Appendix – CrossOrders Category

Components

SideCrossOrdCxlGrp

Tag Name Req’d Description
552 NoSides
→54 Side Y
→41 OrigClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
→11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526 SecondaryClOrdID N
→583 ClOrdLinkID N
→586 OrigOrdModTime N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229 TradeOriginationDate N
→75 TradeDate N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
→376 ComplianceID N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SideCrossOrdModGrp

Tag Name Req’d Description
552 NoSides
→54 Side Y
→41 OrigClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11)
→11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
→526 SecondaryClOrdID N
→583 ClOrdLinkID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229 TradeOriginationDate N
→75 TradeDate N
→1 Account N
→660 AcctIDSource N
→581 AccountType N
→589 DayBookingInst N
→590 BookingUnit N
→591 PreallocMethod N
→70 AllocID N Use to assign an identifier to the block of preallocations
Component PreAllocGrp N
→854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
→528 OrderCapacity N
→529 OrderRestrictions N
→1091 PreTradeAnonymity N
→582 CustOrderCapacity N
→121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
→120 SettlCurrency N Required if ForexReq = Y.
→775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→77 PositionEffect N For use in derivatives omnibus accounting
→203 CoveredOrUncovered N For use with derivatives, such as options
→544 CashMargin N
→635 ClearingFeeIndicator N
→377 SolicitedFlag N
→659 SideComplianceID N
→962 SideTimeInForce N Specifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order.

Messages

NewOrderCross Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = s (lowercase S)
548 CrossID Y
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdModGrp Y Must be 1 or 2
1 or 2 if CrossType=1
2 otherwise
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
140 PrevClosePx N Useful for verifying security identification
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
483 TransBkdTime N A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
376 ComplianceID N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
Component StandardTrailer Y

CrossOrderCancelReplaceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = t (lowercase T)
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
548 CrossID Y CrossID for the replacement order
551 OrigCrossID Y Must match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdModGrp Y Must be 1 or 2
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
140 PrevClosePx N Useful for verifying security identification
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
483 TransBkdTime N A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
376 ComplianceID N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
Component StandardTrailer Y

CrossOrderCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = u (lowercase U)
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
548 CrossID Y CrossID for the replacement order
551 OrigCrossID Y Must match the CrossID of previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
549 CrossType Y
550 CrossPrioritization Y
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual sides.
Component SideCrossOrdCxlGrp Y Must be 1 or 2
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Leg
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
Component StandardTrailer Y

Appendix – MultilegOrders Category

Components

LegOrdGrp

Tag Name Req’d Description
555 NoLegs
Component InstrumentLeg N Must be provided if Number of legs > 0
→687 LegQty N
→690 LegSwapType N
Component LegStipulations N
→1366 LegAllocID N
Component LegPreAllocGrp N
→564 LegPositionEffect N Provide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565 LegCoveredOrUncovered N Provide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type
→654 LegRefID N Used to identify a specific leg.
→587 LegSettlType N Refer to values for SettlType (63)
→588 LegSettlDate N Refer to values for SettlDate (64)
→675 LegSettlCurrency N
→685 LegOrderQty N
→1379 LegVolatility N
→1381 LegDividendYield N
→1383 LegCurrencyRatio N
→1384 LegExecInst N

PreAllocMlegGrp

Tag Name Req’d Description
78 NoAllocs
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→736 AllocSettlCurrency N
→467 IndividualAllocID N
Component NestedParties3 N Insert here the set of NestedParties3 (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
→80 AllocQty N

Messages

NewOrderMultileg Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AB
11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an identifier to the block of individual preallocations
Component PreAllocMlegGrp N Number of repeating groups for pre-trade allocation
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of ReserveInstruction fields defined in common components of application messages
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
54 Side Y Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
Component Instrument N
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
1069 SwapPoints N For FX Swaps. Used to express the differential between the far leg’s bid/offer and the near leg’s bid/offer.
Component LegOrdGrp N Number of legs
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
854 QtyType N
Component OrderQtyData N Insert here the set of OrderQtyData fields defined in Common Components of Application Messages Conditionally required when the multileg order is not for a FX Swap, or any other swap transaction where having OrderQty is irrelevant as the amounts are expressed in the LegQty.
40 OrdType Y
1377 MultilegModel N
1378 MultilegPriceMethod N
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
15 Currency N
376 ComplianceID N
377 SolicitedFlag N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
1080 RefOrderID N Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
528 OrderCapacity N
529 OrderRestrictions N
1091 PreTradeAnonymity N
582 CustOrderCapacity N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq = Y.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
1190 RiskFreeRate N
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
563 MultiLegRptTypeReq N Indicates the method of execution reporting requested by issuer of the order.
Component StandardTrailer Y

MultilegOrderCancelReplace Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AC
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
41 OrigClOrdID N ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
11 ClOrdID N Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
526 SecondaryClOrdID N
583 ClOrdLinkID N
586 OrigOrdModTime N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an identifier to the block of individual preallocations
Component PreAllocMlegGrp N Number of repeating groups for pre-trade allocation
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
54 Side Y Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
Component Instrument N
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
1069 SwapPoints N
Component LegOrdGrp N Number of legs
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
40 OrdType Y
1377 MultilegModel N
1378 MultilegPriceMethod N
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
15 Currency N
376 ComplianceID N
377 SolicitedFlag N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
528 OrderCapacity N
529 OrderRestrictions N
1091 PreTradeAnonymity N
582 CustOrderCapacity N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq = Y.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
1190 RiskFreeRate N
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
563 MultiLegRptTypeReq N Indicates the method of execution reporting requested by issuer of the order.
Component StandardTrailer Y

Appendix – OrderMassHandling Category

Components

AffectedOrdGrp

Tag Name Req’d Description
534 NoAffectedOrders
→41 OrigClOrdID N Required if NoAffectedOrders > 0 and must be the first repeating field in the group.
Indicates the client order id of an order affected by this request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID) this field should contain string MANUAL.
→535 AffectedOrderID N Contains the OrderID assigned by the counterparty of an affected order. Not required as part of the repeating group if OrigClOrdID(41) has a value other than MANUAL.
→536 AffectedSecondaryOrderID N Contains the SecondaryOrderID assigned by the counterparty of an affected order. Not required as part of the repeating group

NotAffectedOrdersGrp

Tag Name Req’d Description
1370 NoNotAffectedOrders
→1372 NotAffOrigClOrdID N Required if NoNotAffectedOrders(1370) > 0 and must be the first repeating field in the group.
Indicates the client order id of an order not affected by the request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID) this field should contain string MANUAL.
→1371 NotAffectedOrderID N Contains the OrderID assigned by the counterparty of an unaffected order. Not required as part of the repeating group if NotAffOrigClOrdID(1372) has a value other than MANUAL.

Messages

OrderMassStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = AF
584 MassStatusReqID Y Unique ID of mass status request as assigned by the institution.
585 MassStatusReqType Y Specifies the scope of the mass status request
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component TargetParties N Can be used to specify the parties to whom the Order Mass Status Request should apply.
1 Account N Account
660 AcctIDSource N
336 TradingSessionID N Trading Session
625 TradingSessionSubID N
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
54 Side N Optional qualifier used to indicate the side of the market for which orders will be returned.
Component StandardTrailer Y

OrderMassActionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BZ
11 ClOrdID N ClOrdID provided on the Order Mass Action Request.
526 SecondaryClOrdID N
1369 MassActionReportID Y Unique Identifier for the Order Mass Action Report
1373 MassActionType Y Order Mass Action Request Type accepted by the system
1374 MassActionScope Y Specifies the scope of the action
1375 MassActionResponse Y Indicates the action taken by the counterparty order handling system as a result of the Action Request
0 – Indicates Order Mass Action Request was rejected.
1376 MassActionRejectReason N Indicates why Order Mass Action Request was rejected
Required if MassActionResponse = 0
533 TotalAffectedOrders N Optional field used to indicate the total number of orders affected by the Order Mass Action Request
Component AffectedOrdGrp N Orders affected by the Order Mass Action Request.
Component NotAffectedOrdersGrp N List of orders not affected by the Order Mass Action Request.
1301 MarketID N MarketID for which orders are to be affected
1300 MarketSegmentID N MarketSegmentID for which orders are to be affected
336 TradingSessionID N TradingSessionID for which orders are to be affected
625 TradingSessionSubID N TradingSessionSubID for which orders are to be affected
Component Parties N
Component TargetParties N Should be populated with the values provided on the associated OrderMassActionRequest(MsgType=CA).
Component Instrument N
Component UnderlyingInstrument N
54 Side N Side of the market specified on the Order Mass Action Request
60 TransactTime N Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderMassActionRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = CA
11 ClOrdID Y Unique ID of Order Mass Action Request as assigned by the institution.
526 SecondaryClOrdID N
1373 MassActionType Y Specifies the type of action requested
1374 MassActionScope Y Specifies the scope of the action
1301 MarketID N MarketID for which orders are to be affected
1300 MarketSegmentID N MarketSegmentID for which orders are to be affected
336 TradingSessionID N Trading Session in which orders are to be affected
625 TradingSessionSubID N
Component Parties N
Component TargetParties N Can be used to specify the parties to whom the Order Mass Action should apply.
Component Instrument N
Component UnderlyingInstrument N
54 Side N
60 TransactTime Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderMassCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = q (lowercase Q)
11 ClOrdID Y Unique ID of Order Mass Cancel Request as assigned by the institution.
526 SecondaryClOrdID N
530 MassCancelRequestType Y Specifies the type of cancellation requested
336 TradingSessionID N Trading Session in which orders are to be canceled
625 TradingSessionSubID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
Component TargetParties N Can be used to specify the parties to whom the Order Mass Cancel should apply.
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301 MarketID N Required for MassCancelRequestType = 8 (Cancel orders for a market)
1300 MarketSegmentID N Required for MassCancelRequestType = 9 (Cancel orders for a market segment)
54 Side N Optional qualifier used to indicate the side of the market for which orders are to be canceled. Absence of this field indicates that orders are to be canceled regardless of side.
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderMassCancelReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = r (lowercase R)
11 ClOrdID N ClOrdID provided on the Order Mass Cancel Request. Unavailable in case of an unsolicited report, such as after a trading halt or a corporate action requiring the deletion of outstanding orders.
526 SecondaryClOrdID N
37 OrderID Y Unique Identifier for the Order Mass Cancel Request assigned by the recipient of the Order Mass Cancel Request.
1369 MassActionReportID Y Unique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
198 SecondaryOrderID N Secondary Order ID assigned by the recipient of the Order Mass Cancel Request.
530 MassCancelRequestType Y Order Mass Cancel Request Type accepted by the system
531 MassCancelResponse Y Indicates the action taken by the counterparty order handling system as a result of the Cancel Request
0 – Indicates Order Mass Cancel Request was rejected.
532 MassCancelRejectReason N Indicates why Order Mass Cancel Request was rejected
Required if MassCancelResponse = 0
533 TotalAffectedOrders N Optional field used to indicate the total number of orders affected by the Order Mass Cancel Request
Component AffectedOrdGrp N List of orders affected by the Order Mass Cancel Request
Component NotAffectedOrdersGrp N List of orders not affected by Order Mass Cancel Request
336 TradingSessionID N Trading Session in which orders are to be canceled
625 TradingSessionSubID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
Component TargetParties N Should be populated with the values provided on the associated OrderMassCancelRequest(MsgType=Q).
Component Instrument N Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UnderlyingInstrument N Insert here the set of UnderlyingInstrument (underlying symbology) fields defined in Common Components of Application Messages
1301 MarketID N
1300 MarketSegmentID N
54 Side N Side of the market specified on the Order Mass Cancel Request
60 TransactTime N Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Appendix – ProgramTrading Category

Components

BidCompReqGrp

Tag Name Req’d Description
420 NoBidComponents
→66 ListID N Required if NoBidComponents > 0. Must be first field in repeating group.
→54 Side N When used in request for a Disclosed bid indicates that bid is required on assumption that SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
→336 TradingSessionID N Indicates off-exchange type activities for Detail.
→625 TradingSessionSubID N
→430 NetGrossInd N Indicates Net or Gross for selling Detail.
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→1 Account N
→660 AcctIDSource N

BidCompRspGrp

Tag Name Req’d Description
420 NoBidComponents
Component CommissionData Y First element Commission required if NoBidComponents > 0.
→66 ListID N
→421 Country N ISO Country Code
→54 Side N When used in response to a Disclosed request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
→44 Price N Second element of price
→423 PriceType N
→406 FairValue N The difference between the value of a future and the value of the underlying equities after allowing for the discounted cash flows associated with the underlying stocks (E.g. Dividends etc).
→430 NetGrossInd N Net/Gross
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→336 TradingSessionID N
→625 TradingSessionSubID N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

BidDescReqGrp

Tag Name Req’d Description
398 NoBidDescriptors
→399 BidDescriptorType N Required if NoBidDescriptors > 0. Must be first field in repeating group.
→400 BidDescriptor N
→401 SideValueInd N Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
→404 LiquidityValue N Value between LiquidityPctLow and LiquidityPctHigh in Currency
→441 LiquidityNumSecurities N Number of Securites between LiquidityPctLow and LiquidityPctHigh in Currency
→402 LiquidityPctLow N Liquidity indicator or lower limit if LiquidityNumSecurities > 1
→403 LiquidityPctHigh N Upper liquidity indicator if LiquidityNumSecurities > 1
→405 EFPTrackingError N Eg Used in EFP (Exchange For Physical) trades 12%
→406 FairValue N Used in EFP trades
→407 OutsideIndexPct N Used in EFP trades
→408 ValueOfFutures N Used in EFP trades

InstrmtStrkPxGrp

Tag Name Req’d Description
428 NoStrikes
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Required if NoStrikes > 0. Must be first field in repeating group.
Component UndInstrmtGrp N Underlying Instruments
→140 PrevClosePx N Useful for verifying security identification
→11 ClOrdID N Can use client order identifier or the symbol and side to uniquely identify the stock in the list.
→526 SecondaryClOrdID N
→54 Side N
→44 Price N
→15 Currency N
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

ListOrdGrp

Tag Name Req’d Description
73 NoOrders
→11 ClOrdID Y Must be the first field in the repeating group.
→526 SecondaryClOrdID N
→67 ListSeqNo Y Order number within the list
→583 ClOrdLinkID N
→160 SettlInstMode N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
→229 TradeOriginationDate N
→75 TradeDate N
→1 Account N
→660 AcctIDSource N
→581 AccountType N
→589 DayBookingInst N
→590 BookingUnit N
→70 AllocID N Use to assign an ID to the block of individual preallocations
→591 PreallocMethod N
Component PreAllocGrp N
→63 SettlType N
→64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
→544 CashMargin N
→635 ClearingFeeIndicator N
→21 HandlInst N
→18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
→110 MinQty N
→1089 MatchIncrement N
→1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
→111 MaxFloor N
→100 ExDestination N
→1133 ExDestinationIDSource N
Component TrdgSesGrp N
→81 ProcessCode N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N
→140 PrevClosePx N Useful for verifying security identification
→54 Side Y Note: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
→401 SideValueInd N Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
→114 LocateReqd N Required for short sell orders
→60 TransactTime N
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
→854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
→40 OrdType N
→423 PriceType N
→44 Price N
→1092 PriceProtectionScope N
→99 StopPx N
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
→15 Currency N
→376 ComplianceID N
→377 SolicitedFlag N
→23 IOIID N Required for Previously Indicated Orders (OrdType=E)
→117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
→1080 RefOrderID N Required for counter-order selection / Hit / Take Orders (OrdType = Q)
→1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
→59 TimeInForce N
→168 EffectiveTime N
→432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
→126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
→427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
→528 OrderCapacity N
→529 OrderRestrictions N
→1091 PreTradeAnonymity N
→582 CustOrderCapacity N
→121 ForexReq N
→120 SettlCurrency N
→775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
→193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
→192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
→640 Price2 N Can be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the all-in rate (spot rate adjusted for forward points).
→77 PositionEffect N
→203 CoveredOrUncovered N
→210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
→847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
→848 TargetStrategyParameters N For further specification of the TargetStrategy
→849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
→494 Designation N Supplementary registration information for this Order within the List

OrdListStatGrp

Tag Name Req’d Description
73 NoOrders
→11 ClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
→37 OrderID N
→526 SecondaryClOrdID N
→14 CumQty Y
→39 OrdStatus Y
→636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
→151 LeavesQty Y Quantity open for further execution. LeavesQty = OrderQty – CumQty.
→84 CxlQty Y
→6 AvgPx Y
→103 OrdRejReason N Used if the order is rejected
→58 Text N
→354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
→355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Messages

NewOrderList Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = E
66 ListID Y Must be unique, by customer, for the day
390 BidID N Should refer to an earlier program if bidding took place.
391 ClientBidID N
414 ProgRptReqs N
394 BidType Y e.g. Non Disclosed Model, Disclosed Model, No Bidding Process
415 ProgPeriodInterval N
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message applicable to all Orders in this List.
433 ListExecInstType N Controls when execution should begin For CIV Orders indicates order of execution..
69 ListExecInst N Free-form text.
1385 ContingencyType N Used for contingency orders.
352 EncodedListExecInstLen N Must be set if EncodedListExecInst field is specified and must immediately precede it.
353 EncodedListExecInst N Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
765 AllowableOneSidednessPct N The maximum percentage that execution of one side of a program trade can exceed execution of the other.
766 AllowableOneSidednessValue N The maximum amount that execution of one side of a program trade can exceed execution of the other.
767 AllowableOneSidednessCurr N The currency that AllowableOneSidedness is expressed in if AllowableOneSidednessValue is used.
68 TotNoOrders Y Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component RootParties N Insert here the set of Root Parties fields defined in common components of application messages Used for acting parties that applies to the whole message, not individual orders.
Component ListOrdGrp Y Number of orders in this message (number of repeating groups to follow)
Component StandardTrailer Y

ListCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = K
66 ListID Y
Component Parties N Insert here the set of Parties (firm identification) fields defined in common components of application messages
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
229 TradeOriginationDate N
75 TradeDate N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListExecute Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = L
66 ListID Y Must be unique, by customer, for the day
391 ClientBidID N Used with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
390 BidID N
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = M
66 ListID Y
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ListStatus Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = N
66 ListID Y
429 ListStatusType Y
82 NoRpts Y Total number of messages required to status complete list.
431 ListOrderStatus Y
1385 ContingencyType N
1386 ListRejectReason N
83 RptSeq Y Sequence number of this report message.
444 ListStatusText N
445 EncodedListStatusTextLen N Must be set if EncodedListStatusText field is specified and must immediately precede it.
446 EncodedListStatusText N Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
60 TransactTime N
68 TotNoOrders Y Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component OrdListStatGrp Y Number of orders statused in this message, i.e. number of repeating groups to follow.
Component StandardTrailer Y

BidRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = k (lowercase)
390 BidID N Required to relate the bid response
391 ClientBidID Y
374 BidRequestTransType Y Identifies the Bid Request message transaction type
392 ListName N
393 TotNoRelatedSym Y
394 BidType Y e.g. Non Disclosed, Disclosed, No Bidding Process
395 NumTickets N Total number of tickets/allocations assuming fully executed
15 Currency N Used to represent the currency of monetary amounts.
396 SideValue1 N Expressed in Currency
397 SideValue2 N Expressed in Currency
Component BidDescReqGrp N Used if BidType=Non Disclosed
Component BidCompReqGrp N Used if BidType=Disclosed
409 LiquidityIndType N
410 WtAverageLiquidity N Overall weighted average liquidity expressed as a % of average daily volume
411 ExchangeForPhysical N
412 OutMainCntryUIndex N % value of stocks outside main country in Currency
413 CrossPercent N % of program that crosses in Currency
414 ProgRptReqs N
415 ProgPeriodInterval N Time in minutes between each ListStatus report sent by SellSide. Zero means don’t send status.
416 IncTaxInd N Net/Gross
121 ForexReq N Is foreign exchange required
417 NumBidders N Indicates the total number of bidders on the list
75 TradeDate N
418 BidTradeType Y
419 BasisPxType Y
443 StrikeTime N Used when BasisPxType = C
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

BidResponse Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = l (lowercase L)
390 BidID N
391 ClientBidID N
Component BidCompRspGrp Y Number of bid repeating groups
Component StandardTrailer Y

ListStrikePrice Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = m (lowercase)
66 ListID Y
422 TotNoStrikes Y Used to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component InstrmtStrkPxGrp Y Number of strike price entries
Component StandardTrailer Y

Appendix – SingleGeneralOrderHandling Category

Components

ContraGrp

Tag Name Req’d Description
382 NoContraBrokers
→375 ContraBroker N First field in repeating group. Required if NoContraBrokers > 0.
→337 ContraTrader N
→437 ContraTradeQty N
→438 ContraTradeTime N
→655 ContraLegRefID N

FillsGrp

Tag Name Req’d Description
1362 NoFills
→1363 FillExecID N Unique identifier of execution as assigned by sell-side (broker, exchange, ECN). Must not overlap ExecID(17). Required if NoFills > 0
→1364 FillPx N Price of this partial fill. Conditionally required if NoFills > 0. Refer to LastPx(31).
→1365 FillQty N Quantity (e.g. shares) bought/sold on this partial fill. Required if NoFills > 0.
→1443 FillLiquidityInd N
Component NestedParties4 N Contraparty information

InstrmtLegExecGrp

Tag Name Req’d Description
555 NoLegs
Component InstrumentLeg N Must be provided if Number of legs > 0
→687 LegQty N
→685 LegOrderQty N When reporting an Execution, LegOrderQty may be used on Execution Report to echo back original LegOrderQty submission.
This field should be used to specify OrderQty at the leg level rather than LegQty (deprecated).
→690 LegSwapType N Instead of LegQty – requests that the sellside calculate LegQty based on opposite Leg
Component LegStipulations N
→1366 LegAllocID N
Component LegPreAllocGrp N
→564 LegPositionEffect N Provide if the PositionEffect for the leg is different from that specified for the overall multileg security
→565 LegCoveredOrUncovered N Provide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.
Component NestedParties3 N
→654 LegRefID N Used to identify a specific leg.
→587 LegSettlType N
→588 LegSettlDate N Takes precedence over LegSettlType value and conditionally required/omitted for specific LegSettlType values.
→637 LegLastPx N Used to report the execution price assigned to the leg of the multileg instrument
→675 LegSettlCurrency N
→1073 LegLastForwardPoints N
→1074 LegCalculatedCcyLastQty N
→1075 LegGrossTradeAmt N For FX Futures can be used to express the notional value of a trade when LegLastQty and other quantity fields are expressed in terms of number of contracts – LegContractMultiplier (231) is required in this case.
→1379 LegVolatility N
→1381 LegDividendYield N
→1383 LegCurrencyRatio N
→1384 LegExecInst N
→1418 LegLastQty N

NestedParties4

Tag Name Req’d Description
1414 NoNested4PartyIDs
→1415 Nested4PartyID N Used to identify source of Nested4PartyID. Required if Nested4PartyIDSource is specified. Required if NoNested4PartyIDs > 0.
→1416 Nested4PartyIDSource N Used to identify class source of Nested4PartyID value (e.g. BIC). Required if Nested4PartyID is specified. Required if NoNested4PartyIDs > 0.
→1417 Nested4PartyRole N Identifies the type of Nested4PartyID (e.g. Executing Broker). Required if NoNested4PartyIDs > 0.
Component NstdPtys4SubGrp N

NstdPtys4SubGrp

Tag Name Req’d Description
1413 NoNested4PartySubIDs
→1412 Nested4PartySubID N
→1411 Nested4PartySubIDType N

Messages

ExecutionReport Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = 8
Component ApplicationSequenceControl N For use in drop copy applications. NOT FOR USE in transactional applications.
37 OrderID Y OrderID is required to be unique for each chain of orders.
198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
526 SecondaryClOrdID N In the case of quotes can be mapped to:
– QuoteID(117) of a single Quote
– QuoteEntryID(299) of a Mass Quote.
527 SecondaryExecID N
11 ClOrdID N Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
In the case of quotes can be mapped to:
– QuoteMsgID(1166) of a single Quote
– QuoteID(117) of a Mass Quote.
41 OrigClOrdID N Conditionally required for response to a Cancel or Cancel/Replace request (ExecType=PendingCancel, Replace, or Canceled) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
583 ClOrdLinkID N
693 QuoteRespID N Required if responding to a QuoteResponse message. Echo back the Initiator’s value specified in the message.
790 OrdStatusReqID N Required if responding to and if provided on the Order Status Request message. Echo back the value provided by the requester.
584 MassStatusReqID N Required if responding to a Order Mass Status Request. Echo back the value provided by the requester.
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
911 TotNumReports N Can be used when responding to an Order Mass Status Request to identify the total number of Execution Reports which will be returned.
912 LastRptRequested N Can be used when responding to an Order Mass Status Request to indicate that this is the last Execution Reports which will be returned as a result of the request.
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229 TradeOriginationDate N
Component ContraGrp N Number of ContraBrokers repeating group instances.
66 ListID N Required for executions against orders which were submitted as part of a list.
548 CrossID N CrossID for the replacement order
551 OrigCrossID N Must match original cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
549 CrossType N
880 TrdMatchID N
17 ExecID Y Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) forExecType=I (Order Status)).
19 ExecRefID N Required for Trade Cancel and Trade Correct ExecType messages
150 ExecType Y Describes the purpose of the execution report.
39 OrdStatus Y Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
103 OrdRejReason N For optional use with ExecType = 8 (Rejected)
378 ExecRestatementReason N Required for ExecType = D (Restated).
1 Account N Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
660 AcctIDSource N
581 AccountType N Specifies type of account
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N
Component PreAllocGrp N Pre-trade allocation instructions.
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettleType values.
Required for NDFs to specify the value date.
574 MatchType N
1115 OrderCategory N
544 CashMargin N
635 ClearingFeeIndicator N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
54 Side Y
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
854 QtyType N
Component OrderQtyData N Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
**IMPORTANT NOTE: OrderQty field is required for Single Instrument Orders unless rejecting or acknowledging an order for a CashOrderQty or PercentOrder. **
1093 LotType N
40 OrdType N
423 PriceType N
44 Price N Required if specified on the order
1092 PriceProtectionScope N
99 StopPx N Required if specified on the order
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
839 PeggedPrice N The current price the order is pegged at
1095 PeggedRefPrice N The reference price of a pegged order.
845 DiscretionPrice N The current discretionary price of the order
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
850 TargetStrategyPerformance N For communication of the performance of the order versus the target strategy
15 Currency N
376 ComplianceID N
377 SolicitedFlag N
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Time specified on the order at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
18 ExecInst N Can contain multiple instructions, space delimited.
1057 AggressorIndicator N
528 OrderCapacity N
529 OrderRestrictions N
1091 PreTradeAnonymity N
582 CustOrderCapacity N
32 LastQty N Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType = Trade or Trade Correct.
If ExecType=Stopped, represents the quantity stopped/guaranteed/protected for.
1056 CalculatedCcyLastQty N Used for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType = Trade or Trade Correct and is an FX trade.
1071 LastSwapPoints N Optionally used when ExecType = Trade or Trade Correct and is a FX Swap trade. Used to express the swap points for the swap trade event.
652 UnderlyingLastQty N
31 LastPx N Price of this (last) fill. Required if ExecType = Trade or Trade Correct.
Should represent the all-in (LastSpotRate + LastForwardPoints) rate for F/X orders. ).
If ExecType=Stopped, represents the price stopped/guaranteed/protected at.
Not required for FX Swap when ExecType = Trade or Trade Correct as there is no all-in rate that applies to both legs of the FX Swap.
651 UnderlyingLastPx N
669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
194 LastSpotRate N Applicable for F/X orders
195 LastForwardPoints N Applicable for F/X orders
30 LastMkt N If ExecType = Trade (F), indicates the market where the trade was executed. If ExecType = New (0), indicates the market where the order was routed.
336 TradingSessionID N
625 TradingSessionSubID N
943 TimeBracket N
29 LastCapacity N
151 LeavesQty Y Quantity open for further execution. If the OrdStatus is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty – CumQty.
14 CumQty Y Currently executed quantity for chain of orders.
6 AvgPx N Not required for markets where average price is not calculated by the market.
Conditionally required otherwise.
424 DayOrderQty N For GT orders on days following the day of the first trade.
425 DayCumQty N For GT orders on days following the day of the first trade.
426 DayAvgPx N For GT orders on days following the day of the first trade.
1361 TotNoFills N Used to support fragmentation. Sum of NoFills across all messages with the same ExecID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component FillsGrp N Specifies the partial fills included in this Execution Report
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
75 TradeDate N Used when reporting other than current day trades.
60 TransactTime N Time the transaction represented by this ExecutionReport occurred
113 ReportToExch N
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
Note: On a fill/partial fill messages, it represents value for that fill/partial fill. On ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
381 GrossTradeAmt N
157 NumDaysInterest N
230 ExDate N
158 AccruedInterestRate N
159 AccruedInterestAmt N
738 InterestAtMaturity N For fixed income products which pay lump-sum interest at maturity.
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
258 TradedFlatSwitch N
259 BasisFeatureDate N
260 BasisFeaturePrice N
238 Concession N
237 TotalTakedown N
118 NetMoney N Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
119 SettlCurrAmt N Used to report results of forex accommodation trade
120 SettlCurrency N Used to report results of forex accomodation trade.
Required for NDFs.
Component RateSource N
155 SettlCurrFxRate N Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate should be multiplied or divided
21 HandlInst N
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
111 MaxFloor N
77 PositionEffect N For use in derivatives omnibus accounting
210 MaxShow N
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
641 LastForwardPoints2 N Can be used with OrdType = Forex – Swap to specify the forward points (added to LastSpotRate) for the future portion of a F/X swap.
442 MultiLegReportingType N Default is a single security if not specified.
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
483 TransBkdTime N For CIV – Optional
515 ExecValuationPoint N For CIV – Optional
484 ExecPriceType N For CIV – Optional
485 ExecPriceAdjustment N For CIV – Optional
638 PriorityIndicator N
639 PriceImprovement N
851 LastLiquidityInd N Applicable only on OrdStatus of Partial or Filled.
Component ContAmtGrp N Number of contract details in this message (number of repeating groups to follow)
Component InstrmtLegExecGrp N Number of legs
Identifies a Multi-leg Execution if present and non-zero.
797 CopyMsgIndicator N
Component MiscFeesGrp N Required if any miscellaneous fees are reported.
1380 DividendYield N
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1030 ReceivedDeptID N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component TrdRegTimestamps N
1188 Volatility N
1189 TimeToExpiration N
1190 RiskFreeRate N
811 PriceDelta N
Component StandardTrailer Y

OrderCancelReject Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = 9
37 OrderID Y If CxlRejReason=Unknown order, specify NONE.
198 SecondaryOrderID N Can be used to provide order id used by exchange or executing system.
526 SecondaryClOrdID N
11 ClOrdID Y Unique order id assigned by institution or by the intermediary with closest association with the investor. to the cancel request or to the replacement order.
583 ClOrdLinkID N
41 OrigClOrdID N ClOrdID(11) which could not be canceled/replaced. ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
39 OrdStatus Y OrdStatus value after this cancel reject is applied.
If CxlRejReason = Unknown Order, specify Rejected.
636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
586 OrigOrdModTime N
66 ListID N Required for rejects against orders which were submitted as part of a list.
1 Account N
660 AcctIDSource N
581 AccountType N
229 TradeOriginationDate N
75 TradeDate N
60 TransactTime N
434 CxlRejResponseTo Y
102 CxlRejReason N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

ExecutionAcknowledgement Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = BN
37 OrderID Y
198 SecondaryOrderID N
11 ClOrdID N Conditionally required if the Execution Report message contains a ClOrdID.
1036 ExecAckStatus Y Indicates the status of the execution acknowledgement. The received, not yet processed is an optional intermediary status that can be used to notify the counterparty that the Execution Report has been received.
17 ExecID Y The ExecID of the Execution Report being acknowledged.
127 DKReason N Conditionally required when ExecAckStatus = 2 (Don’t know / Rejected).
Component Instrument Y
Component UndInstrmtGrp N
Component InstrmtLegGrp N
54 Side Y
Component OrderQtyData Y
32 LastQty N Conditionally required if specified on the Execution Report
31 LastPx N Conditionally Required if specified on the Execution Report
423 PriceType N Conditionally required if specified on the Execution Report
669 LastParPx N Conditionally required if specified on the Execution Report
14 CumQty N Conditionally required if specified on the Execution Report
6 AvgPx N Conditionally required if specified on the Execution Report
58 Text N Conditionally required if DKReason = other
354 EncodedTextLen N
355 EncodedText N
Component StandardTrailer Y

NewOrderSingle Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = D
11 ClOrdID Y Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.
526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N Type of account associated with the order (Origin)
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an overall allocation id to the block of preallocations
Component PreAllocGrp N Number of repeating groups for pre-trade allocation
63 SettlType N For NDFs either SettlType or SettlDate should be specified.
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, W, a, d) must be specified.
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
140 PrevClosePx N Useful for verifying security identification
54 Side Y
114 LocateReqd N Required for short sell orders
60 TransactTime Y Time this order request was initiated/released by the trader, trading system, or intermediary.
Component Stipulations N Insert here the set of Stipulations (repeating group of Fixed Income stipulations) fields defined in Common Components of Application Messages
854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
15 Currency N
376 ComplianceID N
377 SolicitedFlag N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=D)
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
528 OrderCapacity N
529 OrderRestrictions N
1091 PreTradeAnonymity N
582 CustOrderCapacity N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq=Y.
Required for NDFs.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
640 Price2 N Can be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the all-in rate (spot rate adjusted for forward points).
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
210 MaxShow N
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1030 ReceivedDeptID N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component TrdRegTimestamps N
1080 RefOrderID N Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
1081 RefOrderIDSource N Conditionally required if RefOrderID is specified.
Component StandardTrailer Y

OrderCancelRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = F
41 OrigClOrdID N ClOrdID(11) of the previous non-rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
11 ClOrdID Y Unique ID of cancel request as assigned by the institution.
526 SecondaryClOrdID N
583 ClOrdLinkID N
66 ListID N Required for List Orders
586 OrigOrdModTime N
1 Account N
660 AcctIDSource N
581 AccountType N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
54 Side Y
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
Note: OrderQty = CumQty + LeavesQty (see exceptions above)
376 ComplianceID N
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

OrderCancelReplaceRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = G
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
229 TradeOriginationDate N
75 TradeDate N
41 OrigClOrdID N ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order.
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
11 ClOrdID Y Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor.. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
526 SecondaryClOrdID N
583 ClOrdLinkID N
66 ListID N Required for List Orders
586 OrigOrdModTime N TransactTime of the last state change that occurred to the original order
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N Used to assign an overall allocation id to the block of preallocations
Component PreAllocGrp N Number of repeating groups for pre-trade allocation
63 SettlType N For NDFs either SettlType or SettlDate should be specified.
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
For NDFs either SettlType or SettlDate should be specified.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message).
110 MinQty N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component DisplayInstruction N Insert here the set of DisplayInstruction fields defined in common components of application messages
111 MaxFloor N
100 ExDestination N
1133 ExDestinationIDSource N
Component TrdgSesGrp N Specifies the number of repeating TradingSessionIDs
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Must match original order
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
54 Side Y Should match original order’s side, however, if bilaterally agreed to the following groups could potentially be interchanged:
Buy and Buy Minus
Sell, Sell Plus, Sell Short, and Sell Short Exempt
Cross, Cross Short, and Cross Short Exempt
60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
854 QtyType N
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
Note: OrderQty value should be the Total Intended Order Quantity (including the amount already executed for this chain of orders)
40 OrdType Y
423 PriceType N
44 Price N Required for limit OrdTypes. For F/X orders, should be the all-in rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
1092 PriceProtectionScope N
99 StopPx N Required for OrdType = Stop or OrdType = Stop limit.
Component TriggeringInstruction N Insert here the set of TriggeringInstruction fields defined in common components of application messages
Component SpreadOrBenchmarkCurveData N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages
Component YieldData N Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages
Component PegInstructions N Insert here the set of PegInstruction fields defined in Common Components of Application Messages
Component DiscretionInstructions N Insert here the set of DiscretionInstruction fields defined in Common Components of Application Messages
847 TargetStrategy N The target strategy of the order
Component StrategyParametersGrp N Strategy parameter block
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.
For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
376 ComplianceID N
377 SolicitedFlag N
15 Currency N Must match original order.
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Can specify the time at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
Component CommissionData N Insert here the set of CommissionData fields defined in Common Components of Application Messages
528 OrderCapacity N
529 OrderRestrictions N
1091 PreTradeAnonymity N
582 CustOrderCapacity N
121 ForexReq N Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
120 SettlCurrency N Required if ForexReq=Y.
Required for NDFs.
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193 SettlDate2 N Can be used with OrdType = Forex – Swap to specify the value date for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = Forex – Swap to specify the order quantity for the future portion of a F/X swap.
640 Price2 N Can be used with OrdType = Forex – Swap to specify the price for the future portion of a F/X swap.
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
210 MaxShow N
114 LocateReqd N Required for short sell orders
480 CancellationRights N For CIV – Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1030 ReceivedDeptID N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component TrdRegTimestamps N
Component StandardTrailer Y

OrderStatusRequest Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = H
37 OrderID N Conditionally required if ClOrdID(11) is not provided. Either OrderID or ClOrdID must be provided.
11 ClOrdID N The ClOrdID of the order whose status is being requested. Conditionally required if the OrderID(37) is not provided. Either OrderID or ClOrdID must be provided.
526 SecondaryClOrdID N
583 ClOrdLinkID N
Component Parties N Insert here the set of Parties (firm identification) fields defined in Common Components of Application Messages
790 OrdStatusReqID N Optional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided.
1 Account N
660 AcctIDSource N
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component FinancingDetails N Insert here the set of FinancingDetails (symbology) fields defined in Common Components of Application Messages
Must match original order
Component UndInstrmtGrp N Number of underlyings
54 Side Y
Component StandardTrailer Y

DontKnowTrade Message

Tag Name Req’d Description
Component StandardHeader Y MsgType = Q
37 OrderID Y Broker Order ID as identified on problem execution
198 SecondaryOrderID N
17 ExecID Y Execution ID of problem execution
127 DKReason Y
Component Instrument Y Insert here the set of Instrument (symbology) fields defined in Common Components of Application Messages
Component UndInstrmtGrp N Number of underlyings
Component InstrmtLegGrp N Number of Legs
54 Side Y
Component OrderQtyData Y Insert here the set of OrderQtyData fields defined in Common Components of Application Messages
32 LastQty N Required if specified on the ExecutionRpt
31 LastPx N Required if specified on the ExecutionRpt
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Component StandardTrailer Y

Appendix – Common Category

Components

DiscretionInstructions

Tag Name Req’d Description
388 DiscretionInst N What the discretionary price is related to (e.g. primary price, display price etc)
389 DiscretionOffsetValue N Amount (signed) added to the related to price specified via DiscretionInst, in the context of DiscretionOffsetType
841 DiscretionMoveType N Describes whether discretion price is static/fixed or floats
842 DiscretionOffsetType N Type of Discretion Offset (e.g. price offset, tick offset etc)
843 DiscretionLimitType N Specifies the nature of the resulting discretion price (e.g. or better limit, strict limit etc)
844 DiscretionRoundDirection N If the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive)
846 DiscretionScope N The scope of related to price of the discretion (e.g. local, global etc)

LegPreAllocGrp

Tag Name Req’d Description
670 NoLegAllocs
→671 LegAllocAccount N
→672 LegIndividualAllocID N
Component NestedParties2 N
→673 LegAllocQty N
→674 LegAllocAcctIDSource N
→1367 LegAllocSettlCurrency N

NestedParties3

Tag Name Req’d Description
948 NoNested3PartyIDs
→949 Nested3PartyID N Used to identify source of Nested3PartyID. Required if Nested3PartyIDSource is specified. Required if NoNested3PartyIDs > 0.
→950 Nested3PartyIDSource N Used to identify class source of Nested3PartyID value (e.g. BIC). Required if Nested3PartyID is specified. Required if NoNested3PartyIDs > 0.
→951 Nested3PartyRole N Identifies the type of Nested3PartyID (e.g. Executing Broker). Required if NoNested3PartyIDs > 0.
Component NstdPtys3SubGrp N Repeating group of Nested3Party sub-identifiers.

NstdPtys3SubGrp

Tag Name Req’d Description
952 NoNested3PartySubIDs
→953 Nested3PartySubID N
→954 Nested3PartySubIDType N

PegInstructions

Tag Name Req’d Description
211 PegOffsetValue N Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType
1094 PegPriceType N Defines the type of peg.
835 PegMoveType N Describes whether peg is static/fixed or floats
836 PegOffsetType N Type of Peg Offset (e.g. price offset, tick offset etc)
837 PegLimitType N Specifies nature of resulting pegged price (e.g. or better limit, strict limit etc)
838 PegRoundDirection N If the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive)
840 PegScope N The scope of the related to price of the peg (e.g. local, global etc)
1096 PegSecurityIDSource N Required if PegSecurityID is specified.
1097 PegSecurityID N Requires PegSecurityIDSource if specified.
1098 PegSymbol N
1099 PegSecurityDesc N

PreAllocGrp

Tag Name Req’d Description
78 NoAllocs
→79 AllocAccount N Required if NoAllocs > 0. Must be first field in repeating group.
→661 AllocAcctIDSource N
→736 AllocSettlCurrency N
→467 IndividualAllocID N
Component NestedParties N Insert here the set of Nested Parties (firm identification nested within additional repeating group) fields defined in Common Components of Application Messages
Used for NestedPartyRole=Clearing Firm
→80 AllocQty N

StrategyParametersGrp

Tag Name Req’d Description
957 NoStrategyParameters
→958 StrategyParameterName N Name of parameter
→959 StrategyParameterType N Datatype of the parameter.
→960 StrategyParameterValue N Value of the parameter

TriggeringInstruction

Tag Name Req’d Description
1100 TriggerType N Required if any other Triggering tags are specified.
1101 TriggerAction N
1102 TriggerPrice N Only relevant and required for TriggerAction = 1
1103 TriggerSymbol N Only relevant and required for TriggerAction = 1
1104 TriggerSecurityID N Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1105 TriggerSecurityIDSource N Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
1106 TriggerSecurityDesc N
1107 TriggerPriceType N Only relevant for TriggerAction = 1
1108 TriggerPriceTypeScope N Only relevant for TriggerAction = 1
1109 TriggerPriceDirection N Only relevant for TriggerAction = 1
1110 TriggerNewPrice N Should be specified if the order changes Price.
1111 TriggerOrderType N Should be specified if the order changes type.
1112 TriggerNewQty N Required if the order should change quantity
1113 TriggerTradingSessionID N Only relevant and required for TriggerType = 2.
1114 TriggerTradingSessionSubID N Requires TriggerTradingSessionID if specified. Relevant for TriggerType = 2 only.