T7 FIX Gateway - Irish Stock Exchange

T7 FIX Gateway - Irish Stock Exchange
T7 FIX Gateway
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
Version
Interface Version
Back End Version
Date
V3.0
T7-8.0-2
T7 5.0
31 May 2017
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
c
Deutsche
Börse 2017
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex
Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH
(Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a
corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity
and is registered under Luxembourg law. Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing
Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under
Singapore law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex
Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex
Exchanges”.
All intellectual property, proprietary and other rights and interests in this publication and the subject
matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG
and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright,
trademark and service mark rights. While reasonable care has been taken in the preparation of this
publication to provide details that are accurate and not misleading at the time of publication DBAG,
Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and
their respective servants and agents (a) do not make any representations or warranties regarding
the information contained herein, whether express or implied, including without limitation any implied
warranty of merchantability or fitness for a particular purpose or any warranty with respect to the
accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be
responsible or liable for any third party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors
or omissions contained in this publication.
This publication is published for information purposes only and shall not constitute investment advice
respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any
investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained
in this publication are for illustrative purposes only.
Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to
clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex
market or who desire to offer and sell any such products to others or who desire to possess a clearing
license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing,
should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as
the risks associated with such products, before doing so.
Trademarks and Service Marks
R DAX,
R DivDAX,
R eb.rexx,
R Eurex,
R Eurex Bonds,
R Eurex Repo,
R Eurex Strategy
Buxl,
R FDAX,
R FWB,
R GC Pooling,,GCPI
R
R MDAX,
R ODAX,
R
WizardSM, Euro GC Pooling,
,
R TecDAX,
R USD GC Pooling,
R VDAX,
R VDAX-NEW
R and Xetra
R are registered
SDAX,
trademarks of DBAG.
All MSCI indexes are service marks and the exclusive property of MSCI Barra.
R ATX
R five, CECE
R and RDX
R are registered trademarks of Vienna Stock Exchange
ATX,
AG.
R UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd.
IPD
IPD and has been licensed for the use by Eurex for derivatives.
R SMI
R and SMIM
R are registered trademarks of SIX Swiss Exchange AG.
SLI,
R indexes, the data included therein and the trademarks used in the index names
The STOXX
are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the
R indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors
STOXX
and neither STOXX nor its licensors shall have any liability with respect thereto.
Dow Jones is a service mark of Dow Jones & Company, Inc. All derivatives based on these indexes
are not sponsored, endorsed, sold or promoted by Dow Jones & Company, Inc. Dow Jones & Company, Inc. does not make any representation regarding the advisability of trading or of investing in
such products.
Bloomberg Commodity IndexSM and any related sub-indexes are service marks of Bloomberg L.P.
All references to London Gold and Silver Fixing prices are used with the permission of The London
Gold Market Fixing Limited as well as The London Silver Market Fixing Limited, which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying
R and Property Claim Services
R are
product to which the Fixing prices may be referenced. PCS
registered trademarks of ISO Services, Inc.
Korea Exchange, KRX, KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc.
Taiwan Futures Exchange and TAIFEX are registered trademarks of Taiwan Futures Exchange Corporation. Taiwan Stock Exchange, TWSE and TAIEX are the registered trademarks of Taiwan Stock
Exchange Corporation. BSE and SENSEX are trademarks/service marks of Bombay Stock Exchange (BSE) and all rights accruing from the same, statutory or otherwise, wholly vest with BSE.
Any violation of the above would constitute an offence under the laws of India and international
treaties governing the same. The names of other companies and third party products may be trademarks or service marks of their respective owners.
2
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
Contents
1 List of abbreviations
2 Introduction
2.1 Purpose . . . . . . . . .
2.2 Supported FIX Versions
2.3 Intended Readership .
2.4 Change Log . . . . . .
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3 Service Description
3.1 FIX Session Concept . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Party Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.3 Market Identifier Codes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.4 Security Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.5 Order ID Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.6 Uniqueness of Identifier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7 Order Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.1
Order Types / Trading, Execution and Validity Restrictions . . . . . . . . . . .
3.7.1.1 Relevant FIX Fields for identifying Order Types . . . . . . . . . . . . .
3.7.2
Price Validity Checks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.2.1 Price Reasonability Check . . . . . . . . . . . . . . . . . . . . . . . .
3.7.2.2 Extended Price Range Validation . . . . . . . . . . . . . . . . . . . .
3.7.3
Cancellation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.4
Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.5
Self Match Prevention . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.6
Account Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.7
Text Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.8
Order Status and Execution Report . . . . . . . . . . . . . . . . . . . . . . .
3.7.9
ExecutionReport (8) ”Unknown Order State” . . . . . . . . . . . . . . . . . .
3.7.10 Order Book Restatement . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.11 Trailing Stop Order Update Notifications (T7 Cash) . . . . . . . . . . . . . . .
3.7.12 Unsolicited Order Cancellations generated by the Trading System (T7 Cash)
3.7.13 Mass Cancellation Notification . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7.14 Trading Session Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.8 Trade Notifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.8.1
Trade Report Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.8.2
Trade Reconciliation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.8.3
Best Practices for Order Management . . . . . . . . . . . . . . . . . . . . . .
3.9 Cross Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.10 Request for Quote . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.11 Risk Control Event Notifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.12 Mass Deletion Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.13 Drop Copy for Order Information (Business Unit Level) . . . . . . . . . . . . . . . . . .
3.14 Strategy Creation (T7 Derivatives) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.15 Variance Futures (T7 Derivatives) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.16 Total Return Futures (T7 Derivatives) . . . . . . . . . . . . . . . . . . . . . . . . . . .
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4 Connectivity and Session Parameters
4.1 Session Identification and Authentication . . . . . . .
4.1.1
Session Identification and Logon Parameters
4.1.2
Network Authentication . . . . . . . . . . . .
4.1.3
Session Logon . . . . . . . . . . . . . . . . .
4.1.4
Trader Logon . . . . . . . . . . . . . . . . . .
4.1.5
IP Addresses and Ports . . . . . . . . . . . .
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T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
4.2
Failover . . . . . . . . . . . . . . .
4.2.1
Network Failover . . . . .
4.2.2
Application Failover . . .
4.2.3
Best Practice . . . . . . .
4.3 Message Throttling and Queuing .
4.4 Mass Cancellation on Disconnect
4.5 Backward Compatibility . . . . . .
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37
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38
5 Session Layer
5.1 Logon . . . . . . . . . . . . . . . . . . . .
5.2 Sequence Number . . . . . . . . . . . . .
5.3 Heartbeat . . . . . . . . . . . . . . . . . .
5.4 Test Request . . . . . . . . . . . . . . . .
5.5 Resend Request . . . . . . . . . . . . . .
5.6 Reject . . . . . . . . . . . . . . . . . . . .
5.7 Sequence Reset . . . . . . . . . . . . . .
5.7.1
Gap Fill Mode . . . . . . . . . .
5.7.2
Reset Mode . . . . . . . . . . . .
5.8 Logout . . . . . . . . . . . . . . . . . . .
5.9 Possible Resend . . . . . . . . . . . . . .
5.9.1
Messages from Client . . . . . .
5.9.2
Messages to Client . . . . . . . .
5.10 Recovery . . . . . . . . . . . . . . . . . .
5.10.1 Outage on the Client Side . . . .
5.10.2 Outage on T7 FIX Gateway Side
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39
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6 Message Formats
6.1 Overview of supported Message Types . . . . . . . . . . . . . . . .
6.1.1
Administrative Messages . . . . . . . . . . . . . . . . . . .
6.1.2
Application Messages: Order Management . . . . . . . . .
6.1.3
Application Messages: Strategy Creation . . . . . . . . . .
6.1.4
Application Messages: Cross Request and Quote Request
6.1.5
Application Messages: Trade Capture . . . . . . . . . . . .
6.1.6
Application Messages: Others . . . . . . . . . . . . . . . .
6.2 Explanation of the Message Formats . . . . . . . . . . . . . . . . .
6.3 Message Header and Trailer . . . . . . . . . . . . . . . . . . . . . .
6.3.1
Message Header . . . . . . . . . . . . . . . . . . . . . . . .
6.3.2
Message Trailer . . . . . . . . . . . . . . . . . . . . . . . .
6.4 Administrative Messages . . . . . . . . . . . . . . . . . . . . . . . .
6.4.1
Session Logon . . . . . . . . . . . . . . . . . . . . . . . . .
6.4.2
Session Logout . . . . . . . . . . . . . . . . . . . . . . . . .
6.4.3
Heartbeat . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.4.4
Test Request . . . . . . . . . . . . . . . . . . . . . . . . . .
6.4.5
Resend Request . . . . . . . . . . . . . . . . . . . . . . . .
6.4.6
Business Message Reject . . . . . . . . . . . . . . . . . . .
6.4.7
Reject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.4.7.1 SessionRejectReason (373): List of Valid Values . .
6.4.8
Sequence Reset . . . . . . . . . . . . . . . . . . . . . . . .
6.5 Application Messages: Order Management . . . . . . . . . . . . . .
6.5.1
New Order Single . . . . . . . . . . . . . . . . . . . . . . .
6.5.2
New Order Multileg . . . . . . . . . . . . . . . . . . . . . . .
6.5.3
Order Cancel Request . . . . . . . . . . . . . . . . . . . . .
6.5.4
Order Cancel/Replace Request . . . . . . . . . . . . . . . .
6.5.5
Multileg Order Cancel/Replace Request . . . . . . . . . . .
6.5.6
Execution Report . . . . . . . . . . . . . . . . . . . . . . . .
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43
43
43
44
45
45
45
46
47
48
48
49
50
50
52
52
53
53
54
55
56
57
58
58
62
65
67
72
75
4
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.6
6.7
6.8
6.9
6.10
6.11
6.5.6.1 ExecRestatementReason (378): List of Valid Values . . . . . . . . . . . .
6.5.7
Order Cancel Reject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.5.8
Order Mass Action Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.5.9
Order Mass Action Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.5.10 Order Mass Action Response . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Application Messages: Strategy Creation . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.6.1
Security Definition Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.6.2
Security Definition Response . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Application Messages: Quote Request and Cross Request . . . . . . . . . . . . . . . . .
6.7.1
Quote Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.7.2
Mass Quote Acknowledgement . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.7.3
Cross Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.7.4
Cross Request Acknowledgement . . . . . . . . . . . . . . . . . . . . . . . . . .
Application Messages: Trade Capture . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.8.1
Trade Capture Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.8.1.1 Settlement Location: List of Valid Values . . . . . . . . . . . . . . . . . .
Application Messages: Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.1
User Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.2
User Response . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.3
User Notification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.4
Trading Session Status . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.5
Party Risk Limits Update Report . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.6
Party Entitlements Update Report . . . . . . . . . . . . . . . . . . . . . . . . . .
6.9.7
Party Action Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Components . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.1 <Instrument> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.2 <TrdgSesGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.3 <MtchgInst> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.4 <NotAffectedOrdersGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.5 <AffectedOrdersGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.6 <QuoteReqGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.7 <Parties> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.7.1 Party Component Block . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.7.2 Order Management and Other Messages: Party Information . . . . . . .
6.10.7.3 Trade Capture Report: Party Information . . . . . . . . . . . . . . . . . .
6.10.8 <TargetParties> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.8.1 Target Party Component Block for FIX 4.4 . . . . . . . . . . . . . . . . . .
6.10.8.2 Target Party Field for FIX 4.2 / Target Party Roles for FIX 4.4 . . . . . . .
6.10.9 <RequestingParties> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.9.1 Requesting Party Component Block for FIX 4.4 . . . . . . . . . . . . . . .
6.10.9.2 Requesting Party Fields for FIX 4.2 / Requesting Party Roles for FIX 4.4
6.10.10 <InstrmtLegGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.11 <InstrmtLegExecGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.12 <LegOrdGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.13 <MarketSegmentGrp> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.14 <DisplayInstruction> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.10.15 <PegInstructions> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Error Codes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.11.1 Rejections - FIX Messages and Error Information . . . . . . . . . . . . . . . . . .
6.11.2 Error Codes - Usage and special handling of some backend codes . . . . . . . .
6.11.3 Error Codes from T7 FIX Gateway . . . . . . . . . . . . . . . . . . . . . . . . . .
6.11.4 Error Codes from T7 Backend . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
83
85
87
89
91
94
94
95
97
97
98
99
100
101
101
109
110
110
111
112
113
115
116
117
119
119
120
121
121
122
123
124
125
127
128
129
129
129
130
130
130
131
132
133
134
135
136
137
137
138
139
141
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
1
List of abbreviations
Please find a list of all the abbreviations used in the document.
FIX
TCP/IP
FPL
ETI
RDI
MIC
MDI
EMDI
KRX
TAIFEX
GUI
Financial Information eXchange
Transmission Control Protocol / Internet Protocol
FIX Protocol Limited
Enhanced Trading Interface
Reference Data Interface
Market Identifier Code
Market Data Interface
Enhanced Market Data Interface
Korea Exchange
Taiwan Future Exchange
Graphical User Interface
6
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
2
Introduction
T7 FIX Gateway is intended for participants that require a standard FIX connection to the exchange and
supports all T7 market types (Derivatives and Cash).
The target of this document is to provide a way to access the T7 trading system via an interface using the
FIX protocol. The interface includes basic trading functionality for T7 Derivatives and T7 Cash market in
a consolidated manner.
The T7 FIX Gateway provides the following trading functions:
• Order management
• Execution notifications
• Risk control event notifications
• Request for quote
• Cross request
• Creation of a strategy (only for T7 Derivatives)
Additionally the T7 FIX Gateway enables participants to subscribe to private trading data for each market
type in broadcast form:
• Trade notifications at a business unit level
• Drop Copy for standard (not lean) orders at business unit level
The T7 trading system supports the access via FIX Gateway for both market types, T7 Derivatives and
T7 Cash.
It is possible to use one FIX session for the access to several exchanges within a market type (Derivatives and Cash), but the possibility of the access to both market types via a unique FIX session will not
be offered. Participants are requested to order separate FIX sessions for Derivatives and Cash for its
business units. This can be done via Eurex Member Section (Derivatives) and Xetra Member Section
(Cash) respectively.
Note: The T7 FIX Gateway does not provide any reference data. Participants are asked to retrieve
reference data via the RDI (Reference Data Interface), via file provided on the Common Report Engine
or from the web page of the respective market (T7 Derivatives, T7 Cash).
2.1
Purpose
The purpose of this document is to provide an overview of the T7 FIX Gateway for the T7 trading system.
The focus of the description is to capture T7 specific behaviour, highlight where it deviates from the
recommended FIX Protocol standard and keep the amount of the FIX specification which needs to be
included in this document to a minimum.
This document contains the description for both supported FIX versions, FIX 4.2 and FIX 4.4 and for all
supported market types (Derivatives and Cash). Differences between the two FIX versions and between
the different market types are documented at the relevant places within this document.
7
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
2.2
Supported FIX Versions
Only FIX protocol versions 4.2 and 4.4 are supported.
The interface is a point-to-point service based on the technology and industry standards TCP/IP, FIX
and FIX Session Protocol. The session and application event models and messages are based on the
definitions of the FIX protocol for the supported versions.
Following a FIX Protocol Limited (FPL) recommendation to use standard fields from higher versions as
the primary solution before using user-defined fields, Deutsche Börse applies the following design rules
for support of functionality currently not provided in the corresponding FIX version:
• Fields reserved for internal use (Tag numbers 10000 - 19999) are not used.
• Standard fields of the supported FIX versions that only became part of the standard message in a
higher version are used.
• FIX fields of higher versions are only added to standard messages, if no standard field for the
required functionality is available in the supported FIX versions.
Characters in ASCII range 32-126 are allowed.
2.3
Intended Readership
The main target group is technical staff within the T7 trading system participants. Throughout this
document the term “participant” stands for a T7 participant (see chapter 3.2 Party Identification for
details).
8
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
2.4
Change Log
Date
Version
Description
27.02.2017
3.0
First Version for T7 5.0 - Interface Version T7-8.0-1.
28.04.2017
3.0
Interface Version T7-8.0-2.
New valid value 122 (Instrument State Change) in the field ExecRestatementReason (378).
Usage of message User Party Entitlements Update Report (UCZ) also for T7
Cash.
Description for Iceberg Orders (T7 Cash) modified: fields DisplayQty (1138)
and DisplayMethod (1084) are always required.
Description of <executing system> and <requesting executing system>
modified: the only valid value is 2 (T7 Trading System).
Format description for field PartyID (448) changed from ’String (30)’ to ’String
(35)’.
Description of the mass delete functionality enhanced:
• 3.7.13 Mass Cancellation Notification
• 3.12 Mass Deletion Request
Changes in messages User Order Mass Action Response (UCAR) and User
Order Mass Action Report (UBZ):
• Field order in component <NotAffectedOrdersGrp> modified to match
the FIX Standard
• New field ULastFragment (30893)
• New component <AffectedOrdersGrp>, used only for T7 Cash
31.05.2017
3.0
New chapter ”6.11 Error Codes”.
Description of valid values for fields SideLiquidityInd (1444) and DeliveryType
(28890) enhanced.
Description for fields TransferReason (830) and ExecInst (18) changed.
Description for component <TrdgSesGrp> changed.
Valid value 117 (Canceled by Market Supervision) for field ExecRestatementReason (378) removed.
Description changed in following chapters:
• 3.7.8 Order Status and Execution Report
• 3.7.14 Trading Session Events
9
T7 FIX Gateway
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V3.0
3
Service Description
3.1
FIX Session Concept
As per the FIX Protocol standard, a FIX session is defined as a bi-directional stream of ordered messages between two parties within a contiguous sequence number.
A participant may have multiple FIX sessions. A FIX session will be initiated by the participant, and
maintained between the participant and the T7 FIX Gateway over the course of a trading day.
To access one of the market types, T7 Derivatives and T7 Cash, via the T7 FIX Gateway FIX sessions
need to be ordered separately for each market type.
The T7 FIX Gateway supports two types of sessions:
Trading session: supports order management, request for quote, cross request, risk control events
and strategy creation (Derivatives only). Each session will receive information for all of its own orders.
Several traders may share a single session, but every session can only be instantiated once.
Back-office session: used for receipt of trade confirmations at a business unit level. Clearing business
units receive trade confirmations from their trading business units and from their Non-Clearing Members.
Back-office sessions can be configured to receive additionally drop copy information for standard (not
lean) orders as well as risk control events at the business unit level. The clearing members don’t receive
drop copy order information from their non-clearing members.
3.2
Party Identification
The participant is an entity accessing the T7 Trading System.
A participant may have several business units as independent entities taking part in trading at the
exchange. Business units are identified by a business unit ID. A business unit belongs to a participant.
A user is a person, such as a trader or an exchange market supervisor that interacts with the T7 Trading
System. Users are identified by a user ID. A user belongs to one business unit. A user is a trader or
administrator that logs on to the system to enter commands on the trading system.
Users can be assigned to a specific trader group, along with the head trader and supervisor roles:
• A user with a user level of head trader may modify or cancel orders of any user belonging to the
same trader group.
• A user with a user level of supervisor may modify or cancel orders of any user belonging to the
same business unit.
For the version FIX 4.4 the <Parties> component block will be used to identify the parties in the FIX
messages. For each party a separate occurrence of the repeating group will be set up. For FIX 4.2 a
separate field will be defined for each party. For more information see chapter 6.10.7 <Parties>.
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V3.0
3.3
Market Identifier Codes
The FIX Gateway is designed to support markets on T7 (Derivatives and Cash). The supported markets
are identified by unique Market Identifier Codes (MIC):
Market
Identification
(MIC)
Derivatives
Cash
Description
XEUR
X
Eurex Deutschland
XEEE
X
European Energy Exchange
XDUB
X
Irish Stock Exchange
XETR
X
Xetra Frankfurt
XVIE
X
Vienna Stock Exchange
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V3.0
3.4
Security Identification
Instruments traded on T7 will be identified by the product identifier (Symbol (55)) and the instrument
identifier (SecurityID (48)). Both fields must be provided on the FIX requests operating on instrument
level. For messages operating on product level e.g. User Order Mass Action Request (UCA) only
Symbol (55) will be provided.
For the identification of an instrument traded on T7 Derivatives only the marketplace-assigned identifier
with SecurityIDSource (22) = “M” (Marketplace-assigned identifier) will be supported and must be provided in the FIX request. Both single and multileg instruments are uniquely identified by the corresponding instrument ID. T7 Derivatives messages sent to the customers will also contain the marketplaceassigned identifier in the component <Instrument>.
For the identification of an instrument traded on T7 Cash the ISIN with SecurityIDSource (22) = “4” (ISIN)
and the marketplace-assigned identifier with SecurityIDSource (22) = “M” (Marketplace-assigned identifier) will be supported. One of both identifiers must be provided in the FIX requests. If SecurityIDSource
(22) is set to “4” (ISIN), Symbol (55) can contain “[N/A]” instead of the product identifier.
If an ISIN traded in more than one currency is used as instrument identifier the FIX request must contain
additionally the currency (Currency (15) / UCurrency (30015)) to identify the instrument uniquely.
T7 Cash messages sent to the customers will contain both instrument identifiers in the component
<Instrument>:
• ISIN: SecurityID (48) with SecurityIDSource (22) = “4” (ISIN)
• Instrument ID assigned by the trading system: SecurityAltID (455) with SecurityAltIDSource
(456) = “M” (Marketplace-assigned identifier)
<Instrument>
Description in Derivatives - all Messages
Description in Cash Messages from Client
Description in Cash Messages to Client
Symbol (55)
Product identifier
“[N/A]” (if ISIN is used) or
Product identifier
Product identifier
SecurityID (48)
Instrument identifier
(marketplace-assigned
identifier)
Instrument identifier (ISIN
or marketplace-assigned
identifier)
Instrument identifier (ISIN)
SecurityIDSource
(22)
“M” (Marketplace-assigned
identifier)
“4” (ISIN)
“M” (Marketplace-assigned
identifier)
“4” (ISIN)
ProductComplex
(1227)
Instrument type
-
-
SecuritySubType
(762)
Strategy type
-
-
NoSecurityAltID
(454)
-
-
“1”
SecurityAltID
(455)
-
-
Instrument identifier assigned by the trading system
SecurityAltIDSource
(456)
-
-
“M” (Marketplace-assigned
identifier)
12
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
3.5
Order ID Policy
The standard FIX policy regarding usage of Client Order IDs is supported by the T7 FIX Gateway.
Order related messages must include a unique customer defined identifier, the Client Order ID, in the
ClOrdID (11) field.
ClOrdIDs with 20 characters or less are accepted. Characters in ASCII range 32-126 are allowed.
A ClOrdID (11) may only be used once per business day and trading session. Additionally the T7 FIX
Gateway enforces the uniqueness of ClOrdID (11) values among currently live orders.
The Client Order ID needs to change on every modification and cancellation request; the original scope
is specified by the OrigClOrdID (41). In this way the customer is able to find and track individual requests
by their Client Order ID. This FIX concept is called message chaining and intended for order handling
through a single interface and session.
Orders entered through the FIX Gateway can be modified through sessions of other interfaces, i.e. T7
GUI or Enhanced Trading Interface (ETI). ETI supports message chaining but does not enforce it. It is
recommended to avoid using message chaining in both the FIX Gateway and ETI in order to receive
order updates conducted through ETI also on the FIX Gateway. This can be done by setting ClOrdID
(11) = OrigClOrdID (41) in ETI which is not permitted in the FIX Gateway. The T7 GUI does not change
the Client Order ID of an order by using the same approach.
Note: The FIX Gateway will ignore trailing spaces in the field ClOrdID when a client order ID is checked
for uniqueness among currently live orders. A newly entered ClOrdID (11) is considered duplicate by
the FIX Gateway, if it only differs in the number of trailing spaces from the ClOrdID (11) of a live order.
In this case the FIX Gateway will send a Business Message Reject (j) message denoted by BusinessRejectReason (380) = 0 (Other) and Text (58) = “ClOrdID is not unique.”.
Example: If a live order exists with the ClOrdID (11) = “Test”, any request with ClOrdID (11) = “Test “ will
be rejected. Note that this has no impact on the OrigClOrdID (41), which still must provide the correct
number of trailing spaces to identify the corresponding order.
13
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
3.6
Uniqueness of Identifier
The following table documents the criteria required for uniqueness of IDs:
FIX Field
Description
Rule
Uniqueness
ClOrdID (11)
Unique customer defined
order request identifier.
The uniqueness of ClOrdID
(11) is checked at entry time
among currently live orders
for the same session. Duplicate ClOrdID (11) values
for the same session will be
rejected.
- Session
ExecID (17)
The field ExecID (17) in the
Execution Report provides a
unique identifier and can be
used for the identification of
duplicate order messages.
Is unique per session.
- Session
OrderID (37)
Exchange Order ID generated by the T7 System; it
remains constant over the
lifetime of an order.
An exchange order ID is
guaranteed to be unique
among all orders of the same
product.
- Product
TrdMatchID (880)
Unique identifier for each
price level (match step) of
a match event; it is used for
public trade reporting.
Is unique per product and
business day.
- Business Day
- Product
SecondaryExecID (527)
LegExecID (1893)
SideTradeID (1506)
Private identifier of an order
match step event, which can
be reconciled with the field
SideTradeID (1506) in the
Trade Notification.
Is unique per product and
business day.
- Business Day
- Product
SideTradeReportID
(1005)
Reference to a transaction
identifier for billateral trades
generated by the T7 system.
Is unique per product and
business day.
- Business Day
- Product
TradeReportID (571)
The field TradeReportID (571)
in the Trade Capture Report
provides a unique trade identifier and can be used for
the identification of duplicate
trade confirmation messages.
Is unique per business day
and business unit.
- Business Day
- Business Unit
TradeID (1003)
OrigTradeID (1126)
The TradeID (1003) field
in the Trade Notification
uniquely identifies all allocations referring to the same
matching event, instrument
and price.
Is unique per product and
business day.
- Business Day
- Product
UTransactTime (30060)
Transaction timestamp.
Transaction timestamp
which provides date and
time in UTC, represented as
nanoseconds past the UNIX
epoch (00:00:00 UTC on 1
January 1970).
Is unique per product.
- Product
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V3.0
3.7
Order Management
A FIX session can only modify or cancel own orders (i.e. orders previously submitted successfully on
the same FIX session).
3.7.1
Order Types / Trading, Execution and Validity Restrictions
The following order types are supported via the T7 FIX interface:
Order Type
Derivatives
Cash
Description
Relevant FIX Tags
Market (M)
X
X
Market orders have no specific price limit.
They will be matched to the best price
available.
- OrdType (40) = ’1’
Limit (L)
X
X
Limit orders include a specified price limit
and may not be executed at a price worse
than that limit.
- OrdType (40) = ’2’
- Price (44)
Stop Market (S)
X
X
Stop orders are orders that create market
orders when the specified trigger price is
reached. Stop orders are not visible in the
order book for any market participant.
- OrdType (40) = ’3’
- StopPx (99)
Stop Limit (SL)
X
X
Stop limit orders create limit orders when
the specified trigger price is reached. Stop
limit orders are not visible in the order
book for any market participant.
- OrdType (40) = ’4’
- Price (44)
- StopPx (99)
X
Limit Order that contains a peak quantity
and an overall quantity. The peak quantity can be determined absolutely or randomly. Once the displayed quantity has
been completely executed, a new peak is
entered into the book.
In auction trading, iceberg orders contribute with their overall volume.
<DisplayInstruction>
- OrdType (40) = ’2’
- Price (44)
X
An IOC order is to be filled immediately,
either completely or to the extent possible;
the portion that cannot be filled immediately is canceled. The execution restriction
IOC is allowed for Market and Limit orders.
- TimeInForce (59) = ’3’
X
A Market or Limit order, which is executed
immediately and fully or not at all. If immediate and full execution is not possible, the
order is canceled without entry in the order
book.
- TimeInForce (59) = ’4’
X
A Limit order, which is placed as resting
liquidity in the order book to ensure passive execution. If immediate (and hence
aggressive) execution is possible, the order is rejected without entry into the order
book.
- ExecInst (18) contains
’6’
Iceberg (Ice)
Immediate or
Cancel (IOC)
X
Fill or Kill (FOK)
Book or Cancel
(BOC)
X
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. . . continued . . .
Order Type
Derivatives
Trailing Stop
(TSO)
One-cancels-theother
(OCO)
X
Opening auction
only
Closing auction
only
X
Auction only
Cash
Description
Relevant FIX Tags
X
A Trailing Stop order is a Stop order whose
stop limit is adjusted in accordance with
the development of the reference price.
Because of the dynamic adjustment of the
stop limit the investor does not need to
permanently watch the market in order to
optimize his stop limit.
- ExecInst (18) contains
’a’
- OrdType (40) = ’P’
- StopPx (99)
- PegOffsetValue (211)
- PegOffsetType (836)
X
A combination of a Limit order and a Stop
(Market) order, expressed as a single order. Traders will specify a limit price and a
trigger price as part of one order.
- OrdType (40) = ’2’
- Price (44)
- TriggerType (1100) = ’4’
- TriggerPrice (1102)
X
Order only valid in opening auctions.
- TradingSessionSubID
(625) = ’2’
X
Closing auction only orders may be entered during the entire trading day, but
are only active during the closing auction
phase.
- TradingSessionSubID
(625) = ’4’
X
Order only valid in auctions.
- TradingSessionSubID
(625) = ’8’
Good-for-day
(Day)
X
X
All orders are assumed to be day orders
unless otherwise specified. The validity of
a day order ends at the close of that day’s
trading period.
- TimeInForce (59) = ’0’
Good-till-date
(GTD)
X
X
Order carries a specified date up to one
year from entry on which the order is automatically canceled.
- TimeInForce (59) = ’6’
- ExpireDate (432)
Good-tillcanceled
(GTC)
X
X
Order remains valid until it is executed,
canceled, or if the contract expires.
- TimeInForce (59) = ’1’
Persistent
X
X
A Persistent order is an order that survives
a trading interruption or system failure.
Persistent orders are always written to disk
to prevent them from being lost during an
emergency and remain in the book until
their validity expires.
- absence of ExecInst
(18) or
- ExecInst (18) contains
’H’
Non-persistent
X
X
Non-persistent orders are automatically
canceled in case of a trading interruption
or exchange system failure and are only
valid good-for-day.
- ExecInst (18) contains
’Q’
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3.7.1.1
Relevant FIX Fields for identifying Order Types
The following table shows the relevant FIX fields for identifying an order type, the usage of the relevant
tags and components and the assignments of the tag values depending on the order type attribute.
Following information has to be considered:
• “Y” or “N” will indicate if tags and components are mandatory or optional for the type of order
specified.
• Other values will describe the tag values allowed/supplied for the type of order specified. Example:
=1/=2 means that one of the valid values “1”, “2” must be supplied.
• Empty cells will indicate that a tag or component is not allowed for the type of order specified.
Tag
Field Name
M
L
S
SL
Ice
TSO
FOK
BOC
OCO
IOC
N
contains
’6’
N
N
=2
=2
-/Y
Y
Y
-/Y
=4
N
N
=3
Y
<DisplayInstruction>
Y
<PegInstructions>
18
ExecInst
N
N
N
N
N
contains
’a’
40
OrdType
=1
=2
=3
=4
=2
=P
44
Price
Y
Y
59
TimeInForce
N
N
N
99
StopPx
Y
Y
1100
TriggerType
=4
1102
TriggerPrice
Y
Y
N
N
Derivatives
X
X
X
X
Cash
X
X
X
X
17
N
=1/=2
=1/=2
Y/N
X
X
X
X
X
X
X
X
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3.7.2
Price Validity Checks
There are two different price validations for orders, both considering the most recent best bid and best
ask price.
3.7.2.1
Price Reasonability Check
When entering or replacing an order, the user may opt for a check ensuring that the entered price does
not differ significantly from the market. The field PriceValidityCheckType (28710) provides the following
options:
• Valid value “0” = None
• Valid value “1” = Optional (only T7 Derivatives)
• Valid value “2” = Mandatory
The value “optional” defined only for T7 Derivatives differs from the value “mandatory” price reasonability check in the following way: If the best bid and best ask prices are not available or if their spread is
not reasonable, an additional reference price (the last traded price or the theoretical price) is taken into
account. If the additional reference price is also not available, the incoming order or quote is
• accepted without performing a price validation in case the submitting user choose “optional”, or
• rejected in case the submitting user chooses “mandatory”.
3.7.2.2
Extended Price Range Validation
In case no price reasonability check was performed, the extended price validity check is applied which
ensures that no erroneous price crosses through the market.
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3.7.3
Cancellation
The FIX session may only cancel orders that have been entered previously via the same session.
Cancelling an order will remove the remainder of a live order from the order book. The participant must
use the OrigClOrdID (41) to identify the order to cancel. The T7 FIX Gateway will respond with an
ExecutionReport (8) or OrderCancelReject (9) message for confirmation or rejection respectively.
Participants can also submit a User Order Mass Action Request (UCA) in order to delete all active orders
for the respective session in a given product. The User Order Mass Action Request (UCA) can be further
restricted to a defined trader and/or a defined instrument. The user may delete only part of their orders
for one instrument by entering the additional filter criteria side and price.
3.7.4
Modification
The FIX session may only modify orders that have been entered previously via the same session.
The participant must use the OrigClOrdID (41) to identify the order to modify.
The T7 FIX Gateway will respond with an ExecutionReport (8) or OrderCancelReject (9) message for
confirmation or rejection respectively.
The ExecutionReport (8) will contain ExecRestatementReason (378) = 181 (ownerschip changed) if the
order ownership was changed. This will be the case if the submitter (Entering Trader) of the modify
request is different from the original owner of the order.
Orders that have been completely filled may not be modified anymore.
Note: Modifications of the total order quantity to a quantity less than or equal to the cumulated executed
order quantity will be interpreted as a cancel request.
3.7.5
Self Match Prevention
The Self Match Prevention (SMP) functionality allows participants to prevent an execution of an incoming
order against a book order or quote side from the same business unit in the same instrument (crossing).
Participants can specify an individual Self Match Prevention ID in the field MatchInstCrossID (28744)
which is contained in the component <MtchgInst> (Matching Instructions).
The ExecutionReport (8) will contain the field Crossed (28745) with the valid value 1 (Cross rejected) if
the order was deleted or modified due to SMP.
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3.7.6
Account Structure
The mandatory field TradingCapacity (1815) specifies the relationship between the market participant
and the order.
Business Type
Description
Relevant FIX Tags
Agency
Market Participant is trading on behalf of its customer.
TradingCapacity (1815) = 1
Proprietary
Market Participant is trading for its own account.
TradingCapacity (1815) = 5
Market Making
Market Participant is acting as a Market Maker.
TradingCapacity (1815) = 6
The usage of the field Account (1) will be supported only for T7 Derivatives:
The entry of a T7 account type and number is supported via the Account (1) field designating the account
type to be used for the order when submitted to clearing. There are three types of accounts:
• Agent accounts: “A1”, “A2”, “A3”, “A4”, “A5”, “A6”, “A7”, “A8”, “A9”, “G1” and “G2”: The account
codes G1 and G2 are actually designations that the trade is going to be sent to another member,
usually when a participant uses one member to perform the execution and another to do the
clearing.
• Proprietary accounts: “P1” and “P2”.
• Market Maker accounts: “M1” and “M2”.
Every order entered into the T7 trading system can be associated with one of these account types.
In case that no account information is entered by the market participant the clearing account information
will be derived from the field TradingCapacity (1815).
3.7.7
Text Fields
The T7 trading system supports four free-format text fields for trader-specific comments to an order. The
mapping of the T7 text fields to the FIX tags is as follows:
Text Field
Derivatives
Cash
Free Text Field 1
X
X
Free Text Field 2
Free Text Field 3
Free Text Field 4
Valid Characters (hex)
Relevant FIX Tags
\x20,\x22-\x7B,\x7D,\x7E
Text (58)
X
\x20,\x22-\x7B,\x7D,\x7E
FreeText2 (25008)
X
\x20,\x22-\x7B,\x7D,\x7E
FreeText3 (25009)
\x20,\x22-\x7B,\x7D,\x7E
FreeText4 (25107)
X
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3.7.8
Order Status and Execution Report
The ExecutionReport (8) message is used to communicate events that affect an order.
The field ExecType (150) specifies the type of event. The field OrdStatus (39) specifies the new status
of the order.
The different scenarios and their usage of the OrdStatus (39) and ExecType (150) are as follows:
Scenario
Derivatives
Cash
OrdStatus (39)
ExecType (150)
Order book replay: Transmission of
all active orders
X
X
0 = New
1 = Partially filled
D = Restated
Order book replay: Transmission of
inactivated auction orders
X
X
9 = Suspended
D = Restated
Successful submission of an order
X
X
0 = New
0 = New
Successful submission of an auction order outside the auction
X
X
9 = Suspended
0 = New
Rejected submission of an order
X
X
8 = Rejected
8 = Rejected
Successful modification of an order
X
X
0 = New
1 = Partially filled
2 = Filled
5 = Replaced
Successful modification of an auction order outside the auction
X
X
9 = Suspended
5 = Replaced
Rejected modification of an order
X
X
8 = Rejected
n/a
Successful cancellation of an order
X
X
4 = Canceled
4 = Canceled
Successful cancellation of an auction order outside the auction
X
X
9 = Suspended
4 = Canceled
Cancellation during instrument
freeze state
X
X
6 = Pending Cancel
6 = Pending Cancel
Rejected cancellation of an order
X
X
8 = Rejected
n/a
Partial fill
X
X
1 = Partially filled
1 = Partially filled (in FIX
4.2)
F = Trade (in FIX 4.4)
Complete fill
X
X
2 = Filled
2 = Filled (in FIX 4.2)
F = Trade (in FIX 4.4)
Triggered Stop Order
X
X
0 = New
L = Triggered by system
Triggered One-cancels-the-other
Order
X
X
0 = New
L = Triggered by system
X
0 = New
5 = Replaced
Trailing stop order update triggered
by the trading system
Activated auction order
X
X
0 = New
1 = Partially filled
D = Restated
Inactivated auction order
X
X
9 = Suspended
9 = Suspended
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. . . continued . . .
Scenario
Derivatives
Cash
Unsolicited modification triggered
by third party
X
Unsolicited cancellation triggered
by third party
X
Unsolicited cancellation triggered
by the trading system (e.g. due to
order expiration)
Cancellation of not (fully) executed
Immediate or Cancel (IOC) order
X
Cancellation of not executed Fill or
Kill (FOK) order
OrdStatus (39)
ExecType (150)
X
0 = New
1 = Partially filled
2 = Filled
5 = Replaced
X
4 = Canceled
4 = Canceled
X
4 = Canceled
4 = Canceled
X
4 = Canceled
4 = Canceled
X
4 = Canceled
4 = Canceled
Cancellation of executable Book or
Cancel (BOC) order at entry/modify
X
X
4 = Canceled
4 = Canceled
Cancellation due to Self Match Prevention (SMP)
X
X
4 = Canceled
4 = Canceled
Unknown Order State
X
X
A = Pending New
6 = Pending Cancel
E = Pending Replace
A = Pending New
6 = Pending Cancel
E = Pending Replace
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3.7.9
ExecutionReport (8) ”Unknown Order State”
An ExecutionReport (8) with ExecRestatementReason (378) = 100 (Unknown Order State) will be generated when the order status in the T7 FIX Gateway is unknown. For example:
• if no response from the back end is received within a certain time (when the back end response is
received by the T7 FIX Gateway afterwards an additional ExecutionReport (8) will be sent.)
• if a T7 response does not contain a clearly defined order state (e.g. ETI field SessionRejectReason
(373) = “104” (Result of transaction unknown)). This information will be forwarded in the FIX fields
ReturnCode (25023) and ReturnCodeText (25024)
• in some recovery situations (e.g. several modify requests with PossDup=“Y” for the same order).
In these cases members are requested to check the order state in an alternative way (e.g. via GUI).
The different scenarios and their usage of the fields OrdStatus (39), ExecType (150) and ExecRestatementReason (378) in the ExecutionReport (8) messages sent by the T7 FIX Gateway are as follows:
Scenario
OrdStatus (39)
ExecType (150)
ExecRestatementReason (378)
Submission of an Order
- Order status is unknown
A = Pending New
A = Pending New
100 = Unknown Order State
Cancellation of an Order
- Order status is unknown
6 = Pending Cancel
6 = Pending Cancel
100 = Unknown Order State
Modification of an Order
- Order status is unknown
E = Pending Replace
E = Pending Replace
100 = Unknown Order State
3.7.10
Order Book Restatement
During the start-of-day phase and after a market reset event (an exchange system failure), all active
orders of a session will be transmitted to the market participant via the respective session.
During Order Book Restatement ExecutionReport (8) messages for each restated order of the corresponding session are provided and finally a TradingSessionStatus (h) message indicates the end of the
restatement per product; see chapter 3.7.14 Trading Session Events.
The reason for the restatement is communicated in field ExecRestatementReason (378) in message
ExecutionReport (8).
Each end of restatement message initiates the start of trading for a product.
ExecRestatementReason (378) will have the value “1 = GT renewal / restatement”.
Note: In case an ETI session associated to a FIX session is canceled by the member all orders which
were entered via this session and are still valid will be deleted without any further notification to the
customer. Therefore these orders will not be restated.
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3.7.11
Trailing Stop Order Update Notifications (T7 Cash)
Notifications generated by the trading system about the update of the field StopPx (99) for trailing stop
orders are communicated to the participants via a modify ExecutionReport (8).
The reason for the order update is provided in the field ExecRestatementReason (378) of the ExecutionReport (8) message:
Scenario
ExecRestatementReason (378)
Trailing Stop Update
213
3.7.12
Unsolicited Order Cancellations generated by the Trading System (T7 Cash)
Notifications about unsolicited order cancellations generated by the trading system are communicated
to the participants via a cancel ExecutionReport (8).
The reason for the order cancellation is provided in the field ExecRestatementReason (378) of the
ExecutionReport (8) message:
Scenario
ExecRestatementReason (378)
GT corporate action
0
Exchange Option
8
End of Day Processing
146
Order Expiration
148
Exceeds maximum quantity
237
Invalid Limit Price
238
User does not exist
241
Session does not exist
242
Invalid Stop Price
243
Marked For Deletion
244
Instrument does not exist
245
Business Unit Risk Event
246
Initial Cleanup
257
Dividend Payment
292
Last Trading Day
294
Trading Parameter Change
295
Currency Change
296
Product Assignment Change
297
Reference Price Change
298
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3.7.13
Mass Cancellation Notification
Mass cancellation notification is not provided on a single order level. The owning session will be informed
about the scope of the cancellation by a summary record. The summary record will also provide the
entering party involved and the reason for the mass cancellation. For T7 Cash the summary record
contains additionally an order list with the information about the deleted persistent orders (if any).
Unsolicited order mass cancellation is communicated by the T7 FIX Gateway via the OrderMassActionReport (UBZ) message.
The reason for the mass cancellation event is communicated in field MassActionReason (28721), the
scope of the deleted orders in field UExecInst (30018).
Orders that couldn’t be canceled due to an incompatible instrument state are provided with their Exchange Order ID (NotAffectedOrderID (1371)) and optionally with their FIX Client Order ID (NotAffOrigClOrdID (1372)) in the component <NotAffectedOrdersGrp>.
For T7 Cash persistent orders that were canceled are provided with their Exchange Order ID (AffectedOrderID (535)) and optionally with their FIX Client Order ID (AffectedOrigClOrdID (1824)) in the component <AffectedOrdersGrp>.
The number of entries in the components <AffectedOrdersGrp> and <NotAffectedOrdersGrp> is limited. For this reason the information about a Mass Cancellation event can be split into several OrderMassActionReport (UBZ) messages. The message OrderMassActionReport (UBZ) contains the field
ULastFragment (30893) to indicate if the message is the last message related to an event (ULastFragment (30893) = Y (Last message)) or if additional messages will follow (ULastFragment (30893) = N
(Not last message)).
The following unsolicited mass cancellation events may occur:
Mass Cancellation Event
MassActionReason (28721)
Derivatives
Cash
Product Holiday
Product State Holiday (106)
X
X
Product Halt
Product State Halt (105)
X
X
Instrument Suspension
Instrument Suspension (107)
X
X
Strategy Cancellation
Strategy Cancellation (109)
X
Volatility Interruption Product Level
Circuit Breaker (Volatility Interrupt) (110)
X
Volatility Interruption Instrument Level
Circuit Breaker (Volatility Interrupt) (110)
X
X
Product temporarily not tradeable
Product temporarily not tradeable (111)
X
X
Instrument stopped
Instrument Stopped (113)
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Additional events related to technical reasons are also possible. See complete list of values for the field
MassActionReason (28721) in the description of message OrderMassActionReport (UBZ).
The information about the scope of the deleted orders as result of the event is delivered in the field
UExecInst (30018) in message OrderMassActionReport (UBZ):
UExecInst (30018)
Persistent Orders
Non-persistent Orders
not provided
No
No
H
Yes
No
Q
No
Yes
HQ
Yes
Yes
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3.7.14
Trading Session Events
The TradingSessionStatus (h) message is used by the T7 FIX Gateway for all session related events.
Trading session events might imply mass cancellation events, where no explicit mass cancellation notifications are provided.
The information about the scope of the orders deleted implicitly for the different session related events
is summarized in following table:
Event
Level
TradSesEvent
(1368)
Persistent Orders
Non-persistent Orders
Market Reset
Xmic
Market reset (102)
No
Yes
End of Restatement
Product
End of restatement
(103)
No
Yes
Service Resumed
Product
Service resumed
(105)
No
Yes
End of Service
Xmic
No more messages
for this trading venue
(200)
No
Yes
End of Service
FIX session
Message transmission ended (201)
No
Yes
Session Disconnect
Xmic
Message processing
suspended (202)
No
Yes
Session Connect
Xmic
Message processing
resumed (203)
No
Yes
• Market Reset: informs the participant that the matching engine has been restarted; this event can
affect only some products of the related exchange (Xmic).
• End of Restatement: implies that all non-persistent orders of the session in a product have been
canceled; in this case no individual cancellation notifications are provided on individual order level.
• Service Resumed: informs the participant that the matcher has started accepting transactions
after a slow partition event. All non-persistent orders of the session in a product have been canceled.
• End of Service: informs the participant about the end of message transmission for an exchange
(Xmic) within a FIX session or for the whole FIX session.
• Session Disconnect: informs the participant about the disconnection of the ETI session.
• Session Connect: informs the participant about the (re)connection of the ETI session.
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3.8
Trade Notifications
Participants will use drop copy sessions for receipt of trade confirmations for the business unit.
The scope for all User/Trade Capture Report (UAE/AE) messages will be the business unit. All trade
information the business unit is authorized to see will be provided within one stream. For clearing
business units this feature includes the provision of all trade information for all of their non-clearing
business units.
After a Back-office FIX session logon, the transmission of already existing trades of the current business
day can be requested via ResendRequest (2).
Newly generated trades and trade reversals on the T7 trading system will automatically be transmitted
via the Back-office FIX session.
Note: User/ TradeCaptureReports (UAE/AE) are only sent for on-exchange trades, not for Trade Entry
Service (TES) trades or for any adjustments/reversal done in the clearing system.
3.8.1
Trade Report Types
The field TradeReportType (856) indicates the type of the trade report type:
Scenario
TradeReportType (856)
Derivatives
Cash
Final Trade
0 = Trade
X
X
Preliminary Trade
1 = Alleged
X
Modified Trade
5 = No/Was (Replaced)
X
Trade Reversal
7 = (Locked-In) Trade Break
X
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3.8.2
Trade Reconciliation
There are several identifiers that can be used to associate an ExecutionReport (8) with User/ TradeCaptureReports (UAE/AE) and public trades on the market data interface.
Every match event with one or more executions (match steps) in a simple or complex instrument results
in one ExecutionReport (8) message per matching step for each order. A User/ TradeCaptureReport
(UAE/AE) will then be sent to confirm each trade at each price level.
For complex instruments (only T7 Derivatives), there is a User/ TradeCaptureReport (UAE/AE) for each
leg execution of the instrument.
Every match step occurring in the exchange has an identifier that is provided in the field TrdMatchID
(880) in the ExecutionReport (8) as well as in the User/ TradeCaptureReport (UAE/AE). This identifier
allows participants to link trade capture reports and the corresponding execution report.
The TradeID (1003) field in the User/ TradeCaptureReport (UAE/AE) uniquely identifies all allocations
referring to the same matching event, instrument and price.
The field SideTradeID (1506), which is unique for a product and business day, in the User/ TradeCaptureReport (UAE/AE) provides the private identifier of an order match event, which can easily be reconciled
with the corresponding ExecutionReport (8) for orders in the following way:
• for order match events in simple instruments, the ExecutionReport (8) message provides the order
execution ID on each price level, ExecID (17).
• for order match events in complex instruments (only T7 Derivatives) the ExecutionReport (8) message provides the order execution ID on each price level and additionally the order leg execution
ID, LegExecID (1893).
Match Reporting
Derivatives
Cash
Trade event on instrument
level: public trade volume
reporting
X
X
Identifier for all allocations
referring to the same instrument
X
X
Private execution identifier in
Order in a simple instrument
X
X
Private execution identifier for
an order in a complex instrument (only T7 Derivatives)
X
Client Order Identifier
X
X
Execution Report (8)
Trade Capture Report
TrdMatchID (880)
TrdMatchID (880)
TradeID (1003),
OrigTradeID (1126)
SecondaryExecID (527)
SideTradeID (1506)
LegExecID (1893)
SideTradeID (1506)
ClOrdID (11)1
ClOrdID (11)2
Note: For trade reversals a new TradeID (1003) is generated by the T7 trading system. The original
trade identifier is delivered in field OrigTradeID (1126) and provides the link to the original trade.
1 The client order id entered by the order submitter is provided. For reconciliation of orders with trades the T7 System Order ID
should be used: OrderID (37).
2 The Client Order ID of the T7 Enhanced Trading Interface (ETI) is provided. For reconciliation of orders with trades the T7
System Order ID should be used instead: OrderID (37).
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3.8.3
Best Practices for Order Management
All order response information in the T7 FIX Gateway is sent out immediately after the order has been
processed by the core matching process.
All order response information in the T7 FIX Gateway is preliminary; this includes ExecutionReports (8)
sent out for persistent and non-persistent orders.
For these reasons, a participant application always needs to confirm the preliminary execution information with the corresponding legally binding User/ TradeCaptureReport (UAE/AE).
Please find detailed information regarding trade reconciliation in chapter 3.8.2 Trade Reconciliation.
User/ Trade Capture Reports (UAE/AE) are not delivered via Trading FIX sessions. For the reception of
the legally binding User/ TradeCaptureReports (UAE/AE) a Back-office FIX session is required.
Back-office FIX sessions need to be ordered by the participants for its business units in the Eurex
Member Section for Derivative Markets and in the Xetra Member Section for Cash Markets.
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3.9
Cross Request
A cross trade is a trade where a participant trades against an own order in the order book. In a prearranged trade, orders from at least two participants are executed against each other as previously
negotiated. Cross and pre-arranged trades may not knowingly be entered into the T7 trading system by
a participant, unless the participant precedes the cross or pre-arranged trade with a cross request.
A trader sends the T7 FIX Gateway message CrossRequest (U100) which is published via the T7 Market
Data Interface (MDI) to all other participants, to alert them of the intention to trade with an own order or
pre-arranged trade.
The cross request contains the security identification (product and instrument id combination) and the
OrderQty (38), which is mandatory for regulatory reasons. Optionally the Side (54) can be specified by
the entering user. In case no side is specified, the quantity is valid for both sides by default.
3.10
Request for Quote
The request for quote functionality is used by a trader for asking market makers to enter a quote in
a specified instrument. This functionality is supported in the T7 FIX Gateway by the standard FIX
message Quote Request (R). All requests for quote are published via the market data interface to all
other participants.
Every Quote Request (R) message contains the security identification (see details in chapter 3.4 Security Identification). Side (54) and OrderQty (38) are optional attributes.
A Quote Request (R) message might be rejected with an error message indicating a previous request
for quote has already recently been sent.
Note: A Quote Request (R) message is validated against the available quantities at the best price and
the corresponding bid/ask spread in the market. A Mass Quote Acknowledgement (b) message confirms
the quote request or might indicate that the quote has been rejected.
3.11
Risk Control Event Notifications
The FIX Gateway supports the dissemination of Risk control event notifications on both the Trading and
Back-office sessions.
The following notifications are available:
Risk Control Event Notification
Derivatives
Cash
Stop Button Event
X
X
Limit Breach Event
X
Legal Notification
X
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3.12
Mass Deletion Request
The User Order Mass Action Request (UCA) will allow deletion of multiple orders. Orders may be filtered
by Product identifier (Symbol) or Product identifier (Symbol) and Security identifier (SecurityID).
Note: The ProductComplex (1227) will not be allowed on this request as no filtering by instrument type
will be supported. It is not possible - for example - to restrict a mass cancellation operation to “Standard
Option Strategies”.
The user may delete orders owned by a different trader. In this case the owning trader of the orders to
be deleted must be provided in the party <target executing trader>.
Users may delete only part of their orders for one instrument by entering the additional filter criteria
side and price. For the buy side the orders will be deleted starting from the highest price until the price
specified in the filter, for the sell side starting from the lowest price.
The request will be answered by one or more User Order Mass Action Response (UCAR) messages
having MassActionResponse (1375) set to “2” (Completed), if successful. The message then has two
different layouts depending on whether any orders were affected or not (“No hits message”).
A rejected request will be answered by a User Order Mass Action Response (UCAR) message having
MassActionResponse (1375) set to “0” (Rejected) and providing an error code/explaining text in ReturnCode (25023) / ReturnCodeText (25025) respectively.
Additional information in the response message UserOrderMassActionResponse (UCAR) for requests
processed successfully:
• Orders that couldn’t be canceled due to an incompatible instrument state are provided with their
Exchange Order ID (NotAffectedOrderID (1371)) and optionally with their FIX Client Order ID (NotAffOrigClOrdID (1372)) in the component <NotAffectedOrdersGrp>.
• For T7 Cash persistent orders that were canceled are provided with their Exchange Order ID
(AffectedOrderID (535)) and optionally with their FIX Client Order ID (AffectedOrigClOrdID (1824))
in the component <AffectedOrdersGrp>.
• The number of entries in the components <AffectedOrdersGrp> and <NotAffectedOrdersGrp>
is limited. For this reason the response to a Mass Cancellation Request can be split into several UserOrderMassActionResponse (UCAR) messages. The message UserOrderMassActionResponse (UCAR) contains the field ULastFragment (30893) to indicate if the message is the last
response message related to a Mass Cancellation Request (ULastFragment (30893) = Y (Last
message)) or if additional messages will follow (ULastFragment (30893) = N (Not last message)).
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3.13
Drop Copy for Order Information (Business Unit Level)
Drop copy functionality for standard (not lean) orders of a business unit of the current business day is
provided as an optional feature of the Back-office FIX session.
When the client chooses the drop copy feature for a Back-office FIX session in the Member Section, the
order-information of the current business day for all standard (not lean) orders of the business unit is
provided on a stream basis:
• After a Back-office session logon, the transmission of the already existing active standard orders
for the current business day can be requested via ResendRequest (2).
• Newly generated messages for standard (not lean) orders on the back end will automatically be
transmitted via the Back-office FIX session.
• All drop copy information for standard (not lean) orders will be sent via FIX messages (ExecutionReport (8), UserOrderMassActionReport (UBZ)).
Note: Orders entered or modified via the T7 FIX Gateway will provide the ClOrdID (11) in the ExecutionReport (8) message of the Drop Copy functionality for standard (not lean) orders. OrigClOrdID (41) will
not be provided.
For orders immediately triggered after being entered or modified the value of the stop price is not available. The ExecutionReports (8) with ExecType (150) = 0 (New) and 5 (Replaced) will contain in this case
StopPx (99) = -1.
For iceberg orders immediately filled or partially filled after being entered or modified the original value
of the display quantity is not available. The ExecutionReports (8) with ExecType (150) = 0 (New) and 5
(Replaced) will contain in this case DisplayQty (1138) = -1.
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3.14
Strategy Creation (T7 Derivatives)
The creation of a strategy will be supported only for T7 Derivatives.
The Security Definition Request (c) message can be used to request the creation of a specified complex
instrument on Eurex.
The product identifier (Symbol (55)), and the signature <InstrmtLegGrp>, which provides the description
of the legs, their ratios and side, are mandatory attributes of the request.
The (SecuritySubType (762)) tag must be present in case of a futures spread, option combination or
strategy definition.
Only after a specific complex instrument has been requested and created, is it possible to enter orders
for this instrument. The successful creation of a complex instrument, or the rejection, is confirmed by the
Security Definition (d) message. When a new strategy is requested, the instrument identifier (SecurityID
(48)) and the signature of the complex instrument are returned.
Complex instrument definitions created by users are always temporary and are deleted during end of
day processing if their order book is empty.
Note: The signature which is returned by the T7 may differ from the signature which was sent in the
Security Definition Request (c), e.g. in order to match a pre-defined strategy template.
3.15
Variance Futures (T7 Derivatives)
Participants enter, modify and delete orders in variance futures using the same messages and fields
as for other simple instruments in T7 trading system (New Order Single, Order Cancel/Replace Request, Order Cancel Request). The only difference for variance futures is that the entered Price (44) is
understood as Volatility and the entered quantity (OrderQty (38)) is understood as Vega Notional.
An Execution Report is published as usual.
Once traded, T7 provides a preliminary Trade Capture report (TradeReportType (856) is 1 = Alleged)
that includes also a preliminary calculated clearing price (ClearingTradePrice (1596)) and calculated
clearing quantity (ClearingTradeQty(28736)).
Once the final conversion parameters are approved at the end of the trading day, a final Trade Capture
report (TradeReportType (856) 5 = No/Was (Replaced)) is published that provides the final calculated
clearing price and clearing quantity.
3.16
Total Return Futures (T7 Derivatives)
Participants enter, modify and delete orders in total return futures using the same messages and fields
as for other simple instruments in T7 trading system (New Order Single, Order Cancel/Replace Request,
Order Cancel Request).
An Execution Report is published as usual.
Once traded, T7 provides a preliminary Trade Capture report (TradeReportType (856) is 1 = Alleged)
that includes also a preliminary calculated clearing price (ClearingTradePrice (1596)) and calculated
clearing quantity (ClearingTradeQty(28736)).
At the end of the trading day a final Trade Capture report (TradeReportType (856) 5 = No/Was (Replaced)) is published that provides the final calculated clearing price and clearing quantity.
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4
Connectivity and Session Parameters
4.1
4.1.1
Session Identification and Authentication
Session Identification and Logon Parameters
For each FIX session, a unique identifier, the SenderCompID (49) and a Password (554) is assigned by
T7 on registration. A participant may have multiple FIX sessions (connections to the FIX Gateway). For
each business unit and market type (Derivatives and Cash) a separate FIX session is required.
For security reasons a Password (554) must be specified on the Logon (A) message. The initial password assigned by T7 for each FIX session should be changed during the first logon by specifying NewPassword (925) in the Logon (A) message.
When changing the password, the following password validation rules have to be applied:
• Minimum password length 8
• Minimum required alphanumeric characters 1
• Minimum required uppercase characters 1
• Minimum required lowercase characters 1
• Miminum required special (not alphanumeric) characters 1
In exceptional circumstances, a password may need to be reset. Participants are able to perform a
password reset via the Member Section.
All messages sent to the FIX Gateway should contain the assigned unique identifier of the FIX session
in the field SenderCompID (49) and market type identification in the TargetCompID (56) field:
• FIX Sessions for T7 Derivatives: TargetCompID (56) = “EUREX”
• FIX Sessions for T7 Cash: TargetCompID (56) = “XETRA”
All messages sent by the FIX Gateway to the client will contain the market type identification (“EUREX”/
“XETRA”) in the SenderCompID (49) field and the assigned unique identifier of the FIX session in the
TargetCompID (56) field.
The FIX Gateway has a two-step logon procedure, with a Logon (A) message (Session Logon) followed
by one or multiple User Request (UBE/BE) messages (Trader Logons) at an application level.
4.1.2
Network Authentication
The FIX Gateway will validate the subnet from where the FIX session is initiated during session logon.
The FIX session logon (Logon (A) message) will be rejected by the FIX Gateway if the subnet cannot
be authenticated. Participants are allowed to initiate/resume their FIX sessions from alternate locations,
e.g., a backup site or disaster recovery location, T7 permits the setup of up to four IP subnet addresses
for FIX session IDs via the Member Section.
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4.1.3
Session Logon
The Logon (A) message authenticates a FIX session and establishes a connection to the FIX Gateway.
This message must be the first one sent by the client. The FIX Gateway will validate the SenderCompID
(49) and Password (554). A successful logon will initiate a FIX session.
The T7 FIX Gateway does not support encryption. EncryptMethod (98) must therefore be set to “0”
(None/other).
As an additional safeguard measure, the TestMessageIndicator (464) is used to indicate whether a FIX
session to be initiated will be used for Simulation or Production purposes. The FIX Gateway will reject
a Logon (A) message in the event that the TestMessageIndicator (464) value does not match the target
environment.
In order to enhance operational support and error analysis on both the session and application level,
information about the client’s FIX engine (FIXEngineName (1600), FIXEngineVersion (1601), FIXEngineVendor (1602) as well as the used FIX application (ApplicationSystemName (1603), ApplicationSystemVersion (1604), ApplicationSystemVendor (1605)) must be provided by the client in the Logon (A)
message. For more details, please refer to the detailed description of the Logon (A) message in chapter
6.4.1 Session Logon.
Note: The Logon (A) message is not used to log on and authenticate a trader on the T7 trading system.
4.1.4
Trader Logon
The User Request (UBE/BE) message identifies and authenticates a qualified trader establishing access
to the T7 trading system. FIX sessions may be shared by several traders, with the exception of Backoffice FIX sessions. Back-office FIX sessions do not require a trader logon.
The participant must provide the corresponding T7 User ID of the trader in the Username (553) field,
and the corresponding password in the Password (554) field.
A successful trader logon will grant the trader access to the T7 trading system.
Note: A trader logon requires an active connection to the T7 trading system (indicated by a TradingSessionStatus (h) message with Trading TradSesEvent (1368) = 203 “Message processing resumed” sent
previously by the FIX Gateway). Order related messages will only be accepted by the trading system if a
trader is logged on successfully. Otherwise these messages will be rejected (e.g. “User not logged in” in
the message ExecutionReport (8)) and have to be sent again by the customer using a new MsgSeqNum
(34) and a new ClOrdID (11). It is strongly recommended that order related messages should only be
sent if a previous trader logon was positively confirmed.
4.1.5
IP Addresses and Ports
The FIX connection between a member’s infrastructure and the T7 FIX Gateway service is established
via a TCP/IP connection. The service comprises of primary and secondary gateways, operated in the T7
Simulation and Production environments. The respective gateways will use distinct target IP addresses
and port numbers.
For each FIX session, two individual IP addresses and port numbers are assigned and communicated by
T7. Primary IP address and port is for default usage. Secondary combination is reserved for emergency
cases (e.g. line outage).
The participant is free to define its own source addresses as long as they match one of the IP subnet
addresses entered during the registration of the FIX session (see chapter 4.1.2 Network Authentication).
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4.2
Failover
The T7 FIX Gateway service features a redundant setup of all components to provide a high level
of availability and fault tolerance, and to facilitate a client’s implementation of failover in network- and
application level failure scenarios. Its setup offers connectivity to both FIX Gateways and thus provides
a client’s application with the possibility to select which FIX Gateway it will connect to.
A FIX session may be initiated via all available connections, but every session may only be instantiated
once. Each TCP/IP connection may only support one session instance.
Both participant ports on the primary and on the secondary FIX Gateway are open. Every FIX session
may only be logged in once via one of the connections. Per default only the primary FIX Gateway is
connected to the market back end. Therefore the first FIX session logon to the secondary FIX Gateway
may take some seconds.
In case of a customer failover the T7 ETI session will be disconnected and non-persistent orders will be
deleted.
4.2.1
Network Failover
The minimal network configuration that enables a network failover comprises two connections via dedicated leased line and/or via the Internet. Each line is unchangeably assigned to one FIX Gateway, one
to the primary, the other to the backup gateway.
After a successful FIX logon to the secondary FIX Gateway, the port of the primary FIX Gateway connection will remain open, but any further logon attempts to the primary FIX Gateway connection will lead
to a disconnect of this session.
4.2.2
Application Failover
In the event of a FIX Gateway failure, active FIX sessions connected to this gateway will be disconnected
and the corresponding port will be closed. There will be no automatic FIX session failover in case of a
FIX Gateway failure.
4.2.3
Best Practice
In all failover scenarios described above, participants may resume a FIX session for the same SenderCompID (49) via connection to the secondary FIX Gateway. Participants should therefore implement a
failover mechanism in their application, in order to be able to establish a FIX session over the alternative
connection.
If a connection or a session logon fails or is not responded to immediately, a second attempt should only
be made after a few seconds (30 seconds recommended).
Note: A failover will not cause a reset of sequence numbers on the FIX Gateway side, neither is a reset
of sequence numbers required in the participant’s application. After re-establishment of the FIX session
via the alternative connection, the regular retransmission process of missed messages starts.
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4.3
Message Throttling and Queuing
All messages will be processed by the FIX engine on the exchange side. Nevertheless participants
should not send more than 50 application messages (production environment) per second, trading market and FIX session in order to prevent the T7 FIX Gateway from queuing. In case of exceeding a rate
of 50 messages per second, the FIX Gateway may queue the affected messages internally and forward
them subsequently to the back end, maintaining the maximum back end throttle rate.
The general session parameter MaxOrderRequestQueueTimeout allows a client to define the maximum
time period in milliseconds a single FIX message should be held in the FIX Gateway’s intermediate
buffer in case the throttle limit is exceeded, before it is rejected.
Default is a maximum value, which means that all requests will be queued until they can be routed to
the trading system.
Session parameters can be maintained within the Member Section.
4.4
Mass Cancellation on Disconnect
The FIX Gateway does not cancel orders in the event of a FIX Session disconnection.
4.5
Backward Compatibility
The implementation of the FIX interface for T7 5.0 includes the enhancements for the support of the
access to the T7 Cash markets (Xetra markets migrated to T7). The T7 FIX interface will use common
FIX repositories (common FIX fields and messages) for all supported markets (T7 Derivatives and T7
Cash).
The FIX interface for T7 5.0 will not be backward compatible with the FIX interface for Eurex T7 4.0 nor
with the existing FIX interface for Xetra 16.
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5
Session Layer
The T7 FIX Gateway uses session level messages as specified by the FIX 4.2 and FIX 4.4 Specification
with T7 specific extensions as described in this document.
Details regarding the message layout of administrative messages used can be found in chapter 6 Message Formats.
The T7 FIX Gateway ignores the OrigSendingTime (122) in all message types.
The following message formats are based on the interface version number: T7-8.0-2.
5.1
Logon
The Logon (A) message is the first message the participant needs to send after the TCP connection has
been established. No encryption is supported by the FIX Gateway.
As the first message for the day the participant should send a Logon (A) message with sequence number
1.
A FIX session is identified by the field SenderCompID (49) and TargetCompID (56) in the message
header.
SenderCompID (49), Password (554) and BeginString (8) are validated during the session logon. If
validation fails, the FIX Gateway will send a Logout (5) message specifying the reason for the rejection
followed by the termination of the TCP connection.
Note: If validation during session logon has failed, the sequence number will not be reset.
In the event of an intra-day restart the Logon (A) response message may provide a sequence number
higher than expected by the participant. This would indicate that messages were missed. The participant
should send a Resend Request (2) message to trigger retransmission of the missed messages (please
refer to chapter 5.5 Resend Request for more details).
Logon requests with ResetSeqNumFlag (141) set to “Y” will trigger a reset of sequence numbers at
the participant side only. The FIX Gateway’s sequence numbering will remain unchanged. Thus the
customer is able to access all messages disseminated by the FIX Gateway including the transmission
of all active orders at start of the business day.
Note: If a FIX session is successfully logged on subsequent Logon (A) messages will be discarded.
5.2
Sequence Number
All FIX messages are identified by a unique sequence number. The FIX Gateway will process messages
in sequence per tradeable instrument.
Sequence numbers are reset by the FIX Gateway during down time after the end of each trading day.
The same behaviour is expected for the FIX engine on the client side.
Sequence numbers sent by the client which are behind sequence expected will trigger a logout and TCP
connection drop by the FIX Gateway.
Sequence numbers ahead of sequence will trigger a message recovery by the FIX Gateway via the
Resend Request (2) message.
5.3
Heartbeat
The HeartBtInt (108) has to be specified by the participant during the FIX session logon.
A Heartbeat (0) message should be sent by the participant if no other message has been processed
during the defined HeartBtInt (108) interval.
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5.4
Test Request
A Test Request (1) message should be sent if no in-sequence message has been received for more
than the heartbeat interval. If no in-sequence message is received after that for more than the heartbeat
interval, the TCP connection should be dropped.
5.5
Resend Request
A Resend Request (2) message initiates the retransmission of missed messages and can be used if
a sequence number gap has been detected. A Resend Request (2) message needs to be processed
even if it is ahead of sequence.
The PossDupFlag (43) field set to “Y” in the Message Header of a FIX message indicates that a FIX
engine is repeating transmission of already sent content (including MsgSeqNum (34)). In this case a
new value is set in the field SendingTime (52) and the sending time of the original message is delivered
in field OrigSendingTime (122).
The T7 FIX Gateway supports open or closed sequence range in a Resend Request (2) message (an
open range is indicated by sequence number zero as the EndSeqNo (16)).
Note: No Gap Fill messages should be sent by the participant during the resend series for application
messages. Application messages should always be re-transmitted since the T7 FIX Gateway requires
all missed application messages for the purpose of reconciliation with the T7 trading system.
5.6
Reject
Session level rejects are used by the T7 FIX Gateway to indicate violations of the session protocol,
missing fields or invalid values.
5.7
Sequence Reset
Two types of Sequence Reset (4) messages are supported: Gap Fill mode and Reset mode.
5.7.1
Gap Fill Mode
This type of Sequence Reset (4) message is the response to a Resend Request (2) message.
Gap Fill mode is indicated by GapFillFlag (123) field = “Y”.
All gap fill messages should have PossDupFlag (43) = “Y” in the Message Header.
Note: Gap Fill mode should only be used by the participant for administrative messages (see chapter
5.5 Resend Request).
5.7.2
Reset Mode
The Reset Mode of the Sequence Reset (4) message may be used by the participant in emergency
scenarios where all means of automatic recovery are lost (e.g. in case of an unrecoverable application
failure).
Reset Mode is indicated if GapFillFlag (123) = “N” or if the field is omitted.
After the Reset Mode has been triggered, the Test Request (1) message should be used by the participant to verify that the requested reset has been accepted by the FIX Gateway.
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5.8
Logout
The Logout (5) message is used by the participant to gracefully close the FIX session. Messages need
to be processed normally by the participant until the FIX Gateway sends the logout confirmation.
The T7 FIX Gateway will send a Trading Session Status (h) message when all messages for a FIX
session have been processed. The FIX Gateway will subsequently log out the FIX session.
Note: The FIX Gateway will also send a Logout (5) message if validation fails for a FIX session logon.
The reason for the rejection is specified in SessionStatus (1409). The Logout (5) message is followed
by a drop of the TCP connection.
5.9
5.9.1
Possible Resend
Messages from Client
The FIX Gateway has no specific functionality for FIX messages from client with PossResend (97) = “Y”.
Order requests with PossResend (97) = “Y” :
• Requests will be rejected if the ClOrdID (11) contained in the message has been processed before.
• Requests will be processed if the ClOrdID (11) in the request message has not been processed
before.
Other requests with PossResend (97) = “Y” :
• No special processing, FIX requests will be processed as usual, independently of the value of the
field PossResend (97).
5.9.2
Messages to Client
The FIX Gateway will set PossResend (97) = “Y” to indicate that a message sent to the client may
contain information that has been sent under another sequence number.
If the customer receives a message from FIX Gateway containing PossResend (97) = “Y”, the customer
must check if the information contained in the message has been received in a previous message and
has been already processed. If this is the case the customer should discard the message to avoid the
processing of duplicate data.
This is especially relevant for messages containing trading information (order and trade messages). For
these messages the FIX Gateway will deliver fields that can be used for the identification of duplicate
messages without checking the whole content of the FIX messages.
Relevant messages and fields to be used for the identification of duplicate messages:
Message content
FIX Message
FIX field with unique identifier
Order information
ExecutionReport (8)
Trade information
User/ TradeCaptureReport
(UAE/AE)
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ExecID (17)
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X
TradeReportID (571)
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5.10
Recovery
When a participant reconnects after a FIX session disconnection during the same business day, two
different scenarios can be identified as a reason for the outage: namely outage on the client side and
outage on T7 FIX Gateway side.
5.10.1
Outage on the Client Side
• After resuming the FIX session, the participant may have missed some messages from the FIX
Gateway. In this case, the sequence number of the next message received from the FIX Gateway
will be ahead of the last MsgSeqNum (34) stored on the participant side.
• The participant should send a Resend Request (2) message in order to trigger all missed messages during the outage.
• The FIX Gateway will return all potentially missed messages with PossDupFlag (43) = “Y” to indicate that a message may have been previously transmitted with the same MsgSeqNum (34).
Note: Mass cancellation service on disconnect is not supported by the T7 FIX Gateway. All open orders
remain in the order book during an outage including non-persistent orders.
5.10.2
Outage on T7 FIX Gateway Side
In the unlikely event that the disconnection was due to an outage on the T7 side, the participant should
consider the following recovery mechanisms:
• After reconnection of the FIX session, the FIX Gateway may receive a sequence number higher
than the one expected and sends a Resend Request (2) message to the participant.
• The participant should resend all potentially missed messages with PossDupFlag (43) = “Y”, to
indicate that a message may have been previously transmitted with the same MsgSeqNum (34).
The FIX Gateway will send responses to already processed messages with PossResend (97) =
“Y”. After a forced failover pending order messages might be rejected. These messages can be
submitted again by the participant using a new MsgSeqNum (34) and a new ClOrdID (11).
Note: No Gap Fill messages should be sent by the participant during the resend series for application
messages. Application messages should always be re-transmitted since the T7 FIX Gateway requires
all missed application messages for the purpose of reconciliation with the T7 trading system.
If a participant sends Gap Fill messages during the resend series for application messages the related
orders might not be accessible any more via the FIX Gateway and related order specific information
will not be forwarded to the FIX session. This also holds true in case of Logon (A) message with
ResetSeqNumFlag (141) = “Y”.
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6
Message Formats
This chapter provides an overview of supported message types and details on the administrative, technical and
application messages used by the T7 FIX interface.
The structure of the header and trailer as well as details on the components used in application messages are
provided.
6.1
Overview of supported Message Types
6.1.1
Administrative Messages
Message
Type
Derivatives
Cash
Heartbeat
0
X
X
The Heartbeat message may be used by the
client and the FIX Gateway to monitor the status of the communication link during periods of
inactivity.
Test Request
1
X
X
The Test Request message is used to trigger a
heartbeat message from the opposing application.
Resend Request
2
X
X
The Resend Request is used by the client and
the FIX Gateway to initiate the retransmission of
messages in a recovery scenario.
Reject
3
X
X
The Reject message is used by the FIX Gateway when a message is received but cannot be
properly processed due to a session-level rule
violation.
Sequence Reset
4
X
X
The Sequence Reset message has two modes:
Gap Fill mode is used in response to a Resend
Request when one or more messages must
be skipped over. Reset mode specifies an arbitrarily higher new sequence number after an
unrecoverable application failure.
Logout
5
X
X
The Logout message initiates or confirms the
termination of a FIX session. It is also used
by the FIX Gateway to reject the FIX session
logon.
Logon
A
X
X
The Logon message allows the client to connect to the FIX Gateway. It is also used by the
FIX Gateway to confirm the logon.
Business Messages Reject
j
X
X
The Business Message Reject message indicates that an application message has been
rejected.
43
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6.1.2
Application Messages: Order Management
Message
Type
Derivatives
Cash
D
X
X
UAB
X
The User New Order Multileg message is provided to submit orders for securities that are
made up of multiple securities, known as ”legs”.
Only for FIX 4.2.
AB
X
The New Order Multileg message is provided
to submit orders for securities that are made up
of multiple securities, known as ”legs”. Only for
FIX 4.4.
Order Cancel Request
F
X
X
The Order Cancel Request is used to delete an
existing order.
Order Cancel Replace Request
G
X
X
The Order Cancel/Replace Request is used to
modify an existing order.
UAC
X
The User Multileg Order Cancel Replace request is used to modify a multileg order (previously submitted using the User New Order
Multileg message). Only for FIX 4.2.
AC
X
The Multileg Order Cancel Replace request is
used to modify a multileg order (previously submitted using the New Order Multileg message).
Only for FIX 4.4.
Execution Report
8
X
X
The Execution Report message is used to:
– confirm the receipt of an order
– confirm changes to an existing order
– transmit all active orders
– relay fill information
– reject orders
Order Cancel Reject
9
X
X
The Order Cancel Reject message indicates
that an Order Cancel Request, Order Cancel
Replace Request or Multileg Order Cancel Replace Request has been rejected.
Ueer Order Mass Action
Request
UCA
X
X
User Order Mass Action Request is used for
deletion of multiple orders.
User Order Mass Action
Response
UCAR
X
X
User Order Mass Action Response is used as a
response to a User Order Mass Action Request
(UCA).
User Order Mass Action Report
UBZ
X
X
This message informs about unsolicited mass
cancellation events.
New Order Single
User New Order Multileg
New Order Multileg
User Multileg Order Cancel
Replace Request
Multileg Order Cancel Replace
Request
44
Description
The New Order Single message is used by the
client to submit an order for single leg securities.
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6.1.3
Application Messages: Strategy Creation
Message
Type
Derivatives
Security Definition Request
c
X
The Security Definition Request message is
used to create a strategy on Eurex.
Security Definition
d
X
The Security Definition message is used to accept or reject the security defined in a Security
Definition message.
6.1.4
Cash
Description
Application Messages: Cross Request and Quote Request
Message
Type
Derivatives
Cash
Quote Request
R
X
X
The Quote Request message is used to request quotes from market makers. This message is commonly referred to as an Request
For Quote (RFQ).
Mass/Quote Acknowledgement
b
X
X
Mass/Quote Acknowledgement is used as the
application level response to a Quote Request.
Cross Request
U100
X
X
The Cross Request message is used by a
trader to announce a Cross Trade to the market. The request is used, if a trader intends to
trade with himself via order-book by sending a
buy and a sell order for the same instrument.
It is also used for prearranged trades between
two traders, where the trade should be reproduced via matching the orders in the orderbook.
Cross Request
Acknowledgement
U101
X
X
Cross Request Acknowledgement is used as
the application level response to a Cross Request.
6.1.5
Description
Application Messages: Trade Capture
Message
Type
Derivatives
Cash
User Trade Capture Report
UAE
X
X
The User Trade Capture Report message is
used to report trades and trade reversals. Only
for FIX 4.2.
AE
X
X
The Trade Capture Report message is used to
report trades and trade reversals. Only for FIX
4.4.
Trade Capture Report
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6.1.6
Application Messages: Others
Message
Type
Derivatives
Cash
User User Request
UBE
X
X
Each trader needs to logon/logoff to/from T7
system via the User User Request message.
Only for FIX 4.2.
BE
X
X
Each trader needs to logon/logoff to/from T7
system via the User Request message. Only for
FIX 4.4.
UBF
X
X
The User User Response message is used to
confirm or reject the trader logon/logoff. Only
for FIX 4.2.
User Response
BF
X
X
The User Response message is used to confirm or reject the trader logon/logoff. Only for
FIX 4.4.
User Notification
UCB
X
X
The User Notification message is used to:
- send information of an unsolicited trader logoff
- send information of legal notifications
h
X
X
The Trading Session Status message informs
about session related events.
User Party Risk Limits Update
Report
UCR
X
User Party Entitlements Update
Report
UCZ
X
X
User Party Entitlements Update Report. This
message communicates risk control events
related to the manual stop or release of trading
functionality. Events will be generated on the
Clearing back end and passed to the user by
the T7 back end.
User Party Action Report
UDI
X
X
User Party Action Report. This message communicates risk control events of type halttrading and re-instate. Events will be entered
via the T7 Admin GUI.
User Request
User User Response
Trading Session Status
Description
User Party Risk Limits Update Report. This
message communicates risk control events
related to the Advanced Risk Protection functionality of T7 in case of a risk limit breach or
release.
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6.2
Explanation of the Message Formats
The tables in the next chapters describe the formats of the different components and messages used in T7 FIX
Gateway.
Column headers:
“R”: will indicate the generic usage of tags and components with respect to the
requirements of the T7 FIX interface.
“D”: is the abbreviation for Derivatives. It will describe the usage of tags and
components for Derivatives.
“C”: is the abbreviation for Cash Market. It will describe the usage of tags and
components for Cash.
Content:
The content of the columns “R”, “D” and “C” will indicate if a tag or component is
mandatory (“Y”), optional (“N”), conditionally mandatory (“C”) or not used (shadowed cell) within the structure concerned.
“R” describes the generic usage in the T7 FIX interface and contains a summary
of the content of “D” and “C”. Example: “D” = “Y” and “C” = “N” –>“R” = “N”.
“Description” will contain specific description, format, valid values and further
explanatory remarks of a FIX field. Valid values are included in a table. This table
has the additional columns “D” and “C”. A checkmark (X) identifies that the valid
value is used for the specific system (Derivatives (“D”) or/and Cash Market (“C”)).
The following FIX elements are denoted as follows:
• FIX messages: message name (Message Type)
• FIX fields: field name (FIX tag)
• FIX components: <component block name>
• FIX repeating groups: <repeating group name>
• Occurrences in FIX repeating groups: <repeating group occurrence name>
Field formats are described with the standard FIX notation (e.g. Int, String, Boolean, Price, etc.).
For some fields additional information is added to describe length and format restrictions related to the T7 FIX
Gateway and the T7 Backend implementation. Those are not FIX data type definitions but more conventions of
writing and valid only for this document.
For example:
• String (128) means that the tag’s value will be a string with a maximum length of 128.
• Int (10) means that the tag’s value may have up to 10 significant digits (after leading zeroes have been
removed).
• Price (11.8) means that tag’s value is a price with up to 11 significant digits before the decimal point and at
most 8 decimal places.
• Qty (10.0) means that tag’s value is a quantity with up to 10 significant digits before the decimal point and
without significant decimal places.
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6.3.1
Message Header and Trailer
Message Header
Tag
Field Name
R
D
C
Description
8
BeginString
Y
Y
Y
String
Identifies beginning of new message and protocol version.
9
35
Value
Description
D
C
FIX.4.4
Version 4.4
X
X
FIX.4.2
Version 4.2
X
X
BodyLength
Y
Y
Y
Length
Message length, in bytes, forward to the CheckSum
field.
MsgType
Y
Y
Y
String
Defines the message type.
Always third field in message. Always unencrypted.
Note: A ’U’ as the first character in the MsgType field
(i.e. U, U2, etc) indicates that the message format is
privately defined between the sender and receiver.
The valid values for the supported message types are
defined in chapter 6.1 Overview of Supported Message Types.
34
MsgSeqNum
Y
Y
Y
SeqNum
Message sequence number.
43
PossDupFlag
N
N
N
Boolean
Indicates possible retransmission of message with this
sequence number.
Value
Description
D
C
N
Original transmission
X
X
Y
Possible duplicate
X
X
49
SenderCompID
Y
Y
Y
String
Assigned identifier of the party sending the message.
Will be ”EUREX” for T7 Derivatives and ”XETRA” for T7
Cash in messages sent to the client.
52
SendingTime
Y
Y
Y
UTC Timestamp
Time of message transmission. This field will be ignored
by the FIX Gateway.
56
TargetCompID
Y
Y
Y
String
Assigned identifier of the party receiving the message.
Will be ”EUREX” for T7 Derivatives and ”XETRA” for T7
Cash in messages sent by the client.
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Tag
Field Name
R
D
C
Description
97
PossResend
N
N
N
Boolean
Indicates that message may contain information that
has been sent under another sequence number.
Value
Description
D
C
N
Original transmission
X
X
Y
Possible Resend
X
X
122
OrigSendingTime
N
C
C
UTC timestamp
The FIX Gateway ignores the OrigSendingTime (122) in
all message types. Required if PossDupFlag (43) = ”Y”.
369
LastMsgSeqNumProcessed
N
N
N
SeqNum
The last MsgSeqNum (34) value received by the FIX engine and processed by downstream application, such as
trading engine or order routing system. Can be specified
on every message sent. Useful for detecting a backlog
with a counterparty.
6.3.2
Message Trailer
Tag
Field Name
R
D
C
Description
10
CheckSum
Y
Y
Y
String
Three byte, simple checksum.
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6.4
6.4.1
Administrative Messages
Session Logon
The Logon message allows the client to connect to the FIX Gateway. It is also used by the FIX Gateway to confirm
the logon.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’A’ = Logon
Y
Y
Y
Int
Method of encryption.
<Standard Header>
35
MsgType
<Message Body>
98
EncryptMethod
Value
Description
D
C
0
None/other
X
X
108
HeartBtInt
Y
Y
Y
Int
Heartbeat interval in seconds. The heartbeat interval
must be greater than zero.
141
ResetSeqNumFlag
N
N
N
Boolean
Indicates that the both sides of the FIX session should
reset sequence numbers.
Value
Description
D
C
N
No
X
X
Y
Yes, reset sequence
numbers
X
X
383
MaxMessageSize
N
N
N
Length
Maximum number of bytes supported for a single message.
This field will be ignored by the FIX Gateway.
464
TestMessageIndicator
N
N
N
Boolean
Indicates that this FIX session will be sending and receiving ”test” vs. ”production” messages.
This field is required in the messages sent to the FIX
Gateway.
Value
Description
D
C
N
False (Production)
X
X
Y
True (Simulation)
X
X
554
Password
N
N
N
String
Password.
This field is required in the messages sent to the FIX
Gateway.
789
NextExpectedMsgSeqNum
N
N
N
SeqNum
Next expected MsgSeqNum value to be received.
This field will be ignored by the FIX Gateway.
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Tag
Field Name
R
D
C
Description
925
NewPassword
N
N
N
String
New Password.
1408
DefaultCstmApplVerID
N
N
N
String (30)
Most recent version number of the T7 FIX Gateway
interface.
1600
FIXEngineName
N
N
N
String (30)
Provides the name of the infrastructure component
being used for session level communication. Normally
this would be the FIX Engine or FIX Gateway product
name.
This field is required in the messages sent to the FIX
Gateway.
1601
FIXEngineVersion
N
N
N
String (30)
Provides the version of the infrastructure component. It
will not be returned in the logon response.
This field is required in the messages sent to the FIX
Gateway.
1602
FIXEngineVendor
N
N
N
String (30)
Provides the name of the vendor providing the infrastructure component. It will not be returned in the logon
response.
This field is required in the messages sent to the FIX
Gateway.
1603
ApplicationSystemName
N
N
N
String (30)
Provides the name of the application system being
used to generate FIX application messages. This will
normally be a trading system, OMS, or EMS. It will not
be returned in the logon response.
This field is required in the messages sent to the FIX
Gateway.
1604
ApplicationSystemVersion
N
N
N
String (30)
Provides the version of the application system being
used to initiate FIX application messages. It will not be
returned in the logon response.
This field is required in the messages sent to the FIX
Gateway.
1605
ApplicationSystemVendor
N
N
N
String (30)
Provides the vendor of the application system. It will
not be returned in the logon response.
This field is required in the messages sent to the FIX
Gateway.
<Standard Trailer>
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6.4.2
Session Logout
The Logout message initiates or confirms the termination of a FIX session. It is also used by the FIX Gateway to
reject the FIX session logon.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’5’ = Logout
Text
N
N
N
String (128)
Message text.
SessionStatus
N
N
N
Int (1)
Session status.
<Standard Header>
35
MsgType
<Message Body>
58
1409
Value
Description
D
C
4
Session logout complete
X
X
5
Invalid user name or
password
X
X
<Standard Trailer>
6.4.3
Heartbeat
The Heartbeat message may be used by the client and the FIX Gateway to monitor the status of the communication
link during periods of inactivity.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’0’ = Heartbeat
N
C
C
String
Identifier included in Test Request message; required in
the Heartbeat message if the heartbeat is a response to
a Test Request.
<Standard Header>
35
MsgType
<Message Body>
112
TestReqID
<Standard Trailer>
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6.4.4
Test Request
The Test Request message is used to trigger a heartbeat message from the opposing application.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’1’ = Test Request
Y
Y
Y
String
Identifier included in Test Request message; required in
the Heartbeat message if the heartbeat is a response to
a Test Request.
<Standard Header>
35
MsgType
<Message Body>
112
TestReqID
<Standard Trailer>
6.4.5
Resend Request
The Resend Request is used by the client and the FIX Gateway to initiate the retransmission of messages in a
recovery scenario.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’2’ = Resend Request
BeginSeqNo
Y
Y
Y
SeqNum
Message sequence number of first message in range to
be resent.
EndSeqNo
Y
Y
Y
Seqnum
Message sequence number of last message in range to
be resent.
<Standard Header>
35
MsgType
<Message Body>
7
16
<Standard Trailer>
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6.4.6
Business Message Reject
The Business Message Reject message indicates that an application message has been rejected.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’j’ = Business Message Reject
<Standard Header>
35
MsgType
<Message Body>
45
RefSeqNum
Y
Y
Y
SeqNum
Reference message sequence number.
58
Text
N
N
N
String (128)
Error text.
372
RefMsgType
Y
Y
Y
String
The MsgType (35) of the FIX message being referenced.
379
BusinessRejectRefID
N
N
N
String (20)
Reference to the ClOrdID (11) of the client’s requestmessage that was rejected.
The field will be populated for responses to the order
requests.
380
BusinessRejectReason
Y
Y
Y
Int (1)
Code to identify reason for a Business Message Reject message.
Value
Description
D
C
0
Other
X
X
1
Unknown ID
X
X
3
Unsupported message type
X
X
4
Application not available
X
X
5
Conditionally required field
missing
X
X
6
Not authorized
X
X
25023
ReturnCode
Y
Y
Y
Int (10)
Unique error or event identification number.
25024
ReturnCodeSource
N
N
N
String (20)
Originating system component providing the return
code.
<Standard Trailer>
54
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
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6.4.7
Reject
The Reject message is used by the FIX Gateway when a message is received but cannot be properly processed
due to a session-level rule violation.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’3’ = Reject
<Standard Header>
35
MsgType
<Message Body>
45
RefSeqNum
Y
Y
Y
SeqNum
Reference message sequence number.
58
Text
N
N
N
String (128)
Error text.
371
RefTagID
N
N
N
Int
The tag number of the FIX field being referenced.
372
RefMsgType
Y
Y
Y
String
The MsgType (35) of the FIX message being referenced.
373
SessionRejectReason
N
N
N
Int (2)
Code to identify reason for a session-level Reject
message.
The valid values are defined in chapter 6.4.7.1 SessionRejectReason (373): List of Valid Values.
25023
ReturnCode
N
N
N
Int (10)
Unique error or event identification number.
25024
ReturnCodeSource
N
N
N
String (20)
Originating system component providing the return
code.
<Standard Trailer>
55
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
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6.4.7.1
SessionRejectReason (373): List of Valid Values
Value
Description
Derivatives
Cash
0
Invalid tag number
X
X
1
Required tag missing
X
X
2
Tag not defined for this message type
X
X
3
Undefined tag
X
X
4
Tag specified without value
X
X
5
Value is incorrect for this tag
X
X
6
Incorrect data format for value
X
X
7
Decryption problem
X
X
8
Signature problem
X
X
9
CompID Problem
X
X
10
Sending time accuracy problem
X
X
11
Invalid msgtype
X
X
12
XML Validation Error
X
X
13
Tag appears more than once
X
X
14
Tag specified out of required order
X
X
15
Repeating group fields out of order
X
X
16
Incorrect NumInGroup count for repeating group
X
X
17
Non data value includes field delimiter
X
X
18
Invalid/Unsupported Application Version
X
X
99
Other
X
X
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6.4.8
Sequence Reset
The Sequence Reset message has two modes: Gap Fill mode is used in response to a Resend Request when one
or more messages must be skipped over. Reset mode specifies an arbitrarily higher new sequence number after
an uncoverable application failure.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’4’ = Sequence Reset
<Standard Header>
35
MsgType
<Message Body>
36
NewSeqNo
Y
Y
Y
SeqNum
New sequence number.
123
GapFillFlag
N
N
N
Boolean
Indicates that the Sequence Reset message is replacing
administrative or application messages which will not be
resent.
Value
Description
D
C
N
Sequence Reset, Ignore Msg
Seq Num
X
X
Y
Gap Fill Message, Msg Seq
Num Field Valid
X
X
<Standard Trailer>
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6.5
Application Messages: Order Management
6.5.1
New Order Single
The New Order Single message is used by the client to submit an order for single leg securities.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’D’ = New Order Single Request
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<beneficiary>
N
N
<entering trader>
Y
Y
<location ID>
N
N
Location ID information.
Origin country code to identify the region from which
the transaction originates.
<order origination firm>
N
N
KRX or TAIFEX Member ID.
<position account>
N
N
Flexible account identifier.
<takeup firm>
N
N
Take-up trading firm information.
<Instrument>
Y
Y
Y
Security identification.
<TrdgSesGrp>
N
N
N
The Trading Session Group is used to identify an order for a special trading phase.
<PegInstructions>
N
C
Peg instructions for a trailing stop order.
<MtchgInst>
N
N
Matching Instructions for using the Self Match Prevention functionality.
<DisplayInstruction>
N
C
Display instruction is used for Iceberg Order.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
KRX or TAIFEX Beneficiary Account.
Y
Entering User ID.
end <Parties>
N
1
Account
N
N
11
ClOrdID
Y
Y
15
Currency
N
String (2)
Account.
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
Mandatory if SecurityIDSource (22) = 4 (ISIN) for
ISINs traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M
(Marketplace assigned identifier).
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Tag
18
21
Field Name
R
D
C
Description
ExecInst
N
N
C
Multiple Value String
Instructions for order management; all orders need
to be defined as either persistent or non-persistent.
An order may additionally be defined as a Book or
Cancel Order.
Note: in case of OrdType (40) = ”P” a value of ”a”
must be supplied.
HandlInst
Y
Y
Y
Value
Description
D
C
H
Reinstate on trading system
failure (persistent)
X
X
Q
Cancel on trading system
failure (non-persistent)
X
X
a
Trailing Stop Peg
6
Participate don’t initiate
(Book or cancel)
X
X
X
Char
Instructions for order management.
Only in FIX 4.2.
Value
Description
D
C
1
Automated execution order,
private, no Broker
intervention
X
X
38
OrderQty
Y
Y
Y
Qty (10.0)
Total Order Quantity.
40
OrdType
Y
Y
Y
Char
Order type.
Value
Description
D
C
1
Market
X
X
2
Limit
X
X
3
Stop
X
X
4
Stop limit
X
X
P
Pegged
X
44
Price
N
C
C
Price (11.8)
Limit price.
Required if OrdType (40) is Limit (2) or Stop Limit (4).
54
Side
Y
Y
Y
Char
Side of order.
59
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
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31 May 2017
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V3.0
. . . continued . . .
Tag
58
Field Name
R
D
C
Description
Text
N
N
N
String (12)
First free-format text field for trader-specific or
customer-related comments.
For T7 Derivatives:
Should not be used in conjunction with KRX Member, KRX Beneficiary Account, TAIFEX Member and
TAIFEX Beneficiary Account.
59
TimeInForce
N
N
60
TransactTime
Y
Y
77
PositionEffect
N
Y
99
N
Char
Execution and trading restriction parameters. Will be
defaulted to ”0” (Day) by the T7 Back End if missing.
Y
Value
Description
D
C
0
Day
X
X
1
Good till Cancel
X
X
3
Immediate or Cancel
X
X
4
Fill or Kill
6
Good till Date
X
X
X
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
Char
Field is used for Derivatives position management
purposes and indicates whether the order is submitted to open or close a position.
Value
Description
D
O
Open
X
C
Close
X
C
StopPx
N
C
C
Price (11.8)
Stop Price.
Required for Stop Market, Stop Limit and Trailing Stop
Orders.
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
432
ExpireDate
N
C
C
LocalMktDate
Date of order expiry.
Required if TimeInForce (59) = 6 (Good till Date).
60
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. . . continued . . .
Tag
Field Name
R
D
1031
CustOrderHandlingInst
N
N
1100
TriggerType
N
C
C
Description
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
C
Char
Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.
Value
Description
D
C
4
Price movement
X
X
1102
TriggerPrice
N
C
C
Price (11.8)
The price at which the trigger should hit.
1815
TradingCapacity
Y
Y
Y
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
2404
Value
Description
D
C
1
Customer (Agency)
X
X
5
Principal (Proprietary)
X
X
6
Market Maker
X
X
ComplianceText
N
N
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
25107
FreeText4
N
28710
PriceValidityCheckType
Y
Y
N
String (16)
Free-format text field for trader-specific or customer
related comments.
Y
Int (1)
Indicator how price validity check should be performed by the exchange.
<Standard Trailer>
61
Value
Description
D
C
0
None
X
X
1
Optional
X
2
Mandatory
X
X
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.5.2
New Order Multileg
The New Order Multileg message is provided to submit orders for securities that are made up of multiple securities,
known as ”legs”.
Tag
Field Name
R
D
C
Description
Y
Y
’UAB’ / ’AB’ = User / New Order Multileg
Y
Y
Party Information.
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<beneficiary>
N
N
KRX or TAIFEX Beneficiary Account.
<entering trader>
Y
Y
Entering User ID.
<location ID>
N
N
Location ID information.
Origin country code to identify the region from which
the transaction originates.
<order origination firm>
N
N
KRX or TAIFEX Member ID.
<position account>
N
N
Flexible account identifier.
<takeup firm>
N
N
Take-up trading firm information.
<Instrument>
Y
Y
Security identification.
<LegOrdGrp>
Y
Y
The group of leg is used to specify clearing attributes
for the legs of a Multileg Order.
<MtchgInst>
N
N
Matching Instructions for using the Self Match Prevention functionality.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
11
ClOrdID
Y
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
18
ExecInst
N
N
Multiple Value String
Instructions for order management; all orders need
to be defined as either persistent or non-persistent.
An order may additionally be defined as a Book or
Cancel Order.
38
OrderQty
Y
Y
Value
Description
D
H
Reinstate on trading system
failure (persistent)
X
Q
Cancel on trading system
failure (non-persistent)
X
6
Participate don’t initiate
(Book or cancel)
X
Qty (10.0)
Total Order Quantity.
62
C
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31 May 2017
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. . . continued . . .
Tag
40
Field Name
R
D
OrdType
Y
Y
C
Description
Char
Order type.
Value
Description
D
2
Limit
X
44
Price
Y
Y
Price (11.8)
Limit price.
54
Side
Y
Y
Char
Side of order.
58
Text
N
N
Value
Description
D
1
Buy
X
2
Sell
X
C
C
String (12)
First free-format text field for trader-specific or
customer-related comments.
For T7 Derivatives:
Should not be used in conjunction with KRX Member, KRX Beneficiary Account, TAIFEX Member and
TAIFEX Beneficiary Account.
59
TimeInForce
N
N
Char
Execution and trading restriction parameters.
Value
Description
D
0
Day
X
1
Good till Cancel
X
3
Immediate or Cancel
X
6
Good till Date
X
C
60
TransactTime
Y
Y
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
100
ExDestination
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
432
ExpireDate
N
C
LocalMktDate
Date of order expiry.
Required if TimeInForce (59) = 6 (Good till Date).
CustOrderHandlingInst
N
N
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
1031
63
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31 May 2017
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Tag
1815
2404
Field Name
R
D
TradingCapacity
Y
Y
C
Description
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
Value
Description
D
1
Customer (Agency)
X
5
Principal (Proprietary)
X
6
Market Maker
X
C
ComplianceText
N
N
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
28710
PriceValidityCheckType
Y
Y
Int (1)
Indicator how price validity check should be performed by the exchange.
<Standard Trailer>
64
Value
Description
D
0
None
X
1
Optional
X
2
Mandatory
X
C
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.5.3
Order Cancel Request
The Order Cancel Request is used to delete an existing order.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’F’ = Order Cancel Request
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
Y
Y
Y
Entering User ID.
Y
Y
Y
Security identification.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
<Instrument>
11
ClOrdID
Y
Y
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
37
OrderID
N
N
N
Int (20)
Exchange Order ID generated by the T7 System.
Will be ignored by the FIX Gateway.
38
OrderQty
Y
Y
Y
Qty (10.0)
Total Order Quantity.
Will be validated and then ignored.
41
OrigClOrdID
Y
Y
Y
String (20)
ClOrdID (11) of the last successfully processed task
(request) referring to the specific order; used for client
order ID chaining.
54
Side
Y
Y
Y
Char
Side of order.
Will be validated and then ignored.
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
60
TransactTime
Y
Y
Y
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
Will be validated and then ignored.
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
65
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31 May 2017
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V3.0
. . . continued . . .
Tag
30015
Field Name
R
UCurrency
N
D
C
Description
N
Currency
Currency used for price. The combination of an ISIN
with a defined currency will identify uniquely an instrument.
Mandatory if SecurityIDSource (22) = 4 (ISIN) for
ISINs traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M
(Marketplace assigned identifier).
<Standard Trailer>
66
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.5.4
Order Cancel/Replace Request
The Order Cancel Replace Request is used to modify an existing order.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’G’ = Order Cancel/Replace Request
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<beneficiary>
N
N
<entering trader>
Y
Y
<location ID>
N
N
Location ID information.
Origin country code to identify the region from which
the transaction originates.
<order origination firm>
N
N
KRX or TAIFEX Member ID.
<position account>
N
N
Flexible account identifier.
<takeup firm>
N
N
Take-up trading firm information.
<Instrument>
Y
Y
Y
Security identification.
<TrdgSesGrp>
N
N
N
The Trading Session Group is used to identify an order for a special trading phase.
<PegInstructions>
N
C
Peg instructions for a trailing stop order.
<MtchgInst>
N
N
Matching Instructions for using the Self Match Prevention functionality.
<DisplayInstruction>
N
C
Display instruction is used for Iceberg Order.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
KRX or TAIFEX Beneficiary Account.
Y
Entering User ID.
end <Parties>
N
1
Account
N
N
11
ClOrdID
Y
Y
15
Currency
N
String (2)
Account.
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
Mandatory if SecurityIDSource (22) = 4 (ISIN) for
ISINs traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M
(Marketplace assigned identifier).
67
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31 May 2017
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V3.0
. . . continued . . .
Tag
18
21
Field Name
R
D
C
Description
ExecInst
N
N
C
Multiple Value String
Instructions for order management; all orders need
to be defined as either persistent or non-persistent.
An order may additionally be defined as a Book or
Cancel Order.
Note: in case of OrdType (40) = ”P” a value of ”a”
must be supplied.
HandlInst
Y
Y
Y
Value
Description
D
C
H
Reinstate on trading system
failure (persistent)
X
X
Q
Cancel on trading system
failure (non-persistent)
X
X
a
Trailing Stop Peg
6
Participate don’t initiate
(Book or cancel)
X
X
X
Char
Instructions for order management.
Only in FIX 4.2.
Value
Description
D
C
1
Automated execution order,
private, no Broker
intervention
X
X
38
OrderQty
Y
Y
Y
Qty (10.0)
Total Order Quantity.
40
OrdType
Y
Y
Y
Char
Order type.
Value
Description
D
C
1
Market
X
X
2
Limit
X
X
3
Stop
X
X
4
Stop limit
X
X
P
Pegged
X
41
OrigClOrdID
Y
Y
Y
String (20)
ClOrdID (11) of the last successfully processed task
(request) referring to the specific order; used for client
order ID chaining.
44
Price
N
C
C
Price (11.8)
Limit price.
Required if OrdType (40) is Limit (2) or Stop Limit (4).
68
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31 May 2017
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V3.0
. . . continued . . .
Tag
54
58
Field Name
R
D
C
Description
Side
Y
Y
Y
Char
Side of order.
Text
N
N
N
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
String (12)
First free-format text field for trader-specific or
customer-related comments.
For T7 Derivatives:
Should not be used in conjunction with KRX Member, KRX Beneficiary Account, TAIFEX Member and
TAIFEX Beneficiary Account.
59
TimeInForce
N
N
60
TransactTime
Y
Y
77
PositionEffect
N
N
99
N
Char
Execution and trading restriction parameters.
Y
Value
Description
D
C
0
Day
X
X
1
Good till Cancel
X
X
3
Immediate or Cancel
X
X
4
Fill or Kill
6
Good till Date
X
X
X
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
Char
Field is used for Derivatives position management
purposes and indicates whether the order is submitted to open or close a position.
Value
Description
D
O
Open
X
C
Close
X
C
StopPx
N
C
C
Price (11.8)
Stop Price.
Required for Stop Market and Stop Limit Orders.
Optional for Trailing Stop Orders.
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
69
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31 May 2017
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V3.0
. . . continued . . .
Tag
Field Name
R
D
C
Description
432
ExpireDate
N
C
C
LocalMktDate
Date of order expiry.
Required if TimeInForce (59) = 6 (Good till Date).
1031
CustOrderHandlingInst
N
N
1100
TriggerType
N
C
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
C
Char
Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.
Value
Description
D
C
4
Price movement
X
X
1102
TriggerPrice
N
C
C
Price (11.8)
The price at which the trigger should hit.
1815
TradingCapacity
Y
Y
Y
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
2404
Value
Description
D
C
1
Customer (Agency)
X
X
5
Principal (Proprietary)
X
X
6
Market Maker
X
X
ComplianceText
N
N
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
25107
FreeText4
N
N
String (16)
Free-format text field for trader-specific or customer
related comments.
70
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31 May 2017
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V3.0
. . . continued . . .
Tag
28710
Field Name
R
D
C
Description
PriceValidityCheckType
Y
Y
Y
Int (1)
Indicator how price validity check should be performed by the exchange.
<Standard Trailer>
71
Value
Description
D
C
0
None
X
X
1
Optional
X
2
Mandatory
X
X
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.5.5
Multileg Order Cancel/Replace Request
The Multileg Order Cancel Replace Request is used to modify a multileg order (previously submitted using the New
Order Multileg messsage).
Tag
Field Name
R
D
C
Description
Y
Y
’UAC’ / ’AC’ = User / Multileg Order Cancel Replace
Y
Y
Party Information.
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<beneficiary>
N
N
KRX or TAIFEX Beneficiary Account.
<entering trader>
Y
Y
Entering User ID.
<location ID>
N
N
Location ID information.
Origin country code to identify the region from which
the transaction originates.
<order origination firm>
N
N
KRX or TAIFEX Member ID.
<position account>
N
N
Flexible account identifier.
<takeup firm>
N
N
Take-up trading firm information.
<Instrument>
Y
Y
Security identification.
<LegOrdGrp>
Y
Y
The group of leg is used to specify clearing attributes
for the legs of a Multileg Order.
<MtchgInst>
N
N
Matching Instructions for using the Self Match Prevention functionality.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
11
ClOrdID
Y
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
18
ExecInst
N
N
Multiple Value String
Instructions for order management; all orders need
to be defined as either persistent or non-persistent.
An order may additionally be defined as a Book or
Cancel Order.
38
OrderQty
Y
Y
Value
Description
D
H
Reinstate on trading system
failure (persistent)
X
Q
Cancel on trading system
failure (non-persistent)
X
6
Participate don’t initiate
(Book or cancel)
X
Qty (10.0)
Total Order Quantity.
72
C
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
. . . continued . . .
Tag
40
Field Name
R
D
OrdType
Y
Y
C
Description
Char
Order type.
Value
Description
D
2
Limit
X
C
41
OrigClOrdID
Y
Y
String (20)
ClOrdID (11) of the last successfully processed task
(request) referring to the specific order; used for client
order ID chaining.
44
Price
Y
Y
Price (11.8)
Limit price.
54
Side
Y
Y
Char
Side of order.
58
Text
N
N
Value
Description
D
1
Buy
X
2
Sell
X
C
String (12)
First free-format text field for trader-specific or
customer-related comments.
For T7 Derivatives:
Should not be used in conjunction with KRX Member, KRX Beneficiary Account, TAIFEX Member and
TAIFEX Beneficiary Account.
59
TimeInForce
N
N
Char
Execution and trading restriction parameters.
Value
Description
D
0
Day
X
1
Good till Cancel
X
3
Immediate or Cancel
X
6
Good till Date
X
C
60
TransactTime
Y
Y
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
100
ExDestination
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
73
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31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
. . . continued . . .
Tag
Field Name
R
D
432
ExpireDate
N
C
LocalMktDate
Date of order expiry.
Required if TimeInForce (59) = 6 (Good till Date).
1031
CustOrderHandlingInst
N
N
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
1815
TradingCapacity
Y
Y
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
2404
C
Description
Value
Description
D
1
Customer (Agency)
X
5
Principal (Proprietary)
X
6
Market Maker
X
C
ComplianceText
N
N
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
28710
PriceValidityCheckType
Y
Y
Int (1)
Indicator how price validity check should be performed by the exchange.
<Standard Trailer>
74
Value
Description
D
0
None
X
1
Optional
X
2
Mandatory
X
C
T7 FIX Gateway
31 May 2017
T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4)
V3.0
6.5.6
Execution Report
The Execution Report message is used to confirm the receipt of an order, confirm changes to an existing order,
transmit all active orders, relay fill information, reject orders.
If a field not supported for the market type (Derivatives, Cash) is entered in the FIX Request, the field will be
sent back in the reject Execution Report. This means that reject Execution Reports can contain fields documented
as not supported for the specific market type.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’8’ = Execution Report
N
N
N
Party Information.
N
N
N
NumInGroup
Number of parties involved. Only in FIX 4.4.
<beneficiary>
N
N
<entering firm>
N
N
N
Entering Entity ID.
1 = (Participant), 2 = (Market Supervision)
<entering trader>
N
N
N
Entering User ID.
<executing trader>
N
N
N
Owning User ID.
<executing unit>
N
N
N
Executing unit information.
<location ID>
N
N
Location ID information.
Origin country code to identify the region from which
the transaction originates.
<order origination firm>
N
N
KRX or TAIFEX Member ID.
<position account>
N
N
Flexible account identifier.
<session ID>
N
N
<takeup firm>
N
N
<Instrument>
Y
Y
<InstrmtLegExecGrp>
N
C
<DisplayInstruction>
N
C
Display instruction is used for Iceberg Order.
<PegInstructions>
N
C
Peg instructions for a trailing stop order.
<MtchgInst>
N
N
N
Matching Instructions for using the Self Match Prevention functionality.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
KRX or TAIFEX Beneficiary Account.
N
Executing session; information provided in case of
unsolicited events and for the Drop Copy service.
Take-up trading firm information.
end <Parties>
1
Account
N
N
6
AvgPx
Y
Y
Y
Security identification.
The Executed Order Leg Group contains the fill information for each leg of a Multileg Order.
String (2)
Account.
Y
Price (11.8)
Average Price information is not calculated; value of
zero will be returned.
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Tag
Field Name
R
D
C
Description
11
ClOrdID
N
N
N
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
14
CumQty
Y
Y
Y
Qty (10.0)
Cumulated executed quantity of an order.
15
Currency
N
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
Will be copied from the FIX request or from the instrument data if the FIX request does not contain the
currency but the ISIN was used in the FIX request.
17
ExecID
Y
Y
Y
String (80)
Unique ID of the execution report message within the
context of business day and session.
Will be generated by the FIX Gateway.
The field provides a unique identifier and can be used
for the identification of duplicate order messages.
18
ExecInst
N
N
N
Multiple Value String
Instructions for order management; all orders need
to be defined as either persistent or non-persistent.
An order may additionally be defined as a Book or
Cancel Order.
20
21
ExecTransType
HandlInst
Y
N
Y
N
Y
Value
Description
D
C
H
Reinstate on trading system
failure (persistent)
X
X
Q
Cancel on trading system
failure (non-persistent)
X
X
a
Trailing Stop Peg
6
Participate don’t initiate
(Book or cancel)
X
X
X
Char
Identifies transaction type.
Only in FIX 4.2.
N
Value
Description
D
C
0
New
X
X
Char
Instructions for order management.
Only in FIX 4.2.
76
Value
Description
D
C
1
Automated execution order,
private, no Broker
intervention
X
X
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Tag
Field Name
R
D
C
Description
31
LastPx
N
N
N
Price (11.8)
Price of this fill.
32
LastQty
N
N
N
Qty (10.0)
Quantity executed in this fill.
37
OrderID
Y
Y
Y
String
Exchange Order ID generated by the T7 System (Int
(20)) or ”[N/A]”.
38
OrderQty
Y
Y
Y
Qty (10.0)
Total Order Quantity.
39
OrdStatus
Y
Y
Y
Char
Conveys the current status of an order.
40
OrdType
N
N
N
Value
Description
D
C
0
New
X
X
1
Partially filled
X
X
2
Filled
X
X
4
Canceled
X
X
6
Pending cancel
X
X
8
Rejected
X
X
9
Suspended
X
X
A
Pending new
X
X
E
Pending replace
X
X
Value
Description
D
C
1
Market
X
X
2
Limit
X
X
3
Stop
X
X
4
Stop limit
X
X
P
Pegged
Char
Order type.
X
41
OrigClOrdID
N
N
N
String (20)
ClOrdID (11) of the last successfully processed task
(request) referring to the specific order; used for client
order ID chaining. Will not be delivered for drop copy
for orders.
44
Price
N
C
C
Price (11.8)
Limit price.
Required if OrdType (40) is Limit (2) or Stop Limit (4).
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Tag
54
Field Name
R
D
C
Description
Side
Y
Y
Y
Char
Side of order.
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
58
Text
N
N
N
String (12)
First free-format text field for trader-specific or customer related comments.
59
TimeInForce
N
N
N
Char
Execution and trading restriction parameters.
77
99
100
PositionEffect
N
N
Value
Description
D
C
0
Day
X
X
1
Good till Cancel
X
X
3
Immediate or Cancel
X
X
4
Fill or Kill
6
Good till Date
X
X
X
Char
Field is used for Derivatives position management
purposes and indicates whether the order is submitted to open or close a position.
Value
Description
D
O
Open
X
C
Close
X
C
StopPx
N
C
C
Price (11.8)
Stop Price.
Required for Stop Market and Stop Limit Orders.
Optional for Trailing Stop Orders.
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
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Tag
Field Name
R
D
C
Description
150
ExecType
Y
Y
Y
Char
The reason why this message was generated.
- ExecType (150) = ”1” (Partial fill) and ”2” (Fill) are
defined only in FIX 4.2.
- ExecType (150) = ”F” (Trade) is defined only in FIX
4.4.
Value
Description
D
C
0
New
X
X
1
Partial fill
X
X
2
Fill
X
X
4
Canceled
X
X
5
Replace
X
X
6
Pending cancel
X
X
8
Rejected
X
X
9
Suspended
X
X
A
Pending new
X
X
D
Restated
X
X
E
Pending replace
X
X
F
Trade
X
X
L
Triggered by system
X
X
151
LeavesQty
Y
Y
Y
Qty (10.0)
Remaining quantity of an order.
If the order has been executed partially this field contains the non-executed quantity. A remaining size of 0
indicates that the order is fully matched or no longer
active.
336
TradingSessionID
N
N
N
String (1)
Identifier for trading session.
378
ExecRestatementReason
N
N
N
Value
Description
D
C
1
Day
X
X
Int (3)
Code to further qualify the field ExecType (150) of the
ExecutionReport (8) message.
The valid values are defined in chapter 6.5.6.1 ExecRestatementReason (378): List of Valid Values.
432
ExpireDate
N
C
C
LocalMktDate
Date of order expiry.
Required if TimeInForce (59) = 6 (Good till Date).
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Tag
Field Name
R
D
C
Description
527
SecondaryExecID
N
N
N
Int (10)
Private identifier of an order match event, which can
be reconciled with the field SideTradeID (1506) in the
TradeCaptureReport (UAE/AE).
625
TradingSessionSubID
N
C
C
String (1)
This field marks orders for a special trading phase.
851
880
LastLiquidityInd
N
C
TrdMatchID
N
N
1031
CustOrderHandlingInst
N
N
1100
TriggerType
N
C
1102
TriggerPrice
N
C
N
Value
Description
2
Opening or opening auction
4
Closing or closing auction
8
Auction only
D
C
X
X
X
X
Int (1)
Indicates whether the order added or removed liquidity. Required only for execution reports generated for
fills.
N
Value
Description
D
C
1
Add Liquidity
X
X
2
Removed Liquidity
X
X
5
Triggered Stop Order
X
X
6
Triggered
One-cancels-the-other Order
X
X
7
Triggered Market Order
X
X
Int (10)
Unique identifier for each price level (match step) of a
match event (used for public trade reporting).
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
C
Char
Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.
C
Value
Description
D
C
4
Price movement
X
X
Price (11.8)
The price at which the trigger should hit.
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Tag
1815
1823
2404
Field Name
R
D
C
Description
TradingCapacity
N
N
N
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
Triggered
N
N
N
Value
Description
D
C
1
Customer (Agency)
X
X
5
Principal (Proprietary)
X
X
6
Market Maker
X
X
Int (1)
Indicates if an order has been previously triggered.
Value
Description
D
C
0
Not triggered (Default)
X
X
1
Triggered
X
X
ComplianceText
N
N
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
25107
FreeText4
N
25023
ReturnCode
N
25024
ReturnCodeSource
N
N
String (16)
Free-format text field for trader-specific or customer
related comments.
N
N
Int (10)
Unique error or event identification number.
N
N
String (20)
Originating system component providing the return
code.
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
X
X
TRADING Trading system
SYSTEM
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Tag
Field Name
R
D
C
Description
25025
ReturnCodeText
N
N
N
String (2000)
Text explaining the return code.
25108
OrderIDSfx
N
N
Int (10)
Order identification suffix generated by the T7 system.
An increase of the peak or overall quantity leads to a
new timestamp, loosing time priority and the assignment of a new order id suffix, whereas a reduction
maintains the original timestamp and order id suffix.
28710
PriceValidityCheckType
N
N
Int (1)
Indicator how price validity check should be performed by the exchange.
Will be copied from the request.
28745
30060
Crossed
UTransactTime
N
N
N
N
N
N
Value
Description
D
C
0
None
X
X
1
Optional
X
2
Mandatory
X
X
Int (1)
Indicator will be delivered in case of deletion or modification due to Self Match Prevention.
N
Value
Description
D
C
1
Cross rejected
X
X
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
<Standard Trailer>
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6.5.6.1
ExecRestatementReason (378): List of Valid Values
Value
Description
Derivatives
Cash
0
GT corporate action
1
GT renewal / restatement (no corporate action, order book restatement)
8
Exchange Option
100
Unknown Order State
X
X
101
Order Added
X
X
102
Order Replaced
X
X
103
Order Canceled
X
X
105
Immediate or Cancel Order Canceled
X
X
107
FOK Order canceled
X
122
Instrument State Change
X
135
Market Order Triggered
146
End of Day Processing
X
148
Order Expiration
X
149
Closing Auction Only Order Activated
X
X
150
Closing Auction Only Order Inactivated
X
X
151
OAO Order activated
X
152
OAO Order inactivated
X
153
AAO Order activated
X
154
AAO Order inactivated
X
155
Order Refreshed
X
164
One-cancels-the-other Order Triggered
X
X
172
Stop Order Triggered
X
X
181
Ownership Changed
X
X
197
Order Cancellation Pending
X
X
199
Pending Cancellation Executed
X
X
212
Book Or Cancel Order Canceled
X
X
213
Trailing Stop Update
X
237
Exceeds maximum quantity
X
238
Invalid Limit Price
X
241
User does not exist
X
242
Session does not exist
X
243
Invalid Stop Price
X
X
X
X
X
X
83
X
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Value
Description
Derivatives
244
Marked For Deletion
X
245
Instrument does not exist
X
246
Business Unit Risk Event
X
257
Initial Cleanup
X
292
Dividend Payment
X
294
Last Trading Day
X
295
Trading Parameter Change
X
296
Currency Change
X
297
Product Assignment Change
X
298
Reference Price Change
X
84
Cash
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6.5.7
Order Cancel Reject
The Order Cancel Reject message indicates that an Order Cancel Request, Order Cancel Replace Request or
Multileg Order Cancel Replace Request has been rejected.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’9’ = Order Cancel Reject
<Standard Header>
35
MsgType
<Message Body>
11
ClOrdID
Y
Y
Y
String (20)
Unique customer defined order request identifier (20
characters or less, ASCII range 32 - 126).
37
OrderID
Y
Y
Y
String
Exchange Order ID generated by the T7 System (Int
(20)) or OrderID (37) from FIX request.
39
OrdStatus
Y
Y
Y
Char
Conveys the current status of an order.
41
Value
Description
D
C
8
Rejected
X
X
OrigClOrdID
Y
Y
Y
String (20)
ClOrdID (11) of the last successfully processed task
(request) referring to the specific order; used for client
order ID chaining.
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
102
CxlRejReason
Y
Y
Y
Int (2)
Code to identify reason for cancel rejection.
434
25023
CxlRejResponseTo
ReturnCode
Y
Y
Y
Y
Y
Value
Description
D
C
0
Too late to cancel
X
X
99
Other
X
X
Char
Identifies the type of request that a Cancel Reject is
in response to.
Y
Value
Description
D
C
1
Order Cancel Request
X
X
2
Order Cancel/Replace
Request
X
X
Int (10)
Unique error or event identification number.
85
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Tag
25024
Field Name
R
D
C
Description
ReturnCodeSource
Y
Y
Y
String (20)
Originating system component providing the return
code.
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
X
X
TRADING Trading system
SYSTEM
25025
ReturnCodeText
Y
Y
Y
String (2000)
Text explaining the return code.
30060
UTransactTime
N
N
N
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
<Standard Trailer>
86
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6.5.8
Order Mass Action Report
This message informs about unsolicited mass cancellation events.
For more details, please refer to chapter 3.7.13 Mass Cancellation Notification.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UBZ’ = User order mass action report
N
N
N
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<entering firm>
N
N
N
Entering Entity ID.
1 = (Participant), 2 = (Market Supervision)
<entering trader>
N
N
N
Entering User ID.
<executing trader>
N
N
N
Trader identification.
<session ID>
N
N
N
Executing session; information provided in case of
unsolicited events and for the Drop Copy service.
<Instrument>
Y
Y
Y
Security identification.
<NotAffectedOrdersGrp>
N
N
N
The group of not affected orders informs about orders
in status ”pending delete” due to a mass cancellation
event. These are orders that couldn’t be canceled
due to an incompatible instrument state.
<AffectedOrdersGrp>
N
N
The group of affected orders informs about persistent
orders that were deleted due to a mass cancellation
event.
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
15
Currency
N
44
Price
N
N
N
Price (11.8)
Limit price.
54
Side
N
N
N
Char
Side of order.
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
1301
MarketID
N
N
N
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1369
MassActionReportID
Y
Y
Y
Int (20)
Transaction timestamp.
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Tag
28721
30018
30893
Field Name
R
D
C
Description
MassActionReason
Y
Y
Y
Int
Reason for mass cancellation.
UExecInst
ULastFragment
N
Y
N
Y
N
Value
Description
D
C
0
No special reason
X
X
1
Stop Trading
X
X
2
Emergency
X
X
3
Market Maker Protection
X
X
6
Session loss
X
X
7
Duplicate Session Login
X
X
8
Clearing Risk Control
X
X
105
Product State Halt
X
X
106
Product State Holiday
X
X
107
Instrument Suspension
X
X
109
Strategy Cancellation
X
110
Circuit Breaker (Volatility
Interrupt)
X
X
111
Product temporarily not
tradeable
X
X
113
Instrument Stopped
X
Multiple Value String
Cancellation scope for orders. Quotes are always
canceled by mass cancellation events.
Y
Value
Description
D
C
H
Reinstate on trading system
failure (persistent)
X
X
Q
Cancel on trading system
failure (non-persistent)
X
X
HQ
Persistent and non-persistent
orders
X
X
Boolean
Indicates whether this message is the last in a sequence of messages.
<Standard Trailer>
88
Value
Description
D
C
N
Not last message
X
X
Y
Last message
X
X
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6.5.9
Order Mass Action Request
The User Order Mass Action Request (UCA) will allow the deletion of multiple orders based on different filter criteria.
For more details, please refer to chapter 3.12 Mass Deletion Request.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UCA’ = User order mass action request
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
Y
Y
Y
Entering User ID.
N
N
N
Target party information.
Y
Y
Y
NumInGroup
Identifies the number of target parties identified in a
mass action. Only in FIX 4.4.
N
N
N
Target executing trader information.
Y
Y
Y
Security identification.
Y
Y
String
ClOrdID handling will be completely within the responsability of the customer. The FGW will simply
echo back the content.
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
<TargetParties>
1461
NoTargetPartyIDs
<target executing trader>
end <TargetParties>
<Instrument>
11
ClOrdID
Y
15
Currency
N
Mandatory if SecurityIDSource (22) = 4 (ISIN) for
ISINs traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M
(Marketplace assigned identifier).
44
Price
N
N
N
Price (11.8)
Limit price.
54
Side
N
N
N
Char
Side of order.
60
TransactTime
Y
Y
Y
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
UTC Timestamp
Transaction time.
This field will be ignored in all messages sent to the
FIX Gateway.
89
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. . . continued . . .
Tag
Field Name
R
D
C
Description
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
MassActionType
Y
Y
Y
Int (1)
Specifies the type of action requested.
1373
1374
30100
MassActionScope
UExDestination
Y
Y
Y
Y
Y
Value
Description
D
C
3
Cancel orders
X
X
Int (1)
Specifies scope of Order Mass Action Request.
Y
Value
Description
D
C
1
All orders for a security
X
X
9
All orders for a market
segment (or multiple
segments)
X
X
Exchange
Market Identifier code of the trading market according
to ISO 10383.
<Standard Trailer>
90
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6.5.10
Order Mass Action Response
Response to a User Order Mass Action Request (UCA).
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UCAR’ = User order mass action response
N
N
N
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
N
N
N
Entering User ID.
N
N
N
Target party information.
Y
Y
Y
NumInGroup
Identifies the number of target parties identified in a
mass action. Only in FIX 4.4.
N
N
N
Target executing trader information.
<Instrument>
Y
Y
Y
Security identification.
<NotAffectedOrdersGrp>
N
N
N
The group of not affected orders informs about orders
in status ”pending delete” due to a mass cancellation
event. These are orders that couldn’t be canceled
due to an incompatible instrument state.
<AffectedOrdersGrp>
N
N
The group of affected orders informs about persistent
orders that were deleted due to a mass cancellation
event.
N
String
Unique customer defined order request identifier.
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
<TargetParties>
1461
NoTargetPartyIDs
<target executing trader>
end <TargetParties>
11
ClOrdID
N
15
Currency
N
N
Will be copied from the request.
44
Price
N
N
N
Price (11.8)
Limit price.
54
Side
N
N
N
Char
Side of order.
1369
MassActionReportID
Y
Y
Y
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
Int (20)
Transaction timestamp.
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Tag
1373
1374
1375
1376
Field Name
R
D
C
Description
MassActionType
Y
Y
Y
Int (1)
Specifies the type of action requested.
MassActionScope
MassActionResponse
MassActionRejectReason
Y
Y
N
Y
Y
N
Y
Value
Description
D
C
3
Cancel orders
X
X
Int (1)
Specifies scope of Order Mass Action Request.
Y
Value
Description
D
C
1
All orders for a security
X
X
9
All orders for a market
segment (or multiple
segments)
X
X
Int (1)
Specifies the action taken by counterparty order management system as a result of the action type indicated in MassActionType of the Order Mass Action
Request.
N
Value
Description
D
C
0
Rejected
X
X
1
Accepted
X
X
2
Completed
X
X
Int (2)
Reason Order Mass Action Request was rejected.
Value
Description
D
C
99
Other
X
X
25023
ReturnCode
N
N
N
Int (10)
Unique error or event identification number.
25024
ReturnCodeSource
N
N
N
String (20)
Originating system component providing the return
code.
Value
Description
TRADING Trading system
SYSTEM
D
C
X
X
25025
ReturnCodeText
N
N
N
String (2000)
Text explaining the return code.
30100
UExDestination
N
N
N
Exchange
Market Identifier code of the trading market according
to ISO 10383.
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Tag
30893
Field Name
R
D
C
Description
ULastFragment
Y
Y
Y
Boolean
Indicates whether this message is the last in a sequence of messages.
<Standard Trailer>
93
Value
Description
D
C
N
Not last message
X
X
Y
Last message
X
X
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6.6
6.6.1
Application Messages: Strategy Creation
Security Definition Request
The Security Definition Request message is used to create a strategy on T7.
Tag
Field Name
R
D
C
Description
Y
Y
’c’ = Security Definition Request
Y
Y
Party Information.
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
Y
Y
Entering User ID.
<Instrument>
Y
Y
Security identification.
<InstrmtLegGrp>
Y
Y
The group of instrument leg is used for the creation of
a Eurex strategy.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
320
SecurityReqID
Y
Y
String
Unique ID of a Security Definition Request.
321
SecurityRequestType
Y
Y
String (1)
Type of security definition request.
376
Value
Description
D
6
Product
X
C
ComplianceID
N
N
Int (20)
Numeric identifier for trading algorithms required by the
German High-frequency Trading Act.
1301
MarketID
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
2404
ComplianceText
N
N
String (20)
This field is used to provide additional compliance information (according to respective rules and regs, circulars and/or bilateral coordination between participant
and Trading Surveillance).
<Standard Trailer>
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6.6.2
Security Definition Response
The Security Definition message is used to accept or reject the security defined in a Security Definition message.
Tag
Field Name
R
D
C
Description
Y
Y
’d’ = Security Definition
Y
Y
Party Information.
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
Y
Y
Entering User ID.
<Instrument>
Y
Y
Security identification.
<InstrmtLegGrp>
Y
Y
The group of instrument leg is used for the creation of
a Eurex strategy.
<MarketSegmentGrp>
Y
Y
The group of market segment provides security definition for the market segment that the security participates in.
Text
N
N
String (2000)
Error text.
320
SecurityReqID
Y
Y
String
Unique ID of a Security Definition Request.
322
SecurityResponseID
Y
Y
String (20)
Identifier for the security definition message.
323
SecurityResponseType
Y
Y
String (1)
Type of security definition message response.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
58
1607
25024
Value
Description
D
2
Accept security proposal
with revisions as indicated in
the message
X
5
Reject security proposal
X
C
SecurityRejectReason
N
N
Int
Identifies the reason a security definition request is
being rejected.
ReturnCodeSource
N
N
String (20)
Originating system component providing the return
code.
Value
Description
TRADING Trading system
SYSTEM
95
D
X
C
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Tag
28614
Field Name
R
D
NumberOfSecurities
Y
Y
C
Description
Int (10)
Number of strategies that have been created per session, product and business day.
<Standard Trailer>
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6.7
Application Messages: Quote Request and Cross Request
6.7.1
Quote Request
The Quote Request message is used to request quotes from market makers. This message is commonly referred
to as an Request For Quote (RFQ).
Tag
Field Name
R
D
C
Description
Y
Y
Y
’R’ = Quote Request
Y
Y
Y
The group of quote request provides details of the
quote request.
<Standard Header>
35
MsgType
<Message Body>
<QuoteReqGrp>
131
QuoteReqID
Y
Y
Y
String
Unique identifier for quote request.
Uniqueness will be completely within the user’s responsibility.
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
2404
ComplianceText
N
N
30100
UExDestination
Y
Y
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
Y
Exchange
Market Identifier code of the trading market according
to ISO 10383.
<Standard Trailer>
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6.7.2
Mass Quote Acknowledgement
The Mass Quote Acknowledgement is used as the application level response to a Quote Request.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’b’ = Mass Quote Acknowledgement
Text
N
N
N
String (2000)
Error text.
131
QuoteReqID
Y
Y
Y
String
Unique identifier for quote request.
Uniqueness will be completely within the user’s responsibility.
297
QuoteStatus
Y
Y
Y
Int (1)
Identifies the status of the quote acknowledgement.
Note: in FIX 4.2 the name of this field is QuoteAckStatus.
<Standard Header>
35
MsgType
<Message Body>
58
Value
Description
D
C
0
Accepted
X
X
5
Rejected
X
X
25023
ReturnCode
N
N
N
Int (10)
Unique error or event identification number.
25024
ReturnCodeSource
N
N
N
String (20)
Originating system component providing the return
code.
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
X
X
TRADING Trading system
SYSTEM
30060
UTransactTime
Y
Y
Y
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
30100
UExDestination
N
N
N
Exchange
Market Identifier code of the trading market according
to ISO 10383.
<Standard Trailer>
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6.7.3
Cross Request
The Cross Request message is used by a trader to announce a Cross Trade to the market. The request is used, if
a trader intends to trade with himself via order-book by sending a buy and a sell order for the same instrument. It
is also used for prearranged trades between two traders, where the trade should be reproduced via matching the
orders in the order-book.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’U100’ = Cross Request
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
Y
Y
Y
Entering User ID.
Y
Y
Y
Security identification.
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
<entering trader>
end <Parties>
<Instrument>
15
Currency
N
Mandatory if SecurityIDSource (22) = 4 (ISIN) for
ISINs traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M
(Marketplace assigned identifier).
38
OrderQty
Y
Y
Y
Qty (10.0)
Total Order Quantity.
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
376
ComplianceID
N
N
N
Int (20)
Numeric identifier for trading algorithms required by
the German High-frequency Trading Act.
ComplianceText
N
N
CrossReqID
Y
Y
2404
25100
String (20)
This field is used to provide additional compliance
information (according to respective rules and regs,
circulars and/or bilateral coordination between participant and Trading Surveillance).
Y
String
Unique identifier for cross request.
Uniqueness will be completely within the user’s responsibility.
<Standard Trailer>
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6.7.4
Cross Request Acknowledgement
Cross Request Acknowledgment is used as the application level response to a Cross Request.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’U101’ = Cross Request Acknowledge
Text
N
N
N
String (2000)
Error text.
25023
ReturnCode
N
N
N
Int (10)
Unique error or event identification number.
25024
ReturnCodeSource
N
N
N
String (20)
Originating system component providing the return
code.
<Standard Header>
35
MsgType
<Message Body>
58
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
X
X
TRADING Trading system
SYSTEM
25100
CrossReqID
Y
Y
Y
String
Unique identifier for cross request.
Uniqueness will be completely within the user’s responsibility.
Will be copied from the request.
25101
CrossReqAckStatus
Y
Y
Y
Int
Identifies the status of the cross request.
Value
Description
D
C
0
Accepted
X
X
1
Rejected
X
X
30060
UTransactTime
Y
Y
Y
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
30100
UExDestination
N
N
N
Exchange
Market Identifier code of the trading market according
to ISO 10383.
<Standard Trailer>
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6.8
Application Messages: Trade Capture
In field ClOrdID (11) the Client Order ID of the T7 Enhanced Trading Interface (ETI) is provided. For reconciliation
of orders with trades the T7 System Order ID should be used instead: OrderID (37).
6.8.1
Trade Capture Report
The Trade Capture Report message is used to report T7 ”on-book” trades and trade reversals.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UAE’ / ’AE’ = User / Trade Capture Report
<Instrument>
Y
Y
Y
Security identification.
<TrdCapRptSideGrp>
Y
Y
Y
Side-specific information items of a trade capture
report message.
Y
Y
Y
NumInGroup
Number of trade sides.
Y
Y
Y
Side 1 information.
Y
Y
Y
Char
Side of trade.
<Standard Header>
35
MsgType
<Message Body>
552
NoSides
<side1>
54
Side
1009
SideLastQty
N
N
1506
SideTradeID
Y
Y
1005
SideTradeReportID
N
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
Qty (10.0)
Fill quantity for the original Eurex strategy.
Y
Int (10)
Private trade identifier of an order or quote match
event.
Y
Int (10)
Reference to a transaction identifier for billateral
trades generated by the T7 system.
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties delivered within the party component block. Some of the parties are delivered as
separate fields.
<tcr beneficiary>
N
N
<tcr clearing firm>
Y
Y
<tcr clearing organization>
N
Y
<tcr executing firm>
Y
Y
<tcr executing firm kvno>
N
<tcr executing trader>
Y
<Parties>
453
NoPartyIDs
Y
KRX or TAIFEX Beneficiary Account.
Y
Clearing member identification.
Clearing House Short Name.
Y
Executing firm information.
Y
Executing firm information (Kassenverein number).
Y
Executing trader information.
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Tag
Field Name
R
D
C
Description
<tcr executing unit>
Y
Y
Y
Executing unit information.
<tcr order origination firm>
N
N
KRX or TAIFEX Member ID.
<tcr position account>
N
N
Flexible account identifier.
<tcr session ID>
N
N
<tcr takeup firm>
N
N
<tcr settlement account>
N
Y
Settlement Account.
<tcr settlement location>
N
Y
Settlement location information.
N
Session ID.
Take-up trading firm information.
The valid values are defined in chapter 6.8.1.1 Settlement Location: List of Valid Values.
<tcr settlement firm>
N
<tcr clearing unit>
Y
<tcr settlement unit>
N
Y
Y
Settlement Firm.
Y
Party ID Clearing Unit.
Y
Party ID Settlement Unit.
N
String (2)
Account.
end <Parties>
1
Account
N
119
SettlCurrAmt
N
Y
Amt (11.8)
Total amount due expressed in settlement currency.
155
SettlCurrFxRate
N
N
Float (11.8)
Foreign exchange rate used to compute SettlCurrAmt
(119) from Currency (15) to SettlCurrency (120).
Text
N
N
String (12)
First free-format text field for trader-specific or
customer-related comments.
58
N
N
For T7 Derivatives:
Should not be used in conjunction with KRX Member, KRX Beneficiary Account, TAIFEX Member and
TAIFEX Beneficiary Account.
1115
OrderCategory
N
N
N
Char
Indicates if the trade notification results from an order
or quote.
102
Value
Description
D
C
1
Order
X
X
2
Quote
X
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Tag
1444
1851
Field Name
R
D
C
Description
SideLiquidityInd
N
N
N
Int (1)
Indicates whether the order added or removed liquidity.
Value
Description
D
C
1
Added Liquidity (passive)
X
X
2
Removed Liquidity
(aggressive)
X
X
4
Auction (neither passive nor
aggressive)
X
X
StrategyLinkID
N
C
37
OrderID
N
N
N
Int (20)
Exchange Order ID generated by the T7 System.
Will not be delivered for trade reversals.
11
ClOrdID
N
N
N
Int (20)
Unique identifier of the order.
The Client Order ID of the T7 Enhanced Trading Interface (ETI) is provided.
40
OrdType
N
N
N
Char
Order type.
1031
Int (10)
Identifier that links all trades resulting from a match
event of a strategy order.
Value
Description
D
C
1
Market
X
X
2
Limit
X
X
CustOrderHandlingInst
N
N
Char
Rate identifier in accordance with the FIA guidelines
(No validation).
25008
FreeText2
N
N
String (12)
Second free-format text field for trader-specific or
customer-related comments.
25009
FreeText3
N
N
String (12)
Third free-format text field for trader-specific or
customer-related comments. Should not be used in
conjunction with TAIFEX Member and TAIFEX Beneficiary Account.
25107
FreeText4
N
N
String (16)
Free-format text field for trader-specific or customer
related comments.
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Tag
Field Name
R
25108
OrderIDSfx
N
28585
SideLastPx
N
N
30044
UPrice
N
N
N
Price (11.8)
Limit price.
30151
ULeavesQty
N
N
N
Qty (10.0)
Remaining quantity of an order.
If the order has been executed partially this field contains the non-executed quantity. A remaining size of 0
indicates that the order is fully matched or no longer
active.
N
Y
Side 2: counterparty information.
N
Y
Char
Counterparty side.
<side2>
54
Side
D
C
Description
N
Int (10)
Order identification suffix generated by the T7 system.
An increase of the peak or overall quantity leads to a
new timestamp, loosing time priority and the assignment of a new order id suffix, whereas a reduction
maintains the original timestamp and order id suffix.
Price (11.8)
Fill price for the original Eurex strategy.
Value
Description
D
C
1
Buy
X
2
Sell
X
N
Y
Party Information.
NoPartyIDs
N
Y
NumInGroup
Number of parties delivered within the party component block. Some of the parties are delivered as
separate fields.
<tcr executing firm>
N
N
Executing firm information.
<tcr executing firm kvno>
N
Y
Executing firm information (Kassenverein number).
<tcr executing unit>
N
N
Executing unit information.
<tcr settlement firm>
N
N
Settlement Firm.
<tcr settlement account>
N
Y
Settlement Account.
<tcr settlement location>
N
Y
Settlement location information.
<Parties>
453
The valid values are defined in chapter 6.8.1.1 Settlement Location: List of Valid Values.
<tcr settlement unit>
N
N
Party ID Settlement Unit.
end <Parties>
end <TrdCapRptSideGrp>
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Tag
Field Name
R
15
Currency
N
31
LastPx
Y
32
LastQty
Y
64
SettlDate
N
75
TradeDate
Y
Y
77
PositionEffect
N
N
120
SettlCurrency
N
442
MultiLegReportingType
N
570
571
PreviouslyReported
TradeReportID
Y
Y
D
C
Description
Y
Currency
Currency used for price.
The combination of an ISIN with a defined currency
will Identify uniquely an instrument.
Y
Y
Price (11.8)
Price of this fill.
Y
Y
Qty (10.0)
Quantity executed in this fill.
Y
LocalMktDate
Specific date of trade settlement (SettlementDate) in
YYYYMMDD format.
Y
LocalMktDate
Business date.
Char
Field is used for Derivatives position management
purposes and indicates whether the order is submitted to open or close a position.
Y
N
Y
Y
Value
Description
D
O
Open
X
C
Close
X
C
Currency
Settlement Currency.
Char
This field indicates if the Trade Capture report results
from a single leg or multileg order.
Y
Y
Value
Description
D
1
Single Leg
X
2
Individual leg of a multileg
security
X
C
Boolean
Indicates if the trade capture report was previously
reported to the counterparty.
Value
Description
D
C
N
Not reported to counterparty
X
X
String (80)
Unique identifier of the trade capture report.
The field provides a unique trade identifier and can be
used for the identification of duplicate trade confirmation messages.
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Tag
Field Name
R
D
C
Description
574
MatchType
N
N
N
String (2)
The point in the matching process at which this trade
was matched.
748
TotNumTradeReports
N
C
830
TransferReason
Y
Y
856
880
TradeReportType
Y
Y
Value
Description
D
C
3
Confirmed Trade Report
X
X
4
Auto Match Incoming
X
X
5
Cross Auction
X
X
7
Call Auction
X
X
11
Auto Match Resting
X
X
Int (10)
Number of leg executions of the original strategy order.
Y
Y
Int (1)
Identifies the role for which the trade notification is
received.
Value
Description
D
C
1
Owner
X
X
2
Clearer
X
X
Int (1)
Identifies the type of trade notification.
Value
Description
D
C
0
Submit
X
X
1
Alleged
X
5
No/Was (Replaced)
X
7
(Locked-In) Trade Break
X
X
TrdMatchID
Y
Y
Y
Int (10)
Unique identifier for each price level (match step) of a
match event (used for public trade reporting).
1003
TradeID
Y
Y
Y
Int (10)
Uniquely identifies all order leg allocations referring
to the same matching event, simple instrument and
price.
1126
OrigTradeID
N
N
N
Int (10)
In case of a trade reversal this field provides the original trade identifier.
1301
MarketID
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1596
ClearingTradePrice
N
N
Price (11.8)
Clearing price.
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Tag
Field Name
R
D
1649
RelatedSymbol
N
C
Int (10)
Product identifier of the original Eurex strategy.
1650
RelatedSecurityID
N
C
Int (20)
Instrument identifier of the original Eurex strategy.
1815
TradingCapacity
Y
Y
2490
28586
28587
TradeNumber
N
OrderSide
N
RelatedProductComplex
N
C
Y
N
N
N
Description
Int (1)
This field designates if the trader is acting in the capacity of agent, trading for its own account or acting
as a market maker.
Value
Description
D
C
1
Customer (Agency)
X
X
5
Principal (Proprietary)
X
X
6
Market Maker
X
X
Int (10)
Trade Number.
Number of Trade Capture Reports belonging to the
same price level (match step) of a match event.
Char
Side of the order in the original Eurex strategy.
Value
Description
D
1
Buy
X
2
Sell
X
C
Int (1)
Instrument type of the orginal Eurex strategy.
107
Value
Description
D
2
Standard Option Strategy
X
3
Non-standard Option
Strategy
X
4
Volatility Strategy
X
5
Futures Spread
X
6
Inter Product Spread
X
7
Standard Future Strategy
X
8
Pack and Bundle
X
9
Strip
X
C
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Tag
28610
Field Name
R
D
C
Description
MatchSubType
N
N
N
Int (1)
Indicates the call auction type the trade originates
from.
28736
ClearingTradeQty
N
28890
DeliveryType
N
30060
UTransactTime
Y
N
Description
D
C
2
Opening or opening auction
X
X
4
Closing or closing auction
X
X
6
Intraday auction
X
X
8
Circuit breaker auction
X
X
D
C
Qty (10.0)
Quantity used for clearing.
Y
Y
Value
Y
Int (1)
Identifies type of settlement.
Value
Description
1
Auslandskassenverein (AKV)
X
2
Girosammelverwahrung
(GS)
X
3
Streifbandverwahrung (STR)
X
4
Wertpapierrechnung (WPR)
X
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
<Standard Trailer>
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6.8.1.1
Settlement Location: List of Valid Values
Value
Description
Derivatives
APK
Euroclear Finland
X
CBF
Clearstream Banking Frankfurt
X
CBL
Clearstream Banking Luxembourg
X
CCO
Euroclear UK and Ireland
X
CIK
Euroclear Belgium
X
EOC
Euroclear Bank
X
HEL
HELEX Greece
X
IBC
Iberclear Spain
X
INT
Interbolsa Portugal
X
KDP
KDPW Poland
X
MOT
Monte Titoli Italy
X
NEC
Euroclear Netherlands
X
OEB
OeKB Austria
X
SIC
Euroclear France
X
SIS
Sega Intersettle
X
VPC
Euroclear Sweden
X
VPD
VP Denmark
X
VPS
VPS Norway
X
109
Cash
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6.9
6.9.1
Application Messages: Other
User Request
Each trader needs to logon/logoff to/from T7 via the User Request message.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UBE’ / ’BE’ = User / User Request
<Standard Header>
35
MsgType
<Message Body>
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
553
Username
Y
Y
Y
Int (10)
User ID.
554
Password
N
C
C
String (32)
Password. This field is required in messages with UserRequestType (924) = 1 (Log on User).
923
UserRequestID
Y
Y
Y
String
Unique identifier for a User Request.
924
UserRequestType
Y
Y
Y
Int (1)
Indicates the action required by a User Request Message.
Value
Description
D
C
1
Log on user
X
X
2
Log off user
X
X
<Standard Trailer>
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6.9.2
User Response
The User Response message is used to confirm or reject the trader logon/logoff.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UBF’ / ’BF’ = User / User Response
<Standard Header>
35
MsgType
<Message Body>
100
ExDestination
Y
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
553
Username
Y
Y
Y
Int (10)
User ID.
923
UserRequestID
Y
Y
Y
String
Unique identifier for a User Request.
926
UserStatus
Y
Y
Y
Int (2)
Indicates the status of a user.
927
UserStatusText
N
N
N
Value
Description
D
C
1
Logged in
X
X
2
Not logged in
X
X
6
Other
X
X
String (2000)
A text description associated with a user status.
<Standard Trailer>
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6.9.3
User Notification
The User Notification message is used to send information of an unsolicited trader logoff or send information of
legal notifications.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UCB’ = User notification
N
N
N
List of users to which the notification is directed.
<Standard Header>
35
MsgType
<Message Body>
<UsernameGrp>
809
NoUsernames
Y
Y
Y
NumInGrp
Number of usernames. Exactly one occurrence
553
Username
Y
Y
Y
Int (10)
User ID.
Text
N
N
N
String (2000)
Message text.
UserStatus
Y
Y
Y
Int (2)
Indicates the status of a user.
end <UsernameGrp>
58
926
30100
UExDestination
N
N
N
Value
Description
D
C
2
Not logged in
X
X
6
Other
X
X
7
Forced user logout by
exchange
X
X
8
Session shutdown warning
X
X
10
User stopped
X
X
11
User released
X
X
Exchange
Market Identifier code of the trading market according
to ISO 10383.
<Standard Trailer>
112
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6.9.4
Trading Session Status
The Trading Session Status message informs about session related events.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’h’ = Trading session status
Text
N
N
N
String (128)
Message text.
TradingSessionID
Y
Y
Y
String (1)
Identifier for trading session.
<Standard Header>
35
MsgType
<Message Body>
58
336
340
TradSesStatus
Y
Y
Y
Value
Description
D
C
1
Day
X
X
Int (1)
State of the trading session.
Value
Description
D
C
0
Unknown
X
X
1
Halted
X
X
2
Open
X
X
3
Closed
X
X
1300
MarketSegmentID
N
N
N
Int (10)
Product identifier.
1301
MarketID
N
N
N
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1368
TradSesEvent
Y
Y
Y
Int (3)
Trading session event type.
113
Value
Description
D
C
102
Market reset
X
X
103
End of restatement
X
X
105
Service resumed
X
X
200
No more messages for this
trading venue
X
X
201
Message transmission
ended
X
X
202
Message processing
suspended
X
X
203
Message processing
resumed
X
X
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. . . continued . . .
Tag
25024
Field Name
R
D
C
Description
ReturnCodeSource
Y
Y
Y
String (20)
Originating system component providing the return
code.
Value
Description
D
C
FIX
GATEWAY
Fix Gateway
X
X
X
X
TRADING Trading system
SYSTEM
30060
UTransactTime
N
N
N
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
30075
UTradeDate
N
N
N
LocalMktDate
Date of trading session in YYYYMMDD format.
<Standard Trailer>
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6.9.5
Party Risk Limits Update Report
User Party Risk Limits Update Report. This message communicates risk control events related to the Advanced
Risk Protection functionality of T7 in case of a risk limit breach or release.
Tag
Field Name
R
D
C
Description
Y
Y
’UCR’ = User Party Risk Limits Update Report
Y
Y
Party Information.
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<clearing firm>
N
N
Clearing member identification.
<entering firm>
Y
Y
Entering Entity ID.
1 = (Participant), 2 = (Market Supervision)
<executing system>
Y
Y
Executing system information (2 = T7 Trading System).
<executing unit>
Y
Y
Executing unit information.
TradeDate
Y
Y
LocalMktDate
Business date.
1301
MarketID
N
N
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1324
ListUpdateAction
Y
Y
Char
Invocation or release of a control event.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
75
1767
30060
RiskLimitAction
UTransactTime
N
Y
N
Y
Value
Description
D
A
Add (Invocation)
X
D
Delete (Release)
X
C
Int (1)
Risk protection action.
Value
Description
D
0
Queue inbound
X
2
Reject
X
4
Warning
X
C
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
<Standard Trailer>
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6.9.6
Party Entitlements Update Report
User Party Entitlements Update Report. This message communicates risk control events related to the manual stop
or release of trading functionality. Events will be generated on the Clearing back end and passed to the user by the
T7 back end.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UCZ’ = User Party Entitlements Update Report
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<clearing firm>
N
N
N
Clearing member identification.
<entering firm>
Y
Y
Y
Entering Entity ID.
1 = (Participant), 2 = (Market Supervision)
<executing system>
Y
Y
Y
Executing system information (2 = T7 Trading System).
<executing unit>
Y
Y
Y
Executing unit information.
TradeDate
Y
Y
Y
LocalMktDate
Business date.
1301
MarketID
N
N
N
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1324
ListUpdateAction
Y
Y
Y
Char
Invocation or release of a control event.
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
75
1672
30060
PartyDetailStatus
UTransactTime
Y
Y
Y
Y
Y
Y
Value
Description
D
C
A
Add (Release)
X
X
D
Delete (Invocation)
X
X
Int (1)
Member status.
Value
Description
D
C
0
Active
X
X
1
Suspended
X
X
Int (20)
Transaction timestamp which provides date and time
in UTC, represented as nanoseconds past the UNIX
epoch (00:00:00 UTC on 1 January 1970).
<Standard Trailer>
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6.9.7
Party Action Report
User Party Action Report. This message communicates risk control events of type halt-trading and re-instate.
Events will be entered via the T7 Admin GUI.
Tag
Field Name
R
D
C
Description
Y
Y
Y
’UDI’ = User Party Action Report
Y
Y
Y
Party Information.
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<executing unit>
Y
Y
Y
Executing unit information.
<executing trader>
N
N
N
Trader identification.
<RequestingParties>
Y
Y
Y
Requesting Parties Information.
1657
Y
Y
Y
NumInGrp
Number of requesting party identifiers. Only in FIX 4.4.
<requesting executing trader>
N
N
N
Requesting executing trader information.
<requesting executing system>
N
N
N
Source of request (2 = T7 Trading System).
<requesting entering firm>
Y
Y
Y
Entering Entity ID.
1 = (Participant), 2 = (Market Supervision)
<Standard Header>
35
MsgType
<Message Body>
<Parties>
453
NoPartyIDs
end <Parties>
NoRequestingPartyIDs
end <RequestingParties>
60
TransactTime
N
N
N
UTC Timestamp
Transaction time.
75
TradeDate
N
N
N
LocalMktDate
Business date.
1301
MarketID
N
N
N
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
2329
PartyActionType
Y
Y
Y
Int (1)
Party Action Type.
Value
Description
D
C
1
Halt Trading
X
X
2
Reinstate
X
X
2331
PartyActionReportID
Y
Y
Y
String (30)
Unique-ID.
2332
PartyActionResponse
Y
Y
Y
Int (1)
Constant value 1 (”Completed”).
117
Value
Description
D
C
1
Completed
X
X
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Tag
Field Name
R
D
C
Description
<Standard Trailer>
118
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6.10
Components
6.10.1 <Instrument>
The <Instrument> component block comprises all fields required for security identification. For messages operating
on product level - like the Order Mass Action Request - only Symbol(55) will be necessary, whereas messages
operating on instrument level will also need SecurityID(48) and SecurityIDSource(22).
Tag
Field Name
R
D
C
Description
Y
Y
Y
String (10)
Unique identifier for a T7 product.
<Instrument>
55
Symbol
T7 Cash: If the ISIN is used as instrument identifier in
the FIX request (SecurityIDSource (22) = ”4” (ISIN)),
the product identifier is allowed but not required. If no
product identifier is provided Symbol (55) must contain
”[N/A]”.
48
SecurityID
N
N
N
String (20)
Instrument identifier.
Required for order messages.
Use ”[N/A]” for Security Definition Requests (c).
Field will not be set for messages operating on product
level.
22
SecurityIDSource
N
N
N
String (1)
Identifies class or source of the SecurityID (48) value.
Required if SecurityID is specified.
1227
ProductComplex
N
N
Value
Description
4
ISIN
M
Marketplace-assigned
identifier
D
C
X
X
X
C
Int (1)
This field qualifies an instrument type on T7.
119
Value
Description
D
1
Simple Instrument
X
2
Standard Option Strategy
X
3
Non-standard Option
Strategy
X
4
Volatility Strategy
X
5
Futures Spread
X
6
Inter Product Spread
X
7
Standard Future Strategy
X
8
Pack and Bundle
X
9
Strip
X
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. . . continued . . .
Tag
Field Name
R
D
C
Description
762
SecuritySubType
N
N
454
NoSecurityAltID
N
N
NumInGroup
Number of SecurityAltID (455) entries.
455
SecurityAltID
N
N
Int (20)
Alternative instrument identifier (numeric identifier).
456
SecurityAltIDSource
N
N
String (1)
Identifies class or source of the SecurityAltID (455)
value. Required if SecurityAltID (455) is specified.
Int (10)
Strategy type.
Please refer to functional product and instrument files
on the Eurex website www.Eurexchange.com
Value
Description
M
Marketplace-assigned
identifier
D
C
X
end <Instrument>
6.10.2 <TrdgSesGrp>
The Trading Session Group is used to identify an order for a special trading phase.
Tag
Field Name
R
D
C
Description
<TrdgSesGrp>
386
NoTradingSessions
Y
Y
Y
NumInGroup
Number of TradingSessionIDs (336) in repeating group.
336
TradingSessionID
Y
Y
Y
String (1)
Identifier for trading session.
625
TradingSessionSubID
Y
Y
Y
Value
Description
D
C
1
Day
X
X
String (1)
This field marks orders for a special trading phase.
Value
Description
2
Opening or opening auction
4
Closing or closing auction
8
Auction only
end <TrdgSesGrp>
120
D
C
X
X
X
X
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6.10.3 <MtchgInst>
Matching Instructions for using the Self Match Prevention functionality.
Tag
Field Name
R
D
C
Description
<MtchgInst>
1624
NoMatchInst
Y
Y
Y
NumInGrp
Number of Instructions. Only one occurrence.
1625
MatchInst
Y
Y
Y
Int (1)
Matching Instruction for the order.
28744
MatchInstCrossID
Y
Y
Y
Value
Description
D
C
2
Do not match
X
X
Int (10)
Numeric identifier. Contains the Self Match Prevention ID.
end <MtchgInst>
6.10.4 <NotAffectedOrdersGrp>
The group of Not Affected Orders informs about orders in status “pending delete” due to a mass cancellation event.
These are orders that couldn’t be canceled due to an incompatible instrument state.
Tag
Field Name
R
D
C
Description
<NotAffectedOrdersGrp>
1370
NoNotAffectedOrders
Y
Y
Y
NumInGroup
Number of not affected orders in the repeating group of
order ids.
1372
NotAffOrigClOrdID
Y
Y
Y
String (20)
FIX Client Order ID of an order whose cancellation is
pending.
1371
NotAffectedOrderID
Y
Y
Y
Int (20)
Exchange Order ID of an order whose cancellation is
pending.
end <NotAffectedOrdersGrp>
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6.10.5 <AffectedOrdersGrp>
The group of Affected Orders informs about persistent orders that were deleted due to a mass cancellation event.
Tag
Field Name
R
D
C
Description
<AffectedOrdersGrp>
534
1824
535
NoAffectedOrders
Y
Y
NumInGroup
Number of affected orders in the repeating group of
order ids.
AffectedOrigClOrdID
Y
Y
String (20)
FIX Client Order ID of a persistent order deleted due to
a mass cancellation.
AffectedOrderID
Y
Y
Int (20)
Exchange Order ID of a persistent order deleted due to
a mass cancellation.
end <AffectedOrdersGrp>
122
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6.10.6 <QuoteReqGrp>
The Quote Request Group provides details of the quote request.
Tag
Field Name
R
D
C
Description
Y
Y
Y
NumInGroup
Specifies the number of repeating symbols specified.
Y
Y
Y
Security identification.
N
N
N
Char
Side.
<QuoteReqGrp>
146
NoRelatedSym
<Instrument>
54
Side
38
OrderQty
N
15
Currency
N
N
Value
Description
D
C
1
Buy
X
X
2
Sell
X
X
N
Qty (10.0)
Total Order Quantity.
N
Currency
Currency used for price.
The combination of an ISIN with a defined currency will
Identify uniquely an instrument.
Mandatory if SecurityIDSource (22) = 4 (ISIN) for ISINs
traded in more than one currency.
Field will be ignored if SecurityIDSource (22) = M (Marketplace assigned identifier).
<Parties>
Y
Y
Y
Party Information.
453
NoPartyIDs
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
<entering trader>
Y
Y
Y
Entering User ID.
end <Parties>
end <QuoteReqGrp>
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6.10.7 <Parties>
The <Parties> component block comprises all parties participating in a transaction.
Trade messages:
For User/ Trade Capture Report (UAE/AE) messages the same structure will be used for both FIX version, FIX 4.2
and FIX 4.4.
Some of the parties will be delivered as occurrences of the parties repeating group, for other parties separate fields
will be defined. Details are documented in chapter 6.10.7.3 Trade Capture Report: Party Information
Order management and other application messages:
For each party a separate occurrence of the repeating group will be set up for FIX 4.4. For FIX 4.2 a separate
field will be defined for each party. Details are documented in chapter 6.10.7.2 Order Management and Other
Messages: Party Information
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6.10.7.1
Party Component Block
The following structure of the party component block is used for FIX 4.2 and 4.4 in the trade capture report. For
other messages the structure is used only for FIX 4.4.
Tag
Field Name
R
D
C
Description
<Parties>
453
NoPartyIDs
Y
Y
Y
NumInGroup
Number of parties involved. Only in FIX 4.4.
448
PartyID
Y
Y
Y
String (35)
Party identifier/code. See PartyIDSource (447) and PartyRole (452).
447
PartyIDSource
Y
Y
Y
Char
Identifies class or source of the PartyID (448) value.
Required if PartyID is specified.
452
802
PartyRole
NoPartySubIDs
Y
N
Y
N
Y
N
Value
Description
D
C
D
Proprietary custom code
X
X
H
Kassenverein number
X
String (2)
Party Role.
Value
Description
D
C
1
Executing firm
X
X
4
Clearing firm
X
X
7
Entering firm
X
X
10
Settlement location
12
Executing trader
X
13
Order origination firm
X
16
Executing system
X
21
Clearing organization
X
32
Beneficiary
X
36
Entering trader
X
38
Flexible account identifier
X
55
Session ID
X
X
59
Executing unit
X
X
75
Location ID
X
90
Settlement Firm
X
91
Settlement Account
X
96
Take-up (trading) firm
X
X
X
X
X
NumInGrp
No of PartySubIDs involved. Only in combination with
PartyRole (452) = 12 (Executing trader) possible.
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. . . continued . . .
Tag
Field Name
R
D
C
Description
523
PartySubID
N
C
C
String (6)
Owning User Short Name.
803
PartySubIDType
N
C
C
String (1)
Type of PartySubID.
Value
Description
D
C
2
Person
X
X
end <Parties>
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6.10.7.2
Order Management and Other Messages: Party Information
For each party a separate occurrence of the repeating group will be set up for FIX 4.4.
For FIX 4.2 a separate field will be defined for each party.
In FIX 4.4 the party identifier is delivered in the field PartyRole (452), the corresponding Party in the field PartyID
(448).
Party
Tag and Field for FIX 4.2
PartyRole (452) for FIX 4.4
<clearing firm>
ClearingFirm (439)
4 = Clearing firm
<entering firm>
PartyIDEnteringFirm (20007)
7 = Entering firm
<executing trader>
PartyIDExecutingTrader (20012)
12 = Executing trader
<order origination firm>
PartyIDOrderOriginationFirm (20013)
13 = Order origination firm
<executing system>
PartyIDExecutingSystem (20016)
16 = Executing system
<beneficiary>
PartyIDBeneficiary (20032)
32 = Benficiary
<entering trader>
PartyIDEnteringTrader (20036)
36 = Entering trader
<position account>
PartyIDPositionAccount (20038)
38 = Flexible account identifier
<session ID>
PartyIDSessionID (20055)
55 = Session ID
<executing unit>
PartyIDExecutingUnit (20059)
59 = Executing unit
<location ID>
PartyIDLocationID (20075)
75 = Location ID
<takeup firm>
PartyIDTakeUpTradingFirm (20096)
96 = Take-up (trading) firm
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6.10.7.3
Trade Capture Report: Party Information
For User/ Trade Capture Report (UAE/AE) messages the same structure will be used for both FIX versions, FIX 4.2
and FIX 4.4.
The entry for the executing trader (PartyRole (452) = 12 (Executing Trader)) contains two parties:
• Owning Used ID: field PartyID (448)
• Owning User Short Name: field PartySubID (523) with PartySubIDType (803) = 2 (Person)
Party
Party Field
PartyRole (452)
PartyIDSource (447)
<tcr beneficiary>
PartyID (448)
32 = Beneficiary
D = Proprietary custom
code
<tcr clearing firm>
PartyID (448)
4 = Clearing firm
D = Proprietary custom
code
<tcr clearing organization>
PartyID (448)
21 = Clearing organization
D = Proprietary custom
code
<tcr executing firm>
PartyID (448)
1 = Executing firm
D = Proprietary custom
code
<tcr executing firm
kvno>
PartyID (448)
1 = Executing firm
H = Kassenverein number
<tcr executing trader>
PartyID (448)
12 = Executing trader
D = Proprietary custom
code
Additionally: PartySubID
(523) with PartySubIDType (803) = 2 (Person)
<tcr executing unit>
PartyID (448)
59 = Executing unit
D = Proprietary custom
code
<tcr order origination
firm>
PartyID (448)
13 = Order origination
firm
D = Proprietary custom
code
<tcr position account>
PartyID (448)
38 = Position account
D = Proprietary custom
code
<tcr session ID>
PartyID (448)
55 = Session ID
D = Proprietary custom
code
<tcr takeup firm>
PartyID (448)
96 = Take-up (trading)
firm
D = Proprietary custom
code
<tcr settlement account>
PartyID (448)
91 = Settlement account
D = Proprietary custom
code
<tcr settlement location>
PartyID (448)
10 = Settlement location
D = Proprietary custom
code
<tcr settlement firm>
PartyID (448)
90 = Settlement firm
D = Proprietary custom
code
<tcr clearing unit>
PartyIDClearingUnit
(25027)
-
-
<tcr settlement unit>
PartyIDSettlementUnit
(25120)
-
-
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6.10.8 <TargetParties>
The Target Party component block implemented for sessions running version 4.4 cannot be set up for version 4.2
sessions.
6.10.8.1
Tag
Target Party Component Block for FIX 4.4
Field Name
R
D
C
Description
<TargetParties>
1461
NoTargetPartyIDs
Y
Y
Y
NumInGroup
Identifies the number of target parties identified in a
mass action. Only in FIX 4.4.
1462
TargetPartyID
Y
Y
Y
Int (10)
PartyID value within an target party repeating group.
1463
TargetPartyIDSource
Y
Y
Y
Char
PartyIDSource value within an target party repeating
group.
1464
TargetPartyRole
Y
Y
Y
Value
Description
D
C
D
Proprietary custom code
X
X
Int (2)
PartyRole value within a target party repeating group.
Value
Description
D
C
12
Executing trader
X
X
end <TargetParties>
6.10.8.2
Target Party Field for FIX 4.2 / Target Party Roles for FIX 4.4
A Target Party component block will not be present in the version 4.2. The party <target executing trader> will be
mapped to tag 20612 TargetPartyIDExecutingTrader
Party
Tag and Field for FIX 4.2
TargetPartyRole (1464) for FIX 4.4
<target executing
trader>
TargetPartyIDExecutingTrader (20612)
12 = Executing trader
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6.10.9 <RequestingParties>
The Requesting Party component block implemented for sessions running version 4.4 cannot be set up for version
4.2 sessions.
6.10.9.1
Requesting Party Component Block for FIX 4.4
A Requesting Party component block will not be present in the version 4.2. The parties will be mapped to single
tags, which will solely carry the RequestingPartyID information
Tag
Field Name
R
D
C
Description
<RequestingParties>
1657
NoRequestingPartyIDs
Y
Y
Y
NumInGrp
Number of requesting party identifiers. Only in FIX 4.4.
1658
RequestingPartyID
Y
Y
Y
Int (10)
Party identifier for the requesting party.
1659
RequestingPartyIDSource
Y
Y
Y
Char
Identifies the source of the RequestingPartyID (1658)
value.
1660
RequestingPartyRole
Y
Y
Y
Value
Description
D
C
D
Proprietary custom code
X
X
Int (2)
Identifies the type or role of the RequestingPartyID
(1658) specified.
Value
Description
D
C
7
Entering firm
X
X
12
Executing trader
X
X
16
Executing system
X
X
end <RequestingParties>
6.10.9.2
Requesting Party Fields for FIX 4.2 / Requesting Party Roles for FIX 4.4
A Requesting Party component block will not be present in the version 4.2. The parties will be mapped to single
tags, which will solely carry the RequestingPartyID information.
Party
Tag and Field for FIX 4.2
RequestingPartyRole (1660) for FIX
4.4
<requesting entering
firm>
RequestingPartyIDEnteringFirm (20807)
7 = Entering firm
<requesting
executing trader>
RequestingPartyIDExecutingTrader
(20812)
12 = Executing trader
<requesting
executing system>
RequestingPartyIDExecutingSystem
(20816)
16 = Executing system
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6.10.10
<InstrmtLegGrp>
The Instrument Leg Group is used for the creation of a Eurex strategy.
Tag
Field Name
R
D
C
Description
<InstrmtLegGrp>
555
NoLegs
Y
Y
NumInGroup
Number of InstrumentLeg repeating group instances.
600
LegSymbol
Y
Y
String (10)
Product identifier of the leg security (only applicable for
underlying leg). Use ”[N/A]” for option legs.
602
LegSecurityID
Y
Y
Int (20)
Instrument identifier of the leg security.
609
LegSecurityType
Y
Y
Int (1)
Indicates type of leg.
Value
Description
D
1
Multileg Instrument
X
2
Underlying Leg
X
C
623
LegRatioQty
Y
Y
Qty (10.0)
The ratio of quantity for this individual leg relative to the
entire multileg security.
624
LegSide
Y
Y
Char
The side of the individual leg of a strategy.
566
LegPrice
N
N
Value
Description
D
1
Buy
X
2
Sell
X
C
Price (11.8)
Strategy leg underlying price (only applicable for underlying leg).
end <InstrmtLegGrp>
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6.10.11
<InstrmtLegExecGrp>
The Executed Order Leg Group contains the fill information for each leg of Multileg Order.
Tag
Field Name
R
D
C
Description
<InstrmtLegExecGrp>
555
NoLegs
Y
Y
NumInGroup
Number of InstrumentLeg repeating group instances.
600
LegSymbol
Y
Y
String (10)
Product identifier of the leg security (only applicable
for underlying leg). Use ”[N/A]” for option legs.
602
LegSecurityID
N
C
Int (20)
Instrument identifier of the leg security.
564
LegPositionEffect
N
C
Char
Leg-specific field used for Derivatives position management purposes and indicates whether the leg is
submitted to open or close a position.
637
LegLastPx
N
C
Price
Price of this leg fill.
1418
LegLastQty
N
C
Qty
Quantity executed in this leg fill.
1893
LegExecID
N
C
Int
Private identifier of a leg match event, which can be
reconciled with the field SideTradeID (1506) in the
User/ TradeCaptureReport (UAE/AE).
28715
LegAccount
N
C
String
Leg-specific account to book trades and keep positions on:
end <InstrmtLegExecGrp>
132
Value
Description
D
A1 A9
Agent account one to nine
X
G1
and
G2
Give-up account one and
two
X
M1
and
M2
Market Maker account one
and two
X
P1
and
P2
Proprietary account one and
two
X
C
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6.10.12
<LegOrdGrp>
The Order Leg Group is used to specify clearing attributes for the legs of a Multileg Order.
Tag
Field Name
R
D
C
Description
<LegOrdGrp>
555
NoLegs
Y
Y
NumInGroup
Number of InstrumentLeg repeating group instances.
564
LegPositionEffect
Y
Y
Char
Leg-specific field used for Derivatives position management purposes and indicates whether the leg is
submitted to open or close a position.
28715
LegAccount
N
N
Value
Description
D
O
Open
X
C
Close
X
C
String
Leg-specific account to book trades and keep positions on:
end <LegOrdGrp>
133
Value
Description
D
A1 A9
Agent account one to nine
X
G1
and
G2
Give-up account one and
two
X
M1
and
M2
Market Maker account one
and two
X
P1
and
P2
Proprietary account one and
two
X
C
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6.10.13
<MarketSegmentGrp>
The Market Segment Group provides security definition for the market segment that the security participates in.
Tag
Field Name
R
D
C
Description
<MarketSegmentGrp>
1310
NoMarketSegments
Y
Y
NumInGroup
Number of Market Segments on which a security may
trade.
1301
MarketID
Y
Y
Exchange
Market Identifier Code of the trading market according
to ISO 10383.
1148
LowLimitPrice
Y
Y
Price
Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower
band for validating order prices. Orders submitted with
prices below the lower limit will be rejected
1149
HighLimitPrice
Y
Y
Price
Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper
band for validating order prices. Orders submitted with
prices above the upper limit will be rejected
1144
ImpliedMarketIndicator
Y
Y
Int
Indicates that an implied market should be created for
either the legs of a multileg instrument (Implied-in) or
for the multileg instrument based on the existence of
the legs (Implied-out). Determination as to whether
implied markets should be created is generally done at
the level of the multileg instrument. Commonly used in
listed derivatives.
1377
MultilegModel
Y
Y
Value
Description
D
0
Not implied
X
3
Both Implied-in and
Implied-out
X
C
Int
Specifies if a strategy is temporarily (user-defined) or
permanently (predefined) available.
end <MarketSegmentGrp>
134
Value
Description
D
0
Predefined Multileg Security
X
1
User-defined Multleg
Security
X
C
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6.10.14
<DisplayInstruction>
Display instruction is used for Iceberg Order.
Tag
Field Name
R
D
C
Description
<DisplayInstruction>
1138
DisplayQty
N
Y
Qty (10.0)
This field provides the display quantity.
For iceberg order entry or modify with DisplayMethod
(1084) = ”1” (Initial) it specifies the quantity that should
be visible to the market (peak).
For requests with DisplayMethod (1084) = ”3” (Random) the field specifies the initial quantity visible to the
market (initial peak).
On execution reports it contains the currently displayed
quantity (remaining peak).
If the remaining unexecuted quantity is smaller than
the display quantity the remaining unexecuted quantity
will be displayed.
1084
DisplayMethod
N
Y
Char
Defines if the value of the peak quantity after a refresh
will be determined absolutely (using the initial value of
the DisplayQty (1138)) or randomly (using a random
value between DisplayLowQty (1085) and DisplayHighQty (1086)).
Value
Description
D
C
1
Initial
X
3
Random
X
1085
DisplayLowQty
N
C
Qty (10.0)
Defines the lower quantity limit to a randomized refresh
of displayed quantity.
DisplayLowQty must be less than or equal to DisplayHighQty (1086).
Required if DisplayMethod (1084) = ”3”.
1086
DisplayHighQty
N
C
Qty (10.0)
Defines the upper quantity limit to a randomized refresh of displayed quantity.
Required if DisplayMethod (1084) = ”3”.
end <DisplayInstruction>
135
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6.10.15
<PegInstructions>
Peg instructions for a Trailing Stop order.
Tag
Field Name
R
D
C
Description
<PegInstructions>
211
PegOffsetValue
Y
Y
Price (11.8)
Amount (signed) added to the peg for a pegged order in
the context of the PegOffsetType.
836
PegOffsetType
Y
Y
Int (1)
Type of Peg Offset value.
Value
Description
0
Price
X
4
Percentage
X
end <PegInstructions>
136
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C
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6.11
Error Codes
6.11.1
Rejections - FIX Messages and Error Information
Rejections on session level (e.g. usage of undefined tags, mandatory tags missing) are sent via Reject (3) and
BusinessMesasgeReject (j) messages. The reject reason is delivered in different fields:
Message
Reject reason
Possible values
Reject (3)
SessionRejectReason (373)
6.4.7.1 SessionRejectReason
(373): List of Valid Values
BusinessMessageReject (j)
BusinessRejectReason (380)
6.4.6 Business Message Reject
Rejections on application level may be generated by the T7 FIX Gateway or by the T7 Backend.
The information about the component that caused the rejection is delivered in the field ReturnCodeSource (25024).
Following values are possible: ’FIX GATEWAY’, ’TRADING SYSTEM’.
The error information is delivered in different fields, depending on the FIX message:
Message
Error code
Error text
ExecutionReport (8)
ReturnCode (25023)
ReturnCodeText (25025)
OrderCancelReject (9)
ReturnCode (25023)
ReturnCodeText (25025)
UserOrderMassActionResponse (UCAR)
ReturnCode (25023)
ReturnCodeText (25025)
MassQuoteAcknoledgment (b)
ReturnCode (25023)
Text (58)
CrossRequestAck (U101)
ReturnCode (25023)
Text (58)
SecurityDefinition (d)
SecurityRejectReason (1607)
Text (58)
Reject (3)
ReturnCode (25023)
Text (58)
BusinessMessageReject (j)
ReturnCode (25023)
Text (58)
UserResponse (UBF/BF)
-
Text (58)
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6.11.2
Error Codes - Usage and special handling of some backend codes
In case of rejections, the error codes generated by the T7 FIX Gateway (i.e. with ReturnCodeSource (25024) = ’FIX
GATEWAY’) are used always for one specific reject reason.
But the T7 Backend uses some error codes to describe different rejections. In these cases a distinction of the
different reject reasons is only possible checking the information contained in the error text.
Following error codes from T7 Backend are used in a generic way for different reject reasons:
Value
Description
Derivatives
Cash
99
Other
X
X
210
Validation Error
X
X
Derivatives
Cash
For following error codes from T7 Backend there is special handling in T7 FIX Gateway:
Value
Description
104
Result of transaction unknown
X
X
105
Error converting response or broadcast
X
X
200
Internal technical error
X
X
These error codes do not necessarily mean that the request has been rejected. The status of the request is unknown. For order requests, if one of these codes is received from T7 Backend, the FIX Gateway generates an
”Unknown Order State” ExecutionReport (8) as response (see details in chapter 3.7.9 ExecutionReport (8) ”Unknown Order State”).
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6.11.3
Error Codes from T7 FIX Gateway
The following table documents all error codes set by the FIX Gateway (i.e. with ReturnCodeSource (25024) = ’FIX
GATEWAY’), not only in case of rejections, but also for pending responses:
Value
Description
61271
System is running in connection-test mode - no processing
89114
Technical error occurred
89120
Actual length of tag exceeds maximum length
89122
Tag is not allowed for this order type or field combination invalid
89123
Order not found in the FGW database
89125
Invalid combination of ExpireDate and TimeInForce
89135
ClOrdID already processed - PossResend not supported
89138
Tag contains an invalid value
89142
Tag is missing for this order type
89144
No access for specified destination configured
89151
Could not process message
89152
Busy: Txn rejected. Try again
89153
Invalid Party Group
89154
Required tag missing
89159
Message Throttle Limit exceeded
89161
Invalid instrument group
89162
Order type invalid for multileg requests
89164
Tag is not allowed
89166
Invalid combination of MassActionScope and Instrument-Data
89171
Order state unknown - please check order state in an alternative way
89172
Request after end of stream not allowed
89173
Request with PossDup = Y not processed
89174
Field ClOrdId not found
89175
ClOrdID is empty
89176
ClOrdID must consist only of printable characters
89177
ClOrdID is not unique
89178
ClOrdID exceeds maximum length
89508
Unexpected message from customer received
89889
Invalid instrument
90607
Invalid number format
90656
ISIN not found
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. . . continued . . .
Value
Description
90657
ISIN not traded in entered currency
90658
ISIN traded in more than one currency - currency required for identification
90814
Trading system not available
140
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6.11.4
Error Codes from T7 Backend
The tables below document the error codes set by the T7 Backend and forwarded by the FIX Gateway (i.e. with
ReturnCodeSource (25024) = ’TRADING SYSTEM’).
This table contains error codes that can be generated during the regular processing:
Value
Description
Derivatives
Cash
99
Other
X
X
102
Service temporarily not available
X
X
103
Service not available
X
X
210
Validation Error
X
X
211
User already logged in
X
X
10000
Order not found
X
X
10001
Price not reasonable
X
X
10004
Book Order limit exceeded on BU level
X
X
10005
Book Order limit exceeded on Session level
X
X
10006
Stop buy price not reasonable
X
X
10007
Stop sell price not reasonable
X
X
10008
GFD order is not executable on current business day
X
X
10009
BOC order rejected in state other than cont.
X
X
10011
Order maintenance not allowed in current state
X
X
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This second list documents error codes that can only occur in exceptional situations (caused technical problems,
e.g. communication issues between the FIX Gateway and the T7 Backend):
Value
Description
Derivatives
Cash
1
Required Tag Missing
X
X
5
Value is incorrect (out of range) for this tag
X
X
7
Decryption problem
X
X
11
Invalid TemplateID
X
X
16
Incorrect NumInGroup count for repeating group
X
X
100
Throttle limit exceeded
X
X
101
Exposure limit exceeded
X
X
104
Result of transaction unknown
X
X
105
Error converting response or broadcast
X
X
200
Internal technical error
X
X
10002
Duplicate Order (ClOrdID)
X
X
10010
Create CI Throttle Exceeded
X
142
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