary order in an order list is inactive.

Conditions: order in an order list

Component

StandardTrailer

Y

7.3.2. Order Mass Handling

7.3.2.1. OrderMassStatusRequest

The OrderMassStatusRequest(35=AF) message requests the status for all orders of the client.

A mass status request is assigned a ClOrdID(11) and is treated as a separate entity.

ExecutionReports(35=8) with ExecType(150) = I (Order status) are returned for all orders matching the criteria provided on the request (i.e., for the client). Such an ExecutionReport(35=8) will have the MassStatusReqID(584) field filled in, and the very last one will have the LastRptRequested(912) flag populated.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = AF

584

MassStatusReqID

String

Y

Value assigned by issuer of Mass StatusRequest(35=AF) to uniquely identify the request.

585

MassStatusReqType

int

Y

MassStatusRequest(AF) type.

Values:

  • 8 = Status for orders for a PartyID(448) (all active orders information by user return)

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

10014

MassStatusRequestStatus

int

N

Current order status.

Values:

  • 0—Active

  • 1—canceled

  • 2—Filled

10015

MassStatusRequestBeginTS

UTCTimestamp

N

Begin timestamp.

Conditions: omitted if MassStatusRequestStatus(10014) = 0 (Active)

Component

StandardTrailer

Y

7.3.3. List Trading

7.3.3.1. NewOrderList

The NewOrderList(35=E) message is used by clients wishing to electronically submit multiple orders to the exchange for execution.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = E

66

ListID

String

C

Unique identifier for the order list and the first order in the list as assigned by the client. If ClOrdID(11) is omitted, this field may not be specified.

Values: ClOrdID(11) of the first order

394

BidType

int

Y

Code to identify the type of BidRequest(35=k).

Values:

  • 3—No bidding process

68

TotNoOrders

int

Y

Total number of list order entries across all messages.

Values: NoOrders(73) in ListOrdGrp

Component

ListOrdGrp

Y

Number of orders in this message (number of repeating groups to follow). Each repeating group contains the same fields as the NewOrderSingle(35=D) message.

73

NoOrders

NumInGroup

Y

Number of repeating groups to follow.

1385

ContingencyType

int

C

Type of the order list.

Values:

  • 1—One Cancels Other (OCO)

  • 2—One Triggers Other(OTO)

  • 100—All Or None (AON)

  • 101—One Triggers One Cancels Other (OTOCO)

Component

StandardTrailer

Y

In case of successful execution of the request, the ExecutionReport(35=8) messages are sent to the client for each order from the order list.

7.3.3.2. ListStatus

The ListStatus(35=N) message is sent if a NewOrderList(35=E) request is rejected.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = N

66

ListID

String

Y

ListID(66) passed in the NewOrderList(35=E) message or generated by the server in reply to the message being rejected.

429

ListStatusType

int

Y

Code to represent the status type.

Values:

  • 1—Ack

82

NoRpts

int

Y

Total number of reports within the series.

Values: 1

431

ListOrderStatus

int

Y

Code to represent the status of a list order.

Values:

  • 7—Reject

444

ListStatusText

String

N

Text specifying the reason for the rejection.

83

RptSeq

int

Y

Sequence number of the message within the report series.

Values: 1

68

TotNoOrders

int

Y

Total number of list order entries across all messages.

Values: NoOrders(73) in OrdListStatGrp

Component

ListOrdGrp

Y

Number of orders in this message (number of repeating groups to follow).

73

NoOrders

NumInGroup

Y

Number of repeating groups to follow.

> 11

ClOrdID

String

Y

ClOrdID(11) of the order being rejected passed in the NewOrderList(35=E) or generated by the server if omitted.

> 14

CumQty

Qty

Y

Total quantity filled.

Values: 0

> 39

OrdStatus

char

Y

Identifies current status of order.

Values:

  • 8—Rejected

> 151

LeavesQty

Qty

Y

Quantity open for further execution.

Values: 0

> 84

CxlQty

Qty

Y

Total quantity canceled for this order.

Values: 0

> 6

AvgPx

Price

Y

Calculated average price of all fills on this order.

Component

StandardTrailer

Y

7.3.4. Position Maintenance

7.3.4.1. Position Execution Types

Position report types:

Report types

Description

Created

New position has been created as a result of the first set margin request.

Open trade

Opening trade has been executed.

Close trade

Closing trade has been executed.

Flip Trade

Position has been flipped as a result of an opposite order execution with quantity exceeding the position quantity.

Updated

Position has been changed as a result of either order placing, canceling, position status changing, or a "margin call".

Margin changed

Position margin has been added or withdrawn as a result of any subsequent set margin request (refer to Created).

Closed

Position quantity has zeroed as a result of a close trade.

Status

Response to a position request.

Liquidated

Position has been closed as a result of a liquidation trade (including one during auto-deleveraging).

Interest taken

Interest rate has been paid.

Liquidation trade

Liquidation order has been placed.

Funding taken

Funding has been paid/taken.

Deleveraged

Position has been deleveraged.

Deleverage trade

A part of position quantity has been deleveraged.

Leverage changed

Leverage of a futures position has been changed.

7.3.4.2. RequestForPositions

The value of the PosReqType(724) field will be one of the following:

  • 101 (Balance)—custom, non-standard, does not allow subscription, only snapshot. PositionReport(35=AP) is sent as reply to this request type;

  • 102 (Margin position)—custom, non-standard, allows subscription. MarginPositionReport(35=UMPR), or RequestForPositionsAck(35=AO), or MarginReject(35=UMR) are sent as reply to this request type;

  • 103 (Margin account)—custom, non-standard, allows subscription. MarginAccountReport(35=UMAR), RequestForPositionsAck(35=AO), or MarginReject(35=UMR) are sent as reply to this request type.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = AN

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

Format:

724

PosReqType

int

Y

Type of position request being made.

Values:

  • 101—Balance

  • 102—Margin positions

  • 103—Margin accounts

263

SubscriptionRequestType

char

N

Subscription request type.

Conditions: omitted if PosReqType(724) = 101 (Balance)

Values:

  • 0 = Snapshot

  • 1 = Snapshot + Updates (subscribe)

  • 2 = Disable previous Snapshot + Update request (unsubscribe)

Default: 0

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

15

Currency

Currency

C

Currency code.

Conditions:

  • PosReqType(724) = 101 (Balance);

  • PosReqType(724) = 103 (Margin accounts) AND MarginMode(10004) = 2 (Cross).

55

Symbol

String

C

Ticker symbol.

Conditions:

  • PosReqType(724) = 102 (Margin positions);

  • PosReqType(724) = 103 (Margin accounts) AND MarginMode(10004) = 1 (Isolated).

715

ClearingBusinessDate

LocalMktDate

N

Ignored.

60

TransactTime

UTCTimestamp

N

Ignored.

10004

MarginMode

int

N

Margin mode.

Conditions:

  • PosReqType(724) = 102 (Margin positions);

  • PosReqType(724) = 103 (Margin accounts).

Values:

  • 1—Isolated

  • 2—Cross

Default: 1

Component

StandardTrailer

Y

7.3.4.3. RequestForPositionsAck

Response to a RequestForPositions(35=AN) with PosReqType(724) = 102 (Margin position) in case of successful subscription to nonexistent position updates or successful unsubscription from position updates.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = AO

721

PosMaintRptID

String

Y

Unique identifier for this position report.

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

Values: PosReqID(710) in RequestForPositions(35=AN)

724

PosReqType

int

Y

PosReqType(724) in RequestForPositions(35=AN) the message.

Values:

  • 101—Balance

  • 102—Margin positions

  • 103—Margin accounts

728

PosReqResult

int

Y

Result of RequestForPositions(35=AN).

Values:

0—Valid request 99—Other

729

PosReqStatus

int

Y

Status of RequestForPositions(35=AN).

Values:

  • 0—Completed

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

55

Symbol

String

C

Ticker symbol.

Conditions: PosReqType(724) = 0 (Positions)

Values: Symbol(55) in RequestForPositions(35=AN)

15

Currency

Currency

C

Currency code.

Conditions: PosReqType(724) = 1 (Accounts)

Values: Currency(15) in RequestForPositions(35=AN)

Component

StandardTrailer

Y

7.3.4.4. PositionReport

Response to requesting position details via a RequestForPositions(35=AN) message. The currency field will contain the currency for which the balance was requested. The Position repeating group will contain two elements (NoPosAmt(753) = 2):

  • PosAmtType(707) = CASH (Cash amount);

  • PosAmtType(707) = CRES (Cash residual amount).

In case of a balance request error, a PositionReport(35=AP) is sent with NoPosAmt(753) = 0.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = AP

721

PosMaintRptID

String

Y

Unique identifier for this position report.

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

Values: PosReqID(710) in RequestForPositions(35=AN)

724

PosReqType

int

Y

Type of position request being made.

Values: PosReqType(724) in RequestForPositions(35=AN)

325

UnsolicitedIndicator

Boolean

Y

Flag indicating whether a message is being sent as a result of a subscription request.

Values:

  • N—Message is being sent as a result of a prior request

728

PosReqResult

int

Y

Result of RequestForPositions(35=AN).

Values:

  • 0—Valid request

  • 1—Invalid or unsupported request

  • 2—No positions found that match criteria

  • 3—Not authorized to request positions

  • 4—Request for position not supported

  • 99—Other

58

Text

String

N

Text specifying the reason for the rejection.

715

ClearingBusinessDate

LocalMktDate

Y

The current date.

1

Account

String

Y

User identifier.

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

15

Currency

Currency

C

Currency code.

Conditions: PosReqType(724) = 101 (Accounts)

Values: Currency(15) in RequestForPositions(35=AN)

15

Currency

Currency

C

Currency code.

Conditions: PosReqType(724) = 101 (Balance)

55

Symbol

String

C

Ticker symbol.

Conditions: PosReqType(724) = 102 (Margin positions)

Component

PositionQty

C

The various types of position quantity in the position life-cycle.

Conditions: PosReqType(724) = 102 (Margin positions)

702

NoPositions

NumInGroup

Y

Number of position entries.

> 703

PosType

String

Y

Type of quantity that is being returned.

> 704

LongQty

Qty

N

Long quantity.

> 705

ShortQty

Qty

N

Short quantity.

Component

PositionAmountData

C

Netted amounts associated with position quantities.

753

NoPosAmt

NumInGroup

C

Number of position amount entries.

Values:

  • 0—An error occurred

  • 2—Successful amount return

> 707

PosAmtType

String

Y

Type of position amount.

Values:

  • CASH—Cash amount (total amount of this currency on the user account)

  • CRES—Cash residual amount (amount not blocked by the position, that is available for opening positions)

> 708

PosAmt

Amt

Y

Position amount.

Component

StandardTrailer

Y

7.3.4.5. MarginPositionReport

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = UMPR

2618

PositionID

String

Y

Unique identifier for a position entity.

710

PosReqID

String

N

Unique identifier for the position maintenance request as assigned by the submitter.

Conditions:

  • reply to RequestForPositions(35=AN);

  • reply to SetMargin(35=USM);

  • omitted if ClOrdID(11) for the open order is filled.

Values: PosReqID(710) in RequestForPositions(35=AN) or SetMargin(35=USM)

11

ClOrdID

String

N

ClOrdID(11) of the order that leads to the positions is update.

If caused by order this message follows the ExecutionReport(35=8) message.

Conditions:

  • position updates caused by orders;

  • omitted if PosReqID(710) is filled.

10002

MPExecType

char

Y

Reason the margin position execution report was generated (refer to Position Execution Types).

Values:

  • 1—Created

  • 2—Open trade

  • 3—Close trade

  • 4—Flip trade

  • 5—Updated

  • 6—Collateral changed

  • 7—Closed

  • 8—Status

  • 9—Position liquidated

  • A—Interest taken

  • B—Liquidation trade

  • C—Funding taken

  • D—Position deleveraged

  • E—Deleverage trade

  • F—Leverage changed

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 2

> 448

PartyID

String

Y

Username of the client or the Central Counterparty.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified: either the client or the Central Counterparty.

Values:

  • 3—Client ID

  • 4—Clearing firm

55

Symbol

String

Y

Ticker symbol.

10003

MPStatus

char

Y

Margin position status.

Values:

  • 1—Normal (the client can place and cancel orders, amend and change margin)

  • 2—Blocked (the client cannot place orders in either side)

  • 3—Close only (the client may only place orders to close the position)

10004

MarginMode

char

Y

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

10005

Leverage

float

Y

Position leverage.

Component

CollateralAmounts

Y

Balances of the margin account.

1703

NoCollateralAmounts

NumInGroup

Y

Number of collateral amount entries:

  • margin;

  • required margin;

  • orders margin.

Values: 3

> 1704

CurrentCollateralAmount

Amt

Y

Currency value currently attributed to the collateral.

> 1705

CollateralCurrency

Currency

Y

Currency of the collateral.

> 2632

CollateralAmountType

int

Y

Type of value in CurrentCollateralAmount(1704).

Values:

  • 101—Margin (total amount of margin in natural units of currency involved in positions, meaning that it is equal to the sum of orders margin and account margin)

  • 102—Required margin (the lower boundary to margin minus debt; If the margin is lower than this value, placing new orders and retrieving is not allowed)

  • 103—Orders margin (amount of currency reserved for open orders)

14

CumQty

Qty

Y

Position quantity (it will be negative for short positions).

6

AvgPx

int

C

Weighted average price of open trades.

Conditions: omitted if CumQty(14) = 0

10006

EntryValue

Amt

C

Position value.

Conditions: omitted if CumQty(14) = 0

10007

MarginCallPx

Price

C

The price at which margin is to be insufficient for maintaining the position, so a margin call is issued.

Conditions: omitted if CumQty(14) = 0

10008

LiquidationPx

Price

C

The price at which the position will be liquidated.

Conditions: omitted if CumQty(14) = 0

10009

BankruptcyPx

Price

C

The price at which margin will not cover the loss.

Conditions: omitted if CumQty(14) = 0

10010

RealisedPnL

Amt

Y

Realized PnL.

10012

MPUntouchableFlag

Boolean

C

Flag indicating whether the position cannot be force-closed.

Values:

  • N

10013

MPMarginCallFlag

Boolean

Y

Flag indicating whether additional margin is required to maintain the position.

42

OrigTime

UTCTimestamp

Y

Time of message origination.

Format: nanosecond precision

779

LastUpdateTime

UTCTimestamp

Y

Timestamp of last update to data item (or creation if no updates made since creation).

Format: nanosecond precision

10016

ADLRanking

Int

Y

Rank of a position which defines how appropriate a position is to be used for closing bankrupt positions avoided liquidation. The higher the rank, the higher probability the position will be deleveraged.

Values: 0 – 4

136

NoMiscFees

NumInGroup

Y

Fees paid throughout the position lifetime until it is closed.

Values: 0 if MPExecType(10002) = 1

> 137

MiscFeeAmt

Amt

Y

Total (cumulative) fee value.

This value does zero out after the positions closes and does not when it flips.

> 138

MiscFeeCurr

Currency

Y

Currency of fees.

> 139

MiscFeeType

String

Y

Type of fees.

Values:

  • 4 = Exchange Fees

Component

StandardTrailer

Y

Values of MarginCallPx(10007), LiquidationPx(10008), BankruptcyPx(10009) do not carry information that would be valuable for predicting the condition of a position, since those change after an adjusted price (mark price) changes.

7.3.4.6. CloseMarginPosition

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = UCMP

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

55

Symbol

String

Y

Ticker symbol.

40

OrdType

char

Y

Order type (refer to Order Types).

Values:

  • 1—Market

  • 2—Limit

44

Price

Price

C

Limit price.

Conditions: OrdType(40) = 2 (Limit)

10004

MarginMode

char

N

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

Component

StandardTrailer

Y

7.3.4.7. MarginReject

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = UMR

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

553

Username

String

C

Username assigned to the CompID.

55

Symbol

String

Y

Ticker symbol.

10011

MPRejectReason

int

Y

The reason for the rejection.

  • 0—Access denied

  • 1—Bad account

  • 2—Bad amount

  • 3—Bad margin value

  • 4—Bad order type

  • 5—Bad request identifier

  • 6—Bad position identifier

  • 7—Bad price

  • 8—Bad symbol

  • 9—Duplicate request identifier

  • 10—Exchange closed

  • 11—No available margin

  • 12—Position already exists

  • 13—Position not changed

  • 14—Position not found

  • 15—Unknown user

  • 16—Position not opened

  • 99—Other

58

Text

String

N

Text specifying the reason for the rejection.

372

RefMsgType

String

Y

The MsgType(35) of the FIX message being referenced.

Values:

  • AN—RequestForPositions

  • UCMP—CloseMarginPosition

40

OrdType

char

C

Order type (refer to Order Types).

Conditions: RefMsgType(372) = UCMP

Values:

  • 1—Market

  • 2—Limit

44

Price

Price

N

Limit price.

Conditions: OrdType(40) = 2 (Limit) AND RefMsgType(372) = UCMP (CloseMarginPosition)

10004

MarginMode

char

Y

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

Component

StandardTrailer

Y

7.3.5. Collateral Management

7.3.5.1. Margin Account Execution Types

Position report types:

Type

Description

Created

A successful set margin request changed the margin from zero creating the account.

Updated

An existing account margin was changed due to trading, charging interest (funding), order cancellation, etc.

Status

A successful request for margin account details.

Margin call changed

A margin call has been issued.

Margin changed

A successful set margin request changed the margin (including setting it to zero).

7.3.5.2. MarginAccountReport

Response to a RequestForPositions(35=AN) with PosReqType(724) = 103 (Margin account) in case of successful subscription to nonexistent account updates or successful unsubscription from updates.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = UMAR

710

PosReqID

String

N

Unique identifier for the account maintenance request as assigned by the submitter.

Conditions:

  • reply to RequestForPositions(35=AN);

  • reply to SetMargin(35=USM);

  • omitted if ClOrdID(11) is filled.

11

ClOrdID

String

N

ClOrdID(11) of the order that leads to the account is updated.

If caused by order this message follows the ExecutionReport(35=8) message.

Conditions:

  • position updates caused by orders;

  • omitted if PosReqID(710) is filled.

10002

MPExecType

char

Y

Margin account execution type (refer to Margin Account Execution Types).

Values:

  • 1—Created

  • 5—Updated

  • 6—Collateral changed

  • 8—Status

  • H—Margin call changed

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

10004

MarginMode

char

Y

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

55

Symbol

String

C

Ticker symbol.

Conditions: MarginMode(10004) = 0 (Isolated)

Component

CollateralAmounts

Y

Balances of the margin account.

1703

NoCollateralAmounts

NumInGroup

Y

Number of collateral amount entries:

  • margin;

  • required margin;

  • orders margin.

Values: 3

> 1704

CurrentCollateralAmount

Amt

Y

Currency value currently attributed to the collateral.

> 1705

CollateralCurrency

Currency

Y

Currency of the collateral.

> 2632

CollateralAmountType

int

Y

Type of value in CurrentCollateralAmount(1704).

Values:

  • 101—Margin (the total amount of margin in natural units of currency involved in positions, meaning that it is equal to the sum of orders margin and account margin)

  • 102—Required margin (the lower boundary to the total margin minus debt. If the margin is lower than this value, placing new orders and retrieving is not allowed)

  • 103—Orders margin (amount of currency reserved for open orders)

  • 104—Margin-call margin (the lower boundary to the total margin minus debt. If the margin is equal to this value, a margin call is sent)

  • 105—Liquidation margin (the lower boundary to the total margin minus debt. If the margin is equal to this value, it is liquidated)

  • 106—Debt sum

10013

MPMarginCallFlag

Boolean

Y

Flag indicating whether additional margin is required to maintain the position.

779

LastUpdateTime

UTCTimestamp

Y

Timestamp of last update to data item (or creation if no updates made since creation).

Format: nanosecond precision

Component

StandardTrailer

Y

Values of CurrentCollateralAmount(1704) do not carry information that would be valuable for predicting the condition of a position, since those change after an adjusted price (mark price) changes.

7.3.5.3. SetMargin

Sets margin for position or creates position, if it does not exist.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = USM

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

55

Symbol

String

C

Ticker symbol.

Conditions: MarginMode(1004) = 1 (Isolated)

Component

CollateralAmounts

Y

Balances of the margin account.

1703

NoCollateralAmounts

NumInGroup

Y

Number of collateral amount entries

Values: 1

> 1704

CurrentCollateralAmount

Amt

Y

Currency value currently attributed to the collateral.

> 1705

CollateralCurrency

Currency

Y

Currency of the collateral.

NOTE: Both Symbol(55) and CollateralCurrency(1705) are required if MarginMode(10004) = 1 ( Isolated), otherwise only CollateralCurrency(1705) is expected.

> 2632

CollateralAmountType

int

Y

Type of value in CurrentCollateralAmount(1704).

Values:

  • 101—Margin

10005

Leverage

float

N

Maximum allowed leverage set by a user to hedge their risk.

If the conditions are violated, the server sends a Reject(3) message.

Conditions: MarginMode(10004) = 1 (Isolated)

10004

MarginMode

char

N

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

Default: 1

Component

StandardTrailer

Y

SetMargin(35=USM) request may be used for changing position leverage if MarginMode(10004) = 1 (Isolated) but it is not suggested.

7.3.5.4. SetLeverage

Sets leverage for a position.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = USL

710

PosReqID

String

Y

Unique identifier for the position maintenance request as assigned by the submitter.

1

Account

String

Y

User identifier.

Format: account_ID

Component

Parties

Y

Party information related to the submitter of the request.

453

NoPartyIDs

NumInGroup

Y

Number of PartyID(448), PartyIDSource(447), and PartyRole(452) entries.

Values:

  • 1

> 448

PartyID

String

Y

Username.

Format: user_ID

> 447

PartyIDSource

char

Y

Flag indicating class or source of the PartyID(448) value.

Values:

  • D—Proprietary

> 452

PartyRole

int

Y

Identifies the type or role of the PartyID(448) specified.

Values:

  • 3—Client ID

55

Symbol

String

Y

Ticker symbol.

10004

MarginMode

char

Y

Margin mode.

Values:

  • 1—Isolated

  • 2—Cross

10005

Leverage

float

Y

Maximum allowed leverage set by a user to hedge their risk.

Component

StandardTrailer

Y

7.4. Business Rejects

7.4.1. BusinessMessageReject

A BusinessMessageReject(35=j) message is sent when a client message cannot be processed.

Tag

Name

Type

Req

Description

Component

StandardHeader

Y

MsgType(35) = j

379

BusinessRejectRefID

String

N

The value of the business-level identifier (e.g., ClOrdID, OrdStatusReqID, etc.) on the message being referenced if it was specified.

45

RefSeqNum

SeqNum

N

MsgSeqNum(34) of rejected message.

371

RefTagID

int

N

The tag number of the FIX field being referenced.

372

RefMsgType

String

Y

The MsgType(35) of the FIX message being referenced.

380

BusinessRejectReason

int

Y

Code to identify reason for a BusinessMessageReject(35=j) message.

Values:

  • 0—Other

  • 1—Unknown ID

  • 2—Unknown security

  • 3—Unsupported message type

  • 4—Application not available

  • 5—Conditionally required field missing

  • 6—Not authorized

  • 7—Deliver to firm not available at this time

  • 8—Throttle limit exceeded

  • 9—Throttle limit exceeded session disconnected

  • 10—Throttled messages rejected on request

  • 18—Invalid price increment

58

Text

String

N

Text specifying the reason for the rejection.

Component

StandardTrailer

Y

8. Version History

Version

Date

Description

Version

Date

Description

1.0

2019/11/08

First edition.

1.1

2020/04/15

Added SetMargin(35=USM), CloseMarginPosition(35=UCMP), and MarginReject(35=UMR) messages.

1.2

2020/11/06

Added an ADL ranking parameter in MarginPositionReport(35=UMPR).

1.3

2021/02/25

Updated description of SolicitedFlag(377) tag in ExecutionReport(35=8).

1.4

2021/06/30

Added fat-finger protection.

1.5

2021/08/05

Added take-profit market and take-profit limit order types.

1.6

2021/09/15

Added DisplayQty(1138) parameter in NewOrderSingle(35=D) message.

1.7

2021/10/13

Added NewOrderList(35=E) message and reduce-only mode.

1.8

2021/11/22

Added One-Cancels-the-Other (OCO) order list type.

1.9

2022/04/12

Added ListExecute(35=L) execution report type.

2.0

2022/06/07

Added balances in ExecutionReport(35=8) message.

2.1

2022/08/24

Added deleverage trade execution report type in MarginPositionReport(35=UMPR).

2.2

2023/03/24

Added single-currency cross margin:

  • added new values for CashMargin(544) field;

  • expanded RequestForPositions(35=AN) message;

  • added MarginAccountReport(35=UMAR) message;

  • added SetLeverage(35=USL) message.

2.3

2023/06/20

Added support of AON order lists.

2.4

2023/09/04

Changed the standard behavior of TIF for market and limit orders.

2.5

2023/09/08

  • Added support of OTO and OTOCO order lists.

  • Added a new optional tag WorkingIndicator(636) in ExecutionReport(35=8) message.

2.6

2023/10/09

Added a new CashOrderQty(152) field in ExecutionReport(35=8) message.

2.7

2024/05/13

Added a new NoMiscFees(136) group in MarginPositionReport(35=UMPR) message.

2.8

2024/05/13

Added a new PositionEffect(77) field in NewOrderSingle(35=D), NewOrderList(35=E), ListStatus(35=N), ExecutionReport(35=8) messages.

2.9

2024/07/17

Added support of replacing suspended orders with OrderCancelReplaceRequest(35=G).

Did this answer your question?